Strategy testing using level 2 data NT8

[PolarBear]

There's a number of posts on this subject from previous years. I note this thread:

https://ninjatrader.com/support/forum/showthread.php?t=81394

where a feature ID request (SFT-1198) back in 2016.

Has this feature of being able to access level 2 data that you have recorded live (from data provider) exist n NT8? As explained in numerous posts, the ability to test strategies taking advantage of level 2 data is a requirement for many, including myself for daily strategies.

Also, are you aware if any providers like IQFeed allow the ability to get previous days historical data on instruments you want the level 2 data for. So for example I could use market replay functions to observe the level 2 data in the DOM from a few months ago If I hadn't recorded the data live at that time?

thanks
Daniel

[NinjaTrader_ChelseaB]

Hello Daniel,

NinjaTrader 8 also does not have level 2 data recorded for use as historical data.

I'm not aware of any data providers that provide this as historical data, but I would also recommend contacting the support for each provider individually and asking.

Level 2 data is available with Market Replay data and can be played back. Unfortunately, this cannot be used with the Strategy Analyzer.

I am happy to add your vote to the feature request you have mentioned if you would like.

[PolarBear]

Yes please add my vote. This is extremely dissapointing though. Why would this have not made it's way into NT8? The data is there and you can access on replay, so I assume I can add the strategy to a chart and an indicator using this data (please confirm)??
If so it seems strange you can't do it with the strategy analyser. Please comment if you can and advise if this is coming soon.

thanks
Daniel

[NinjaTrader_ChelseaB]

Hello Daniel,

Market Replay data is a solid recording and isn't broken up into historical tick data, minute data, and daily data.

Replay data is played back as a recording.

The Strategy Analyzer needs separated historical data.

This would require setting up new servers to store level 2 data as historical tick, minute, and day data, but instead of just for ask, bid, and last, would be for 20 levels of level 2 data.

I've submitted a feature request on your behalf for the NinjaTrader Development to consider this.

It is up to the NinjaTrader Development to decide if and when any request will be implemented. I cannot comment on an estimated time or if the decision will be made to implement the request.


That said, Market Replay data is a recording. You can run your strategy on a chart and playback a day of replay data to test your strategy.

Below is a link to a forum post that demonstrates.

https://ninjatrader.com/support/forum/showthread.php?p=514402#post514402

[NinjaTrader_ChelseaB]

Hello Daniel,

Your request to provide level 2 data as historical data is being tracked with ID #SFT-2507.

Please note it is up to the Development / IT departments to decide if and when any request will be implemented.

[Theghios]

Dear NinjaTrader Support,

I am interested in doing the same thing, is there any news about the feature being implemented?

Thanks and best regards,
Nicolaj

[NinjaTrader_Jim]

Welcome to the forums Theghios!

I have added a vote on your behalf.

Feature Request implementation is determined by the Product Management team, the Development team, and user feedback. At this time, interest is still being collected and we cannot offer an ETA or promise of fulfillment.

In the meantime, Level2 data can be played back using Market Replay data in the Playback Connection, and Trade Performance reports can be run when connected to the Playback Connection to review the trades made.

Playback - https://ninjatrader.com/support/help...connection.htm

Using Trade Performance - https://ninjatrader.com/support/help...erformance.htm

Thanks for taking the time to share your interest in this enhancement!

[Capablanca]

Please add another vote for this feature!

[NinjaTrader_Jim]

Thanks for your feedback Capablanca,

I have added a vote on your behalf.

[PolarBear]

Posted this question around 3 years ago. Any progress on this?
I still need to test strategies and optimize including level 2 data.

thanks,
Daniel

[NinjaTrader_Jim]

Hello Daniel,

There is no further detail at this time.

This would be a rather large change to the Strategy Analyzer, and larger changes are usually made for "major" releases like a NinjaTrader 8.5 or NinjaTrader 9. I can't be quoted on when a release like that would be available, or if a release like that would in fact include level 2 enhancements for the Strategy Analyzer, but I hope this perspective helps with expectations of feature requests.

For the time being, your best way forward would be to perform individual tests in the Playback Connection and then export strategy reports or Trade Performance reports for your own analysis.

[Nate G]

Polar Bear,
Sorry I'm a bit tardy to the party, but I'm going down this rabbit hole now. I think I have a solution for you. I'm using replay to extract OHLCV from replay data. That's going great. Next step is to pull the L2 data (which is attached to their replay data). If you're interested let me know, and I'll hook you up after I get it.

Nathan.