Strategy Builder

[Trader17]

If I want to test a strategy from the Builder on tick data is it possible? Like do not wait to trade till just the close. If a condition happens intra bar then execute it. And how far back do I get CQG tick data?

Also are there any reliable vendors or does Ninja have historical tick data going back 5 to 10 years on futures contracts or more? And if so can it be stored on my local machine going forward to keep it up to date?
Thanks.

[NinjaTrader_Jim]

Hello Trader17,

Thanks for your inquiry,

For realtime data only, you can enable the strategy with Calculate.OnEachTick. For historical and realtime purposes, you can apply the strategy against a single tick data series.

Single tick data is typically available for 1 year. There are 3rd party historical data providers that can offer this data in NinjaTrader format for download. These providers may offer more data than the 1 year that is typically available. I could not comment on any specific providers that offer this, but they could be found with Google and the right keywords.

I'll include a link on NinjaTrader 8's historical data format and importing if you would like to obtain this historical data from a 3rd party. Once the data is on your platform you can use it for backtesting or for historical purposes as long as it is still on the platform.

Historical Data formats - https://ninjatrader.com/support/help...AndDataFormats

Importing Historical Data - https://ninjatrader.com/support/help...HistoricalData

If there is anything else I can do to assist, please let me know.

[Trader17]

Sorry about the question. Where do I turn on Calculate on Each Tick for strategy back testing?
Thank you.

[NinjaTrader_Jim]

Hello Trader17,

You will need to enable Tick Replay in the Options menu of the Control Center and on the Strategy Analyzer as well as having the strategy set to Calculate.OnEachTick.

Tick Replay in the Control Center can be found under Tools > Options > Market Data > Show Tick Replay.

Keep in mind, Tick Replay allows the strategy to calculate with each tick, but this does not effect historical fill processing. The strategy will still fill orders against the data series that the it is applied to, and High Order Fill Resolution will not work with Tick Replay. The solution for backtesting a strategy with Tick Replay and filling orders with intrabar granularity will involve submitting those orders to a single tick data series. This cannot be done in the Strategy Builder and must be coded with a Multi Series NinjaScript.

I will provide some publicly available information for developing with Tick Replay, Multi Series NinjaScripts, and backtesting against a single tick data series for intrabar order fills.

Developing for Tick Replay - https://ninjatrader.com/support/help...ick_replay.htm

Multi Series NinjaScripts (Important read!) - https://ninjatrader.com/support/help...nstruments.htm

Backtesting with intrabar granularity - https://ninjatrader.com/support/foru...ead.php?t=6652

Please let us know if you have any questions.

[Trader17]

Sorry am confused. So I cannot back test using tick data to see intra bar fills?
Thank you.

[NinjaTrader_Jim]

Hello Trader17,

You can still backtest using tick data for intrabar fills. Depending on the approach, you may need additional programming to submit orders to a 1 tick data series.

It's important to note that Tick Replay lets the strategy process using Calculate.OnEachTick while in a Historical state, but this does not change the data series that is used to simulate order fills.

When not using Tick Replay you can:

1. Use High Order Fill Resolution
2. Submit orders to a single tick data series

High Order Fill Resolution cannot be combined with Tick Replay. So if the strategy uses Tick Replay, the strategy should be written to submit orders to a single tick data series for intrabar granularity. This requires custom programming and cannot be done with the Strategy Builder. The "Backtesting with intrabar granularity" example can be used to demonstrate.

If you are using the Strategy Builder and Tick Replay with your strategy and would like assistance in programming the logic to submit orders to a single tick data series, I can have a representative of our EcoSystem write back with additional information on NinjaScript Consultants who would be eager to write this logic or any other logic for you.

Please let me know if there is anything else I can do to help.