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NinjaTrader
mix historical and realtime sources for symbol
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mix historical and realtime sources for symbol
It would be helpful if NinjaTrader had the following ability: for a given symbol, get realtime data from one source, such as InteractiveBrokers, and also get historical data from a different source, such as OpenTick. The historical data request could be triggered by a specific command such as "reload chart data", so the process of collecting historical data from one data source would not always be in conflict with the collection of realtime data from the other data source. This would go a long way toward making up for NinjaTrader's decision to not support historical requests for IB second bars (or "ticks"), assuming that one can still chart IB second bars (or "ticks") in realtime.Tags: None
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Hello Josh, thanks for your answer. I want to explain that the desired functionality would be to run the realtime feed first, for about an hour or so, and then execute the historical backfill later without interrupting the realtime feed. That technique would be more valuable to the user, because it compensates for any delay that the historical data source may have. Otherwise, if one works in the order that you suggested, I think that there will always be a gap in the data. That would not be so bad if NinjaTrader supported IB history requests for all intervals including second bars, but that is currently not the case. It might also be useful if historical data requests included the option to specify a user-defined length, for example, in order to avoid over-taxing the IB servers, just in case there is a gap somewhere else in the chart that is about 6 months back but really does not need to be filled anyway...
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