Bid/Ask Historical Quote Petition

[ZTR]

Zondor got millisecond resolution for the GomRecorder last night!

Here is what the data file looks like now

100509233456 1 76.02 1
time= minute 34 second 46. tickType1 AtBid, price 76.02, volume 1
100509233456 6 76.02 109
time= minute 34 second 46. tickType6 Timestamp price 76.02 milliseconds =109
that means the record of a trade that happened at 34:46:109


100509233456 1 76.02 9
100509233456 6 76.02 109
100509233518 1 76.02 1
100509233518 6 76.02 452
100509233518 1 76.02 2
100509233518 6 76.02 452
100509233518 0 76.01 1
100509233518 6 76.01 452
100509233518 0 76.01 6
100509233518 6 76.01 452
100509233548 3 76.04 1
100509233548 6 76.04 46
100509233548 3 76.04 1
100509233548 6 76.04 62
100509233550 1 76.02 2
100509233550 6 76.02 937

Pretty good?

[NinjaTrader_JoshP]

Ricam,

In real-time I believe you can use DateTime.Now to get the time of your event in relation to your PC clock instead of relying on bar's timestamps.

[Ricam]

Getting trade times from DateTime.Now

Re Josh's post #17: the data in Post #16 were generated using that method. However with DateTime.Now not being the same as e.Time, I was concerned whether under some circumstances, this discrepancy could cause problems.

[NinjaTrader_JoshP]

When your PC clock is in sync the discrepancy should be very nominal. I would not see any problems per se. Perhaps you have use cases that I am not aware of so cannot say for a fact you won't have problems. If you are only trying to get the relationships between one tick to the next, DateTime.Now will preserve that relationship just fine even if your PC clock is off. The relative positioning of each event is still preserved as every event would have the same offset.

[Ricam]

File of recorded millisecond time stamps

There was a minor typo in the printout from the flat data file of the GomMillisecondRecorder. The example trade happened at second 56, not 46. (Because there are now two lines for each trade, derived indicators now need to make two passes through GomOnMarketData to get all the information for a trade.)

This is a workaround, and of course it would be much better to have the bid ask capability within NT, so that OnMarketData would work with historical as well as real time data. Thanks for considering!

100509233456 1 76.02 1
time= minute 34 second 56. tickType1 (AtBid), price = 76.02, volume 1

100509233456 6 76.02 109
time= minute 34 second 56. tickType6 (Timestamp), price =76.02, milliseconds =109
that means the record of a trade that happened at 34:56:109

Timestamp/tickType/Price/Volume or milliseconds
100509233456 1 76.02 9
100509233456 6 76.02 109
100509233518 1 76.02 1
100509233518 6 76.02 452
100509233518 1 76.02 2
100509233518 6 76.02 452
100509233518 0 76.01 1
100509233518 6 76.01 452
100509233518 0 76.01 6
100509233518 6 76.01 452
100509233548 3 76.04 1
100509233548 6 76.04 46
100509233548 3 76.04 1
100509233548 6 76.04 62
100509233550 1 76.02 2
100509233550 6 76.02 937

[NinjaTrader_Bertrand]

Thanks for your feedback Ricam.

[Profitmake]

I would second that.
I would like to have historical bid/ask volume too.

[playafh69]

I know that ninja doesn't consider this a major issue, thats why this bid ask thing has been going on well before the idea of ninja trader 7 coming out. I personally believe that it will never be fixed. I think that they believe there aren't enough people asking for it for them to actually put effort and man hours into it therefore based on the amount of request i understand why you guys don't wanna do this. This issue could have easily been fixed with ninja 7 development, and most people would def agree with me. It really didn't have to be a "lets do ninja 7 first, then will work on this."
But, on the flip side, i just wanted to let you know that i know many people that stopped using ninja trader because of this issue. Also, if money is the bottom line(which it always is), i can tell you that if you fixed this issue and advertise it, you will get at least 50% of the customers that use other charting packages like investor rt, multi-charts, sierra charts.. etc And thats ALOT of poeple..... The main reason why most people use those other programs are specifically bc of this bid ask issue. There are people that are willingly paying $90+/month for an iq feed even though they have a zenfire account or TT account because of the quality of iq feed bid ask data....
I understand that nothing is perfect, and each charting package has its own kinks, and I'm not bashing ninja, but this would be a lot of revenue for you guys. If Gomi, as one person, can create all these indicators with ninja's shortcoming, i see no reason why this can't be fixed with the team of programmers that ninja has.


food for thought

[timmyb]

I know that ninja doesn't consider this a major issue, thats why this bid ask thing has been going on well before the idea of ninja trader 7 coming out. I personally believe that it will never be fixed. I think that they believe there aren't enough people asking for it for them to actually put effort and man hours into it therefore based on the amount of request i understand why you guys don't wanna do this. This issue could have easily been fixed with ninja 7 development, and most people would def agree with me. It really didn't have to be a "lets do ninja 7 first, then will work on this."
But, on the flip side, i just wanted to let you know that i know many people that stopped using ninja trader because of this issue. Also, if money is the bottom line(which it always is), i can tell you that if you fixed this issue and advertise it, you will get at least 50% of the customers that use other charting packages like investor rt, multi-charts, sierra charts.. etc And thats ALOT of poeple..... The main reason why most people use those other programs are specifically bc of this bid ask issue. There are people that are willingly paying $90+/month for an iq feed even though they have a zenfire account or TT account because of the quality of iq feed bid ask data....
I understand that nothing is perfect, and each charting package has its own kinks, and I'm not bashing ninja, but this would be a lot of revenue for you guys. If Gomi, as one person, can create all these indicators with ninja's shortcoming, i see no reason why this can't be fixed with the team of programmers that ninja has.


food for thought

I have to agree I pay 90+ for IQfeed and all i want is to be able to use the historical manager to download the data my feed provides. It is silly for ninja to allow DTN historic feed if we have to download the ask then the bid then combine it the import then decide screw this I am gonna bail on ninja and stay with R/T. I have to say that I spend well over 200 a month on r/t and data feeds and still use ninja as my primary chart. That is saying something. The only thing i use your competition for at this time is to export the data i need then use the GOM converter to fill my charts when my pc hiccups on its 24-7 rumble to collect data. We are NOT asking you to store the data. We can do this ourselves just add the functionality to get from our vendors what we want.

I have been paying for ninja for over a year. I regret not just paying the 1k. If this problem is fixed I would pay the 1k tomorrow. In fact i would pay what i pay now monthly and forget the 1k just to have what i need. Basically i am willing to pay monthly and pay more than 1k for your product if you can fix the hitorical backfill issues for bid/ask. Now that should be telling you something.

[LuboLabo]

Thaks All

I'm thankful to all who give support here.

Lubo.

[BobCards]

I have to say that I spend well over 200 a month on r/t and data feeds and still use ninja as my primary chart. That is saying something.

............................

In fact i would pay what i pay now monthly and forget the 1k just to have what i need. Basically i am willing to pay monthly and pay more than 1k for your product if you can fix the hitorical backfill issues for bid/ask. Now that should be telling you something.

What he said

[SirNeb]

ya, just started doing some Ninjascripts here and realized its limitations. Definitely would love to have this feature.

[NickA]

It's really strange that no one leave his signature on this petiton, cos on others thread this issue is large discussed.
May in this section there's no much visibility.
People open your eyes!

Lubo.

P.s. Thank you NinjaTrader Ben.

That is why - because there are numerous other threads that make the same request . The best evidence that not only is this required but required by a lot of users (whether they pettition or not) is the popularity of the Gomi threads and indicators. For those that don't know Gomi has written code to save tick data in an external database with properly sequenced historic bid ask and last information.

[fliesch]

I definately agree with playafh69.!
With bid/ask filling for backtesting I would purchase Ninjatrader since years. Like this: reevaluated once more - this time NT7. And I do not think that I want to do all the extraworkarounds just to do this backtest I can do more easily in other software.