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Historical IB Level II market data

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  • siroya
    started a topic Historical IB Level II market data

    Historical IB Level II market data

    Hello!!
    Im running a market delta by price script that require level 2 market data, but NT8 appears to be loading level 2 data only from the moment when i open the chart, not historical (meaning the previous bars before the current time when the chart was opened).
    Im on a 5min chart, with IB data, no log error, time and sales and dom shows the level 2 data stream correctly.

    Thanks in advance!

    Siroya

  • siroya
    replied
    thanks i just fund the link https://ninjatrader.com/support/help...y_provider.htm

    Leave a comment:


  • NinjaTrader_ChrisL
    replied
    Hello siroya, thanks for your reply.

    I am not aware of a centralized resource for that info. It is correct, futures trading is not supported from an NT8 connection. Details of instruments and type of data you can stream into NinjaTrader will be available at the data providers individual websites. For example, IB can stream in all the supported NinaTrader instrument types. Brokers like NinjaTrader brokerage only deal in futures instruments, so that would be the only type of data that can be streamed from NinjaTrader Continuum (in addition to index data), so it really depends on the data provider.

    Best regards.
    Last edited by NinjaTrader_ChrisL; 07-12-2019, 10:29 AM.

    Leave a comment:


  • siroya
    replied
    Hello Chris, can you please send me the link that indicates what type of market data NT8 can receive from IB TOS etc, i cant find the link. It shows for example that TOS dont send future data to NT8. Thank you very much

    Leave a comment:


  • NinjaTrader_ChrisL
    replied
    Hi siroya, yes that is correct. It would be up to NinjaTrader to cache and backfill the level 2 data. There is a feature request to add this functionality with feature ID SFT-1492, I'll add a vote to that for you.

    Best regards.

    Leave a comment:


  • siroya
    replied
    Hello Chris,
    is this also true for Kinetick or other data source? thanks

    Leave a comment:


  • NinjaTrader_ChrisL
    replied
    Hi Siroya, thanks for your reply.

    NinjaTrader does not record level 2 data into the database. When you run NinjaTrader streaming real-time data, the level 1 is cached and saved in the NinjaTrader database so that is can be backfilled at a later time. This is not the case for level 2 data. Level 2 data can be recorded for playback, Tools>Options>Market Data> check "Record live data as historical". After you have collected some data, you can connect to the Playback connection and replay the data.

    Best regards.

    Leave a comment:


  • siroya
    replied
    Is this a limitation on NT8 or IB market data? Is there a way to store level 2 data? thanks

    Leave a comment:


  • NinjaTrader_ChrisL
    replied
    Hello Siroya, thanks for your note.

    Level 2 data is not recorded historically, so it will only show up after real-time data streams in.

    Kind regards.

    Leave a comment:

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