Data Import

[NinjaTrader_AlexG]

Hello,
Thanks for the reply.

This would depend on if you are using this for purely data or for a strategy like you are.

If you only needed the data and were not testing a strategy (for example an indicator that is only based on the bid price). If you are testing a strategy you will need all three files to test your data properly.

[reynoldsn]

I see - makes sense, and yes, I'm interested in strategy testing.

Going back to my very original post, I received a large CL data file but I believe it only contains what you refer to as "Last" price. The person who sent it to me simply calls it "tick" data, but it is one giant CSV file so that's why I presume it's Last price. Say I import the data as Last price - can I run tests like that, or will it just yield nonsense results?

Second, when I use NinjaTrader to download data (into an .ntm file), does it include ask, bid and last price? I would think it does.

[NinjaTrader_AlexG]

Hello,
Thanks for the reply.

The test will yield results that are based on the data that it has(only last). So these results will not be reliable with the simulator as it doesn't have the bid and ask.

Yes, it would include these data pieces.

[reynoldsn]

Suppose my strategy only uses limit orders - then would the bid and ask files be necessary?

[NinjaTrader_AlexG]

Hello,
Thanks for the reply.

The simulator engine will not have the ask and bid price and will not be able to function fully regardless of the order type.

The simulator will fill your order based on the information it has.

[reynoldsn]

I have been checking with CQG data as far as obtaining historical CL data. Turns out their timestamps does not contain seconds - they zero out the seconds. They don't have it available. How much do you think this would affect testing? Is this show-stopper?

[NinjaTrader_AlexG]

Hello,
Thanks for the reply inquiry.

This would affect the data that is tested over. You will not have an intra minute data and the orders would only be affected by completed minute data and not intra bar data.

This would depend on if this kind of data is acceptable for you to test over. When ever using real vs back tested data there is always going to be a difference. Here is a link that describes these discrepancies. http://ninjatrader.com/support/helpG...al%2Bvs%2Blive