NJ8 export historical ask and bid ticks

[antonma]

Hi,

if I export the ask and the bid tick data they in the following format:

Ask Tick Data:
20160502 000000 6010000;1.1475;1.1475;1.1476;8
20160502 000000 6050000;1.1475;1.1475;1.1476;9
20160502 000000 6990000;1.1475;1.1475;1.1476;14
20160502 000000 7140000;1.1475;1.1475;1.1476;13
...
Bid Tick Data:
20160502 000000 6010000;1.1474;1.1474;1.1475;11
20160502 000000 6010000;1.1474;1.1474;1.1475;3
20160502 000000 6010000;1.1474;1.1474;1.1475;2
20160502 000000 6010000;1.1474;1.1474;1.1475;7

What are the colums names? Are these columns Ask, Bid and Last prices and the last one is the appropriate volume?

Thx for the clarification,
Anton

[NinjaTrader_Jesse]

Hello,

Thank you for the question.

You can find the description of how historical data export/import formats are defined here: http://ninjatrader.com/support/helpG.../importing.htm

This looks to be the sub second granularity tick format based on the paste, if so the columns would be:

yyyyMMdd HHmmss fffffff;last price; bid price; ask price;volume


I look forward to being of further assistance.

[antonma]

Hi Jesse,

thank you for your reply. Some more questions:
What is the Last (price) if I export the Bid or Ask tick data?

If I compare the following lines which occure in the same ms
Ask Ticks
Last Bid Ask
20160502 000000 6010000;1.1475;1.1475;1.1476;8
Bid Ticks
Last Bid Ask
20160502 000000 6010000;1.1474;1.1474;1.1475;11
20160502 000000 6010000;1.1474;1.1474;1.1475;3
20160502 000000 6010000;1.1474;1.1474;1.1475;2
20160502 000000 6010000;1.1474;1.1474;1.1475;7

I would expect that the last prices are the same in ask and bid tick data but this in not the case: 1.1474 and 1.1475
Also the bid and ask prices do not match... How are ask and bid ticks linked to each other or is there no connection?

Thank you,
Anton

[NinjaTrader_Jesse]

Hello,

Thank you for the reply.

This item has been submitted for further documentation, in the coming revisions this help guide section should contain more information about the data types.

The Last ask and bid data are grouped together for TickReplay support, there is a note on this in the Import section:
Tip: You can also import historical tick data to be used with Tick Replay, which includes the current bid and ask prices associated with the last price of that tick.

This would be a snapshot of that specific tick and the values of that time, so this could be different for each series as each tick will occur at different times.

I look forward to being of further assistance.