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Help on Last, Ask and Bid files for Historical Data

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    Help on Last, Ask and Bid files for Historical Data

    Sorry for my question, I'm new and I want to test strategies in the financial market BVMF&Bovespa (Brazil).

    PS: Sorry about my english its very poor. I used google translator.

    I am having doubts about the data I import from a file in the format: Tick (Sub Second Granularity) for the Historical data.

    In the database I have 3 types of files, and all are sorted by Instrument symbol:
    1) Trades - Trades realized;
    2) Buy Orders - Trades realized and not realized;
    3) Sell Orders - Trades realized and not realized.

    My question is:
    For files Last XX 00-00.Last.txt = Trades, XX 00-00.Bid.txt = Buy Orders and Ask XX 00-00.Ask.txt = Sell Orders. Is correct ?



    Here its the link for Database :ftp://ftp.bmf.com.br/MarketData/BMF/


    Attached files :
    1) Exemple NEG files.txt = Trades realized;
    2) Exemple Buy files.txt = Buy Orders (realized or not);
    3) Exemple SELL files.txt = Sell Orders (realized or not).
    For Attached files i have edited and erase alots of data, because they are too big.
    Attached Files
    Last edited by EricS; 03-26-2017, 06:44 AM.

    #2
    Tick Replay data needs to be in yyyyMMdd HHmmss fffffff;last price; bid price; ask price;volume format.

    Here is a link to the help guide section on 'Understanding import file and data formats':

    http://ninjatrader.com/support/helpG...AndDataFormats
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_PatrickG View Post
      Tick Replay data needs to be in yyyyMMdd HHmmss fffffff;last price; bid price; ask price;volume format.

      Here is a link to the help guide section on 'Understanding import file and data formats':

      http://ninjatrader.com/support/helpG...AndDataFormats
      Thanks for reply.

      About data formats its ok, i understand. I think I did not know how to explain my doubt, I'll try to ask it another way.

      I have questions regarding the data that goes into each file. Example, the data that goes in the Ask file are the trades realized and not realized? And in the Last file are only the trades made?

      Comment


        #4
        NinjaTrader doesn't control what data goes into the bid/ask and last data. NinjaTrader simply displays the data as it is provided. If you're curious about what trade information is contained in bid/ask and last data I would recommend reaching out to the source of the data.
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          You don't seem to even understand what the best bid and ask prices mean. That's not good...

          I don't know why the bid and ask files even exist. They are totally and completely useless.

          If you need the bid and ask prices associated with real time trades, use OnMarketData. For historical bid ask prices associated with historical trades, use Tick Replay mode.

          But first you need to figure out what these terms mean.
          Last edited by Ricam; 03-28-2017, 03:10 PM.

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