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format of exported CSV

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    format of exported CSV

    Hi NT8,

    I exported ASK tick data from NT8 to CSV via the export settings shown in 1.jpg. A row from of the resulting CSV is underlined below.

    20160318 132959 0000000;2048;2048;2048.25;8

    I compared this row to the data in NT8 and it seems the blue colums display the Ask price and Ask volume. Is this correct? I figured the red column would display the Ask price?

    #2
    Hello,

    Thanks for posting.

    It looks like the attachment you mentioned 1.jpg is missing, could you please attach this file to your reply?
    Drew O.NinjaTrader Customer Service

    Comment


      #3
      Thanks for spotting that Drew. Its attached top this post.

      (FYI: I my "Global Merge policy" was set to "Do not Merge" when I imported the Ask tick data and when I exported it.)
      Attached Files
      Last edited by Matheyas5; 01-24-2017, 08:30 PM.

      Comment


        #4
        Hello,

        Thanks for replying.

        I will investigate this matter on my end and follow up here with further information.
        Drew O.NinjaTrader Customer Service

        Comment


          #5
          Hello,

          Thanks for your patience.

          In my research I have found that NinjaTrader 8 converts all data to the Tick Replay (Sub Second Granularity) format. This is what makes it possible to use Tick Replay in NinjaTrader 8, and is also the reason why this is the expected format when exporting.

          This formatting would be as follows:
          yyyyMMdd HHmmss fffffff;last price; bid price; ask price;volume

          More information at the below links:
          Exporting Historical Data: https://ninjatrader.com/support/help.../exporting.htm
          Import Options (regarding Formatting): https://ninjatrader.com/support/help.../importing.htm
          Drew O.NinjaTrader Customer Service

          Comment


            #6
            Hi Drew,

            I know your documentation says that thats the format it is supposed to be in, but it is not the result I am getting when I export using the screenshot in post #4.


            Have you tried exporting using the exact setting shown in post #4's screenshot (with "Global Merge policy" set to "Do not Merge") and then comparing the Ask tick data it exports to the Ask tick data displayed in NT8's historical data GUI?
            Last edited by Matheyas5; 01-26-2017, 02:33 AM.

            Comment


              #7
              Hello,

              Thanks for your note.

              When exporting on my end, the data appears to be working as expected. So that I may investigate I would ask that you contact me by email at PlatformSupport [AT] NinjaTrader [DOT] com. In your message please include a link to this forum thread and a copy of the export file you have created.
              Drew O.NinjaTrader Customer Service

              Comment


                #8
                Hi Drew,

                I feel I diden’t do the clearest job explaining everything in this thread. With that in mind I’d like to start over. Please ignore all the other posts I’ve made in this thread and assume this post (post #7) is my first post.


                -I downloaded (and exported) data while my Options>Maket Data settings were on the settings shown in attached A.jpg. Notice my settings were on “Do not merge” as circled in blue in A.jpg. (FYI: I was using a demo of you CQG Coninuum server at the time of the download.)

                -I then exported the data using the exact inputs shown in attached B.jpg. Notice the data I exported was Ask Tick data as shown circled in blue in B.jpg. Here is a link where you can download the full export generated from B.jpg if you need to examine all of it. http://bit.ly/2k1j3sJ

                -The timestamps of the data I exported are 5 hours ahead of the timestamps in Ninjatrader because my local computers time is East Coast Time (UTC-5). The area circled in green attached C.jpg shows an Ask Tick as in appears in NT8. The area circled in blue in C.jpg shows the same Ask Tick as it appears in the exported file.
                Here is the issue= You’ll see NT8 shows the Ask Tick’s price is 2180.50, but the exported file shows the Ask Tick’s price (underlined in black within the blue box) is 2180.75. Why is this?
                (FYI: You’ll see the area underlined in red within the blue box shows the correct Ask Tick price.)

                Thanks
                Attached Files

                Comment


                  #9
                  Hello,

                  Thanks for your reply.

                  We have replicated this behavior on our end and will be investigating this matter further. I will follow up here with further information as it becomes available.
                  Drew O.NinjaTrader Customer Service

                  Comment


                    #10
                    Hi Drew, ever get an answer on this? Thanks.

                    Comment


                      #11
                      Hello,

                      Thanks for your patience.

                      I am still awaiting further information but will follow up here as it becomes available.
                      Drew O.NinjaTrader Customer Service

                      Comment


                        #12
                        Hi Drew, ever get an answer on this? Thanks.

                        Comment


                          #13
                          Hello,

                          Thanks for getting back to me.

                          I have followed up with the Development Team, who has mentioned that this may be expected. The purpose of the 3 prices is for Tick Replay. Tick Replay needs to know where the bid and ask data was for the last data.

                          Is there anything that is occurring on the platform side with this data that is not expected?
                          Drew O.NinjaTrader Customer Service

                          Comment

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