How Ninjatrader records live data as historical with IB provider?

[mbcmbc]

Hi,

I would like to know which TWS API request use ninjatrader to get realtime data from IB. For example, if you use reqMktData (https://interactivebrokers.github.io...1c57b93f659b63) I would like to know if you use snapshot parameter as false (streaming data intead of snapshot).

The reason of my question is that I'm wondering if I can use directly TWS API to store a more accurate realtime data and then import it to Ninjatrader to do a Playback. Depending on how ninjatrader gets realtime data from IB I may find a way to store more accurate data.

For example, TWS API has reqTickByTickData (https://interactivebrokers.github.io...706f69766b2263) or reqMktData with snapshot to false (if ninjatrader use it with snapshot to true). I guess NinjaTrader cannot use reqTickByTickData due their limitations on requests but I can use it to record at least one stock and use that data for Playback.

Thank you for your help.

Regards

[NinjaTrader_Jim]

Hello mbcmbc,

Thanks for your question.

The Connection Adapter is proprietary and our Support Staff does not have access to the source code so we will be limited in the questions that we may answer for you. It is my understanding that reqMktData is used with snapshot set to false, but I could not confirm this officially.

We also could not give any insight for building a Connection Adapter as we do not support custom Connection Adapter creation. The External Data Feed would not be able to pump in Bid/Ask stamped ticks that would be needed for Tick Replay.

If you want to consider creating your own Tick Replay data that can be imported, please see the format page below.

https://ninjatrader.com/support/help.../importing.htm

We look forward to assisting.

[mbcmbc]

Ok,

thank you for your help!