NT7B5 MBTrading Historical Data

[mrlogik]

Hi guys,

I have been working w/ NT7B5 and MBTrading (Nav 11.3.0.4).
I have no historical data; a completely clear / reset data base. I have set MBTrading as my Historical data provider in the account connections.

I am able to get minute based historical data by loading a chart.

I am not able to get tick based historical data (MB claims they allow 10 days worth) with either of the following methods.

1. Load a tick chart to (which would normally, automatically retrieve historical data).
2. Download Tick bid or ask or last tick data via the Historical Data Manager.
3. Reloading Historical data after either 1 or 2 have been tried.

All attempts have been w/ a request within the maximum of 10 days tick data.

Can anyone else confirm this issue w/ NT7B5 and MBTrading.

Thanks
mrLogik

[NinjaTrader_Dierk]

MBT acknowledged a couple of issues regarding historical data. I suggest trying again after they have MBT Nav 11.4.0.2 out and NT would support it (should be pretty right after).

Also: I never got proper historical data for our demo account, please make sure you are on a live account.

[mrlogik]

Thanks for the reply Dierk,

I tried the 11.4.0.2 RC as well; this did not work.

The account I used was a sub quote account of my live account. When I get home later today I will use my actual live account and see if that works. i'll also talk MBT SDK forums to see if there is any special requirement to get tick data. I may be wrong, but I think I read a while back when I created my own historical data receiver that your account had to be added in order to receive tick data. I will confirm this later.

Thanks

[NinjaTrader_Dierk]

Great, thanks.

[mrlogik]

Just some information for MBT Users (and maybe you want to add to your data page or help file at some point.

For historical data, please request data for no more than ten (10) symbols at one time.

Historical data is available as follows:

Day bars - up to ten years in the past.
Min bars - up on one year in the past.
Tick bars - the last 30 days.

Note: Demo logins may not see the current day for day bars, the current hour for min bars, or the current 20 mins for tick bars.

If you are having problems with the accuracy of historical data, including gaps, please email dataQuality@mbtrading.com.

Live logins will see live, real-time data. Demo logins will see 20-or-so-minute delayed data (see note above).

Thanks

[mrlogik]

Tonight I tried the following, with the same results for both with 11.4.0.2 RC, and 11.3.0.4.

Using the Historical Data Manager, download feature EURJPY pair.

Set date span to approx 2 weeks.

Select Tick --> Ask and download. The download starts and stops immediately. Try a Ask Tick chart, no data.

Select Tick --> Bid and download. The download starts and stops immediately. Try a Bid Tick chart, no data.

Select Tick --> Last and download. The download starts and completes in about 30 seconds. Try a Last Tick chart, data loads for the time span downloaded.

It appears downloading bid / ask data is the issue. MBT's SDK allows you to specify which tick data you want to download (Bid / Ask / Last); I believe these options to only do Bid / Ask is applicable.

Is there anything else I can look at to see if the Mbhistorical object is returning an error? Do you guys log something I can send to you?

Thanks

[NinjaTrader_Dierk]

We'll look into and will get back to you next week. Thanks

[NinjaTrader_Dierk]

Next beta will support historical bid/ask on MBT.

However, I noticed oddities with MBT historical data on our demo account:
- historical bid/ask daily data has serious inconsistencies which NT needs to filter (like Close < Low of a bar)
- historical bid/ask tick does not appear to be available at all

[NinjaTrader_Dierk]

Sorry, I have to pull this "feature", since according MBT there is no historical bid/ask data available at all.

[mrlogik]

Dierk,

Thanks for the reply. I wrote to the mbtsdk forums about historical bid / ask tick data.

Their response stated that bid / ask tick data is currently not ready; enumTickRequestFilter should always be set to trfTradesTicks (1), which corresponds to trades (executions as they call it). You may want to document this some where to be updated when they supply historical bid / ask tick data.

I guess this referrs to selecting Tick / LAST on the historical download in NT7? This worked for me.

Thanks

[NinjaTrader_Dierk]

Yes, the tick/last combination is fine.

[mrlogik]

Thanks,

I believe MBs historical data service is currently in beta...

Thank for the updates and looking into this for me.

[mrlogik]

Hey Dierk,

Just wanted to verify with MB Trading as a real-time data feed

Chart 1 = Bid Tick (is this the actual bid price sent by MB)
Chart 2 = Ask Tick (is this the actual ask price sent by MB)

Also, I have the "Save chart data as historical" option enabled, as well as the "Get data from server (if available)" option enabled.

If I collect data for both Bid and Ask tick charts (chart 1 / chart 2 as described above), then load this data historically, will both bid and ask real-time data be retained in the database for historical load?

Thanks

[NinjaTrader_Dierk]

>> will both bid and ask real-time data be retained in the database for historical load?
correct

[mrlogik]

Excellent.

Thank you