Convert historical/replay Ninjatrader8 data to Bookmap feeds

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SuperDriveGuy
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Convert historical/replay Ninjatrader8 data to Bookmap feeds

Post by SuperDriveGuy » Fri Dec 07, 2018 8:21 am

Hi
I was wondering if its possible to download historical tick or replay data from another platform(say Ninjatrader 8) and convert it to Bookmap feed format data for replay in Bookmap.
Currently the only way I can get Bookmap feed data for replay is If I have been recording data with Bookmap open and having subscribed to those instruments in BM.
Ninjatrader offers the functionality to download historical data in tick and its own replay format. If we could leverage that to build Bookmap feeds, it would be really helpful in backtesting, SIM, access to loads of instruments and exchanges.

I have seen some indicators/strategies in the demo on GitHub, but unsure of the general broad steps required to actually go ahead and do it, unless I misunderstood the purpose of those demo strategies. Any hints that direction would be really appreciated.

Thanks,

SDG

Serg
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Re: Convert historical/replay Ninjatrader8 data to Bookmap feeds

Post by Serg » Wed Dec 12, 2018 11:01 am

Hi,

Creating Bookmap readable data files from proprietary or any other data source is possible only with Quant license. But I suppose it's too expensive for this purpose.

I'm not familiar with NT's format and what "tick data" means. Is there depth data? Do you have a sample?

It's essential to have highest quality of data, ideally MBO and we'll make it possible to download through Bookmap. The question is, do you think Bookmap users will be interested to pay for such data around $1 per day per instrument? This could include US stocks (all 13 ECN's) and futures.

SuperDriveGuy
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Re: Convert historical/replay Ninjatrader8 data to Bookmap feeds

Post by SuperDriveGuy » Wed Dec 12, 2018 3:11 pm

Hi Serg,

========================================================================================
Creating Bookmap readable data files from proprietary or any other data source is possible only with Quant license. But I suppose it's too expensive for this purpose.
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I guess we can rule this out then :-)

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It's essential to have highest quality of data, ideally MBO and we'll make it possible to download through Bookmap. The question is, do you think Bookmap users will be interested to pay for such data around $1 per day per instrument? This could include US stocks (all 13 ECN's) and futures.
=======================================================================================
I use the Rithmic datafeed and I also have access to CQG's datafeed. I believe NT8 accesses the historical data servers, either hosted by Rithmic, or at the broker or NT itself to get the replay data.
Currently, I am only interested in replay data for FDAX and FESX, but I do understand that people trade different instruments and also there might be a co-relation with other instruments, even if trading just one and replay comparison might be helpful(beyond my level for now).
Can't speak for others but personally, I would find it really useful more as an additional service Global++? that would give one the ability to download replay data by connecting to their data provider's historical servers. in NT this is available as default.

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I'm not familiar with NT's format and what "tick data" means. Is there depth data? Do you have a sample?
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EXPORTED DATA
I have attached tick data files exported from NinjaTrader 8, by default it exports data as bid, ask and last, each separately. These are CSV text files, I believe level II
ES _1218_20181211_Last.txt
ES _1218_20181211_Bid.txt
ES _1218_20181211_Ask.txt

HISTORICAL DATA
When NT8 downloads historical data, it create its own file format, NCD and generates 1 file each for BID,ASK and LAST, by the hour. I have attached file NT8_historicaldata.jpg listing the files generated . Can attach some files, if they can be read and are helpful
201812112200.Last.ncd
201812112200.Bid.ncd
201812112200.Ask.ncd


REPLAY DATA
This is NT8's version of its Bookmap like replay. This too is useful. I have attached a jpg file listing the directory and file created. Its a custom format NRD file, can attach here if it helps, Its only 1 file, but too big to be allowed to attach here.
20181211.nrd

1. If I use it with Bookmap's NT8 indicator I can replay in NT8 with BM's indicator and basically get Bookmap's replay
-- issues
(a), the timing in BM is OFF, BM basically display the current time, not the replay(ed) time
(b), there is bug, which I believe you are already aware, where some levels data is missing(this happens in LIVE too)

Thanks again for looking at this.

Ciao
Attachments
NT8_historicaldata.JPG
NT8_historicaldata.JPG (187.95 KiB) Viewed 1450 times
NT8_replay.JPG
NT8_replay.JPG (17.49 KiB) Viewed 1450 times
ES_1218_20181211_Ask.zip
(1004.09 KiB) Downloaded 70 times
ES_1218_20181211_Bid.zip
(1007.83 KiB) Downloaded 68 times
ES _1218_20181211_Last.zip
(231.42 KiB) Downloaded 73 times

AndreyR
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Re: Convert historical/replay Ninjatrader8 data to Bookmap feeds

Post by AndreyR » Thu Oct 17, 2019 11:44 am

Hi SuperDriveGuy,
does it still happen?

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