Tick Data reply

[waldoalvarez]

Hi Folks:

I would like to implement my systems without requiring tick replay data and access the tick database. Can you please somehow shed some light to the documentation.

Thanks.

[NinjaTrader_Jim]

Hello waldoalvarez,

Thanks for your message.

Documentation wise, you will want to review Multi Time Framer and Instruments and also review Bars.GetBid and Bars.GetAsk. The idea would be to use these to get the bid/ask prices from the single tick data series(BarsArray[1] if the first added data series) (so we can identify buys/sells) without using Tick Replay and OnMarketData.

Multi Time Frame and Instruments - https://ninjatrader.com/support/help...nstruments.htm

Bars.GetBid - https://ninjatrader.com/support/help...t8/?getbid.htm

Bars.GetAsk - https://ninjatrader.com/support/help...nt8/getask.htm

I have also linked a version of the BuySellVolume indicator that takes this approach so you can compare it with the original BuySellVolume indicator.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/1100009-access-values-of-indicator?p=1100019#post1100019

We look forward to assisting.

[waldoalvarez]

Thanks for your prompt response Jim! I will be studying the sourcecodes.

[waldoalvarez]

Hello again Jim. Unfortunately I imported your implementation of buy/sell indicator and when I disable tick replay it doesn't shows historical data. Only realtime. Any idea?

[NinjaTrader_Jim]

Hello waldoalvarez,

I have attached a screenshot of the result on my end.

Are you sure you are comparing the BuySellVolume indicator with the BuySellVolumeOneTick indicator?

If you are in fact loading BuySellVolumeOneTick, please make sure you have the single tick data for that instrument. The single tick data will also need to be Bid/Ask stamped.

Please see the grid below to see if you are using a data provider that may be missing the historical tick data, or may be missing the needed bid/ask stamped tick data.

Data By Provider - https://ninjatrader.com/support/help...y_provider.htm

[waldoalvarez]

Thanks again for your support Jim. the one I was using to test that is missing Bid/Ask stamped. I am gonna try to see if I get some of the supported data providers.

[rare312]

Thanks again for your support Jim. the one I was using to test that is missing Bid/Ask stamped. I am gonna try to see if I get some of the supported data providers.

Hello Waldo.
How is it going with tick dataseries?
Did you check the differences between Volume[0] and collected volume from 1-tick dataseries?
I'm sure you got a lot of printed differences. Especially if you build the volume based chart.

[waldoalvarez]

Hello Waldo.
How is it going with tick dataseries?
Did you check the differences between Volume[0] and collected volume from 1-tick dataseries?
I'm sure you got a lot of printed differences. Especially if you build the volume based chart.

I am recommending my users to stick with tick replay if possible as is far more accurate. I only have the feature for marketing purposes since with a decent computer (16Gb RAM) there are zero performance improvements. Sometimes the tick serie works great (identical results). Some users look for the tick serie since their computers are very limited. No idea why someone would use such computer to trade given the risk of failed operative caused by limited hardware (freeze or lag). Strongly recommend them to get good hardware. Therefore I am leaving the end user to pick what works best for them.