Tick data backtesting

[texasnomad]

I noticed in the 6.5 docs that the data formatting only contains a column for the Bid. Is it possible to import tick data for both the Bid and Ask?

[NinjaTrader_Matthew]

Hello texasnomad,

If you right click on the Market Analyzer and chose columns, you should see the option for both the Ask Price as well as the Bid Price.

Please let me know if this is not the case.

[texasnomad]

This appears to relate to live price data.

I want to import historical tick data. However, the NT docs say formatting must look like this:

Tick Format
Each tick must be on its own line and fields must be separated by semicolon (;).


The format is:
yyyyMMdd HHmmss;price;volume


Sample data:
20061107 000431;1383.00;1
20061107 000456;1383.25;25
20061107 000456;1383.25;36
20061107 000537;1383.25;14


Notice how there is only a column for "price" and not bid/ask. How do I import historical bid and ask prices?

[NinjaTrader_Matthew]

texasnomad,

I misunderstood your initial request. This is the Market Analyzer sub-forum and I thought you were referring to the Market Analyzer documentation. Thank you for clarifying, I now fully understand your inquiry.

Unfortunately, in NT V6.5 it is not possible to import Bid/Ask data. You can only import Last Price.

However, in NT V7 you have the ability to import Bid/Ask data through the Historical Data Manager.

Please review the NT V7 Help Guide for more information on this topic:
http://www.ninjatrader.com/support/helpGuides/nt7/index.html?importing.htm

Please let me know if you have any other questions.

[texasnomad]

Sorry, but I have to ask a really dumb question. It's really critical for me to confirm that my assumptions are accurate.

If I import the bid, then separately import the Ask, then run a backtest, NT automatically sorts out which price to use, correct?

[NinjaTrader_Matthew]

texasnomad,

Yes, NinjaTrader will sort out which price to use. Each data type is imported as its own separate file, but NinjaTrader will adjust this to work accordingly.

[texasnomad]

Excellent. Thank you for the speedy response and helpful links.

I am interested in purchasing tick data for my testing. Does NT recommend or offer a list of tick data for sale? I'd ideally like to purchase the tick data already formatted for NT instead of coding and reformatting.

[NinjaTrader_Matthew]

texasnomad,

Unfortunately, I do not have a recommendation of vendors that sell historical tick data. Maybe another user on the forum can provide input based on their experience to guide you in the right direction.

Please let me know if you have any other questions.

[tangenttrader]

you can try www.ohlcdata.com as well, they seem to have tick data

[texasnomad]

Awesome! Thanks for the post.