NinjaTrader Data Types
Data Granularities
| Data Granularity | Market Replay Compatible | Indicators & Strategies Compatible | Available History |
|---|---|---|---|
| Daily - Continuous File | no | yes | From 1987 - Current |
| Daily - Individual Files | no | yes | From 1987 - Current |
| Intraday (1 Min) - Continuous File | no | yes | From 1987 - Current |
| Intraday (1 Min) - Individual Files | no | yes | From 1987 - Current |
| Tick - Trades Only (No Bids & Asks) - Individual Files | yes | yes | From 2014 - Current |
| Tick - Level 1 - Individual Files - 1 Data Series that contains the Trade Price (i.e. Last) with the corresponding Bid & Ask on each row | yes | yes | From 2014 - Current |
| Tick - Level 1 - Individual Files - 3 Separate Data Series of Bid, Ask & Last (Price on request based on GB) | no | yes | From 2014 - Current |
- Portara is the approved historical data provider for NinjaTrader
- Usually tick data, especially Level 1 tick data, which contains the bids and asks, is very expensive and extremely large in size.
- To help NinjaTrader users, Portara has created highly discounted historical data sets that you can import directly into NinjaTrader without headaches. Full import step-by-step instructions are given.
Daily Data
The format is:
yyyyMMdd;open price;high price;low price;close price;volume
Sample data:
20061023;1377.25;1377.25;1377.25;1377.25;86
20061024;1377.25;1377.25;1377.25;1377.25;27
20061025;1377.25;1377.25;1377.25;1377.25;24
20061026;1377.50;1377.50;1377.25;1377.25;82
Intraday Data (1 Min)
The format is:
yyyyMMdd HHmmss;open price;high price;low price;close price;volume
Sample data:
20061023 004400;1377.25;1377.25;1377.25;1377.25;86
20061023 004500;1377.25;1377.25;1377.25;1377.25;27
20061023 004600;1377.25;1377.25;1377.25;1377.25;24
20061023 004700;1377.50;1377.50;1377.25;1377.25;82
Tick – Trades Only Data (No Bids & Asks)
Only the historical trades (known as ‘last’ in NinjaTrader) are purchased. The data is a less expensive than Level 1 tick and also is 10 to 100x smaller in size. It is easy to manipulate and much faster to import into NinjaTrader. NOTE: If you can manage without the bids and asks in your strategy or for your ‘NinjaTrader Playback’ requirements, then this route will be best.
- NinjaTrader is now capable of using tick – trades only data for Market Replay and Playback regardless of the old note in the NinjaTrader help files saying the opposite. See the video below for details of how to do that:
- This data can also be used programmatically with indicators and strategies.
- Because there are no bids and asks in Tick – Trades Only data, NinjaTrader simulates the bids and asks when in Market Replay Playback mode.
Watch the video below on how to transform your ‘historical data’ into ‘market replay’ data within NinjaTrader and then use that ‘market replay’ data in Playback:
Tick Trades Only Format (with Millisecond Granularity)
The format is:
yyyyMMdd HHmmss fffffff;price;volume
Sample data:
20061107 000431 1000000;1383.00;1
20061107 000456 1000000;1383.25;25
20061107 000456 2000000;1383.25;36
20061107 000537 7000000;1383.25;14
Tick – Level 1 Data (with Bids & Asks)
There Are Two Types Of Level 1 Data For NinjaTrader
Learn about Market Replay, Tick Replay & Playback
Learn about Separate Databases for NinjaTrader Bid/Ask/Last Series
Tick – Level 1 For Use With Market Replay, Tick Replay & Playback
This data can be used for Market Replay Playback. This data can also be used programmatically with indicators and strategies.
Data Importing
The format is:
yyyyMMdd HHmmss fffffff;price;volume
With this data, the tick trade, i.e. the last also has the bid and the ask prices printed along with the trade volume in the same row. There is no bid or ask volume. Due to a nuance within NinjaTrader (see first video) it is not possible to see the bid and ask prices in the historical Data UI, you only see the last price and volume even though the data read-in successfully.
The algorithm for bids and asks needs to be as follows otherwise the data will NOT import in:
- Bid price must remain below or equal to trade price
- Ask price must remain above or equal to trade price.
- Portara deals with this algorithm so your data will read successfully into the NT platform.
Tick – Level 1 – Historical Bid/Ask/Last Series – 3 Separate Databases
The historical bid/ask/last series holds all bid/ask/last events in 3 separate databases. Example: Using September 2024 NQ:
- NQ -09-24.ask.txt (much larger than the last database)
- NQ -09-24.bid.txt (much larger than the last database)
- NQ -09-24.last.txt
Portara can create this data for you if required. This form of data is huge due to the sizes of the bid and ask databases. Each database must be imported into NinjaTrader separately. The data can only be queried programmatically using NinjaTrader indicators and strategies. The data is obviously much more expensive to purchase because of this. For example, at the time of writing, August 2024, the size of the zipped text files for ES from 2014 to date is 64GB; the size of MNQ from June 2019 to date is 272GB. The size of unzipped files are 10x bigger than the zip files. Once imported into NinjaTrader file sizes should decrease by around a factor of 10. The data will take many hours to import.
NOTE: This ‘historical bid/ask/last’ data would not be equivalent to the bid/ask at a ‘specific time’ a trade was executed which is more commonly used for Market Replay Playback in NinjaTrader. This data cannot be used with Market Replay, Tick Replay or Playback.
Please email us with your requirements using the widget, contact form or email info@portaracqg.com for more information.