Level1 Market Replay from Historical Tick Data Cache

[NinjaTrader_Bertrand]

Ross, the Market Replay recorder interface would stay the same, added are the features as noted on this link - http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html

The data would still need to be recorded for replay with NT7, as a current work in progress we plan to offer downloadable replay data for more convenience when working with this powerful feature.

General Market Replay Enhancements
- Overall performance improvements
- Data files are now always split at midnight US ET
- All recorded replay data files are now aggregated into a single replay session on connect allowing for continuous replay across all available days
- Chart draw objects added to a chart during replay are now removed on rewind

[Jonas]

A little utility

Hello!

I have created today this little utility (VB6). I do not know if the DLL and OCX files will be on the same path on all computers, but I have attached the sources also. This version injects only the last price and the volume, but can be extended easily. If you have any other source, you can add it to the program (if something interesting share it also ;-) ).

Warning I: we must delete the instrument's historical data and then execute it. I do not support it (obviously not NT), so use it under your responsibility.

Warning II: there is also the .exe. My antivirus says clean, but at your own risk.

Warning III: Not tested (only now 10 minutes, and running)

Good luck and enjoy

[qtmspin]

txt2nt

I would like to try out your program.
These are the steps I am following:

1. Export the historical data from Ninja to the txt file.
2. Deleted historical data for that symbol.
3. Loaded the .txt file in txt2Nt program
4. Connect NinjaTrader to external data feed???
5. Hit play button on txt2Nt
6. Open new chart in NinjaTrader w/ symbol specified in txt2nt

Am I missing any step? My charts are blank.

Thanks a million for providing the software. VitaminC did write some useful software, but it's max playback speed is too slow for the amt of data I have to sift through.

Matt

[Jonas]

Hi !
I am glad that you like to test this tool.
The file format must be the NT file export:

(...)
06/09/2009 23:00:16;1,4303;1
(...)

The symbol that you set in the Symbol field is exactly the symbol send to NT, so if you need to paint it in a chart make sure it is correct. I've only tested with $EURUSD, but it must be the go for all the instruments.

The go&run field must be greater that the values you need to replay. Go and play. The bottom ritght box shows the seconds running? You can change now the Play s/s field to 100 s/s and the speed must increment.

[qtmspin]

Thanks for the reply. I have done a bit of programming as well, and my least favorite part is support, so thanks for the help.

The chart was not being drawn on the screen using Ninja Trader 6.5.1000.10 I updated to 6.5.1000.13 and am getting an error that says "ActiveX Component cant create object" I get the same error with 6.5.1000.12, however 6.5.1000.11 seems to play the data file.

Which NinjaTrader version are you using?

Do I connect NinjaTrader to "External Data Feed"?

The field next to Run is set for today's date and time.

Thanks again,
Matt

[Jonas]

Hi !
I have changed my NT version to .13, unreferenced the old NT client dll, and referenced the new one. Try this exe (AV again plaese) or try it so in VB.

Do I connect NinjaTrader to "External Data Feed"?

Yes.

[qtmspin]

Progress...

I got my chart to update. I was expecting the chart to update quicker then it actually was - lack of data in the .txt file and I was not putting in the right chart (start/end) dates when I opened the new chart.

Your program is working well. When I submit a buy/sell order in the simulator I am getting the message

"There is no market data available to drive the simulation engine"

Thanks,
Matt

[Jonas]

Yes. There is not Bid nor Ask. I have added one field: simulated spread. Now the app, in the last tick, sends Bid and Ask also.

NT.AskPlayback editSymbol.Text, row.fLast + editSimSpread.Text / 2, 100000000, Format(row.dtDateTime, "yyyymmddhhnnss")
NT.BidPlayback editSymbol.Text, row.fLast - editSimSpread.Text / 2, 100000000, Format(row.dtDateTime, "yyyymmddhhnnss")

But warning !!!!
These values are simulated and in determined market conditions such as news and extreme volatility, your results will not be as simulated.
Another option is to do well from code: it's not difficult if you have the full prices.
Remember that you can activate the recorder and then run it as normal replay.

[qtmspin]

Thats awsome!

Thanks to your progam we can now trade historical data from: http://ratedata.gaincapital.com/

You have to change the format from Gain format:

tick id, pair, date time, bid, ask, D
880261277,EUR/JPY,2009-07-05 17:01:04,134.150000,134.200000,D

to NT format:
date time; bid; volume
20090705 170104; 134.20; 100000

I personally use Ultra-Edit, but you can probably use Excel.

Is it possible to read data in this format to get actual spread from Gain's data?

Wow - your progam should be a top post, I think alot of others are looking for this type of NT add on.

Matt

[Jonas]

I'm glad you like it.
Perhaps another member can add the Gain format, there are the sources.

Thanks

[salehi]

datafeed

I also want to write a datafeed for Nt, and need your help.
i thinks ninja have no good support for this article.
can you share your source?
how can i get gain source demo?
i work just on FOREX
Thanks
Bahman

[Jonas]

Hi salehi !
The source is Visual Basic and is in this post
AFAIK the gain demo access has beed discontinued.

Jonas