Export Tick Data Format

[Lumbeezl]

I exported tick data and I'm not sure what the format is. Here's an example:

20180422 220000 0740000;2683;2683;2683;1
20180422 220000 0740000;2683;2683;2683;1
20180422 220000 0740000;2683;2683;2683;400
20180422 220000 0740000;2683;2683;2683;1
20180422 220002 9150000;2683;2683;2683.25;1
20180422 220002 9290000;2683.25;2683;2683.25;1
20180422 220002 9480000;2683.25;2683;2683.25;1
20180422 220003 0390000;2683.25;2683;2683.25;1
20180422 220003 0670000;2683;2683;2683.25;3
20180422 220003 0670000;2683;2683;2683.25;1
20180422 220003 0670000;2683;2683;2683.25;1

If I'm not mistaken it's Date(yyyy/mm/dd), time(hh/mm/ss), ??????, ask, bid, last, volume. I just wasn't sure if that's correct, but any clarification would be awesome. Thanks!

[NinjaTrader_AlanS]

Hello Lumbeezl,

Thanks for writing in.

Tick data when exported from NinjaTrader will follow the tick replay sub second granularity format outlined in the helpguide here:
https://ninjatrader.com/support/help...AndDataFormats

The format is:

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

Please let me know if I may be of any further assistance.

[Gus87]

What timezone is the tick available? Is there a way to get the entire tick data not just the sample?

[NinjaTrader_Emily]

Hello Gus87,


Thank you for your post.


So I may accurately assist you, please answer all of the following questions:

• What version of NinjaTrader 8 are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.0.?.?)
• Who are you connected to? This is displayed in green on the lower-left corner of the Control Center window.
• What instrument symbol (and expiry if applicable) have you selected? For example, ES 06-21, AAPL, EURUSD, etc.
• (For a chart) what interval is selected? For example, 5 minute, 1 day, 2000 volume, 4 Renko, etc.

If possible, please provide a screenshot showing what you mean by the sample data vs. the entire tick data.


To send a screenshot with Windows 7 or newer I would recommend using the Windows Snipping Tool.

Click here for instructions

Alternatively to send a screenshot press Alt + PRINT SCREEN to take a screenshot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.

Click here for detailed instruction


Thanks in advance; I look forward to resolving this with you.

[Gus87]

• What version of NinjaTrader 8 are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.0.?.?)
  • 8.0.24.2 64-bit
• Who are you connected to? This is displayed in green on the lower-left corner of the Control Center window.
  • Interactive Brokers
• What instrument symbol (and expiry if applicable) have you selected? For example, ES 06-21, AAPL, EURUSD, etc.
  • MES 06-21

Maybe I didn't explain myself well last time. I'm trying to export the data to performance external analysis in excel and the data I'm able to export doesn't seem to match the data for the day. Specifically when I look at volume.

[NinjaTrader_Emily]

Hello Gus87,


Thank you for the clarification!


In relation to the link that NinjaTrader_AlanS shared previously, the following link also offers more information regarding the time zone:

https://ninjatrader.com/support/helpGuides/nt8/exporting.htm

Exported data is in the UTC time zone. Another important item to note is that the historical data that is exported will match what data is currently saved in NinjaTrader. You may need to download the full data from Interactive Brokers prior to exporting it. To verify what data is available, please go to the Edit tab of the Historical Data window. Next, click the + next to Historical > MES 06-21 > Last > Tick.


An important note for Interactive Brokers is that they do not offer historical tick data. The data by provider is broken down here:

https://ninjatrader.com/support/helpGuides/nt8/data_by_provider.htm

I suspect that the only tick data available will be whatever was collected live when your platform was open and connected. This could be why you are seeing discrepancies.


If you have any additional questions, please feel free to ask them here.