Calculate tick-based indicators on historical bars

[JangoFolly]

Hi. Will the ability to calculate historical tick-based indicator values be available sometime in the future? This would be of great help for indicator development and strategy backtesting. Neoticker has this feature as an option for a chart, since it's a bit of a CPU hog to recreate the historical periods tick by tick.

Thank you.


Regards,

[NinjaTrader_Ray]

This is on our list for the future.

[maskiepop]

tick-based indicators

This is on our list for the future.

Hi Ray,

Can you explain this a bit more? I am developing a number of tick based indicators (1 tick/bar. It seems to work with live data (Sim feed), but I am having considerable problems back testing it. Is that what this thread is about? That one cannot backtest tick based indicators?

I haven't come across any such restrictions against tick based indicators in the NT documentation . I'd appreciate it if you can point me to that.

Cheers

[NinjaTrader_Ray]

Currently on historical tick data, we have price, volume and time. In the future, we will add at least two more properties, ask and bid at the time of the tick so people can do historical bid/ask volume analysis on indicators.

[maskiepop]

tick-based indicators

Currently on historical tick data, we have price, volume and time. In the future, we will add at least two more properties, ask and bid at the time of the tick so people can do historical bid/ask volume analysis on indicators.

Thanks Ray.

This doesn't seem to explain my problems with the backtesting of my indicators. I will try to get more info first, before I trouble you with it.

Thanks again.

Cheers

[JangoFolly]

Isn't it also the case that when historical periods are loaded, only the OHLC for the period are utilized for calculating indicators?

That is, if you have an indicator that runs OnBarUpdate on each tick (CalculateOnBarClose = false), historical periods will not be processed in the same manner as real-time periods.

[NinjaTrader_Ray]

During a backtest, data is *always* calculated on a bar by bar basis, the equivalent of the CalculateOnBarClose property set to a value of true.

[Ninjawannabee]

Currently on historical tick data, we have price, volume and time. In the future, we will add at least two more properties, ask and bid at the time of the tick so people can do historical bid/ask volume analysis on indicators.

By this do you also mean that in forex tick backtest spreads are not taken into account, or is the spread used simply the current/last active spread?

[NinjaTrader_Ray]

In a backtest, all we know is OHLC. We do not know bid/ask data thus, you can only simulate a historical fill based on the OHLC data.

[aleles]

I've been looking through a few similar topics. Is it true that it's not possible to backtest a strategy let's say on 10 min bars, having them filled using real historical tick data, so that OnBarUpdate is called for every tick?

If it's not possible in NT 6, is it improved in version 7?

In a backtest, all we know is OHLC. We do not know bid/ask data thus, you can only simulate a historical fill based on the OHLC data.

[aviat72]

As I have written earlier, this is a key missing feature.

The good thing is that all the basic building blocks are already in place. The replay mode is doing exactly that. However the historical data load or backtesting does not pump in tick by tick data.

NT will have to start maintaining the relative order of the bid-ask-price ticks in the NT historical database used for pumping historical data.

Also for indicators which require it, the tick by tick data will have to be pumped in. During the recreation of historical bars, indicators which do not need tick by tick data can still operate on a barclose basis; only indicators which genuinely need tick by tick data need all the ticks. This potentially is an additional property (e.g. ReBuildUsingTickData).

There can be indicators for which we want CalculateOnBarClose = false in real-time but it is OK to do it on a bar by bar basis when rebuilding historical value (RebuildUsingTickData = false). OTOH there are other indicators which will require tick by tick data both during historical periods and real-time. These are primarily which build up aggregate statistics (e.g. VWAP, volume profile, market delta etc.).

[aleles]

aviat72, thanks for clarification!

what about NT7 ?