eugeneilyin / nrdtocsv

NinjaTrader 8 AddOn to convert NRD (*.nrd) market replay files to CSV (*.csv)

NRDToCSV

NinjaTrader 8 AddOn to convert NRD (*.nrd) market replay files to CSV (*.csv)
(based on not yet documented MarketReplay.DumpMarketDepth feature)

Quick Start

1. Download the latest zip file with AddOn from Releases
2. Import AddOn into NinjaTrader 8 via Tools / Import / NinjaScript Add-On...
3. Open NRD to CSV tool via Tools / NRD to CSV
4. Press Convert button to convert all *.nrd replay files (could take some time to proceed)
5. Check Documents \ NinjaTrader 8 \ db \ replay.csv folder with the results

Filter files to convert

You can specify filenames to convert with semicolon-separated regular expressions (experiment here):

• Convert only Gold Commodity futures: GC
• Convert several instruments: GC; HG; 6E
• Convert files with names related only to December 2021: 202112\d{2}
  Means: "2021" "12" <any 2 digits of Day>
• Convert files with names related to all Decembers of Gold Commodity futures: GC.*\d{4}12\d{2}
  Means: "GC" <any chars> <any 4 digits of Year> "12" <any 2 digits of Day>

Converted *.csv file format

Content example

L1;0;20210120050050;2300000;1855.8;2
L1;1;20210120050107;2140000;1855.4;8
L2;0;20210120050000;70000;0;0;;1855.5;1

L1 Records

• NinjaTrader.Data.MarketDataType

Ask = 0
Bid = 1
Last = 2
DailyHigh = 3
DailyLow = 4
DailyVolume = 5
LastClose = 6
Opening = 7
OpenInterest = 8
Settlement = 9
Unknown = 10

• Timestamp in YYYYMMDDhhmmss format (local NinjaTrader timezone is used)
• Timestamp offset as an integer amount of 100-nanoseconds (1e-7)
• Price value (local NinjaTrader price format is used for thousand/decimal separators)
• Volume value

L2 Records

• NinjaTrader.Data.MarketDataType

Ask = 0
Bid = 1
Last = 2
DailyHigh = 3
DailyLow = 4
DailyVolume = 5
LastClose = 6
Opening = 7
OpenInterest = 8
Settlement = 9
Unknown = 10

• Timestamp in YYYYMMDDhhmmss format (local NinjaTrader timezone is used)
• Timestamp offset as an integer amount of 100-nanoseconds (1e-7)
• NinjaTrader.Cbi.Operation

Add = 0
Update = 1
Remove = 2

• Position in Order Book
• MarketMaker identifier
• Price value (local NinjaTrader price format is used for thousand/decimal separators)
• Volume value

Change Log

This project adheres to Semantic Versioning.
Every release, along with the migration instructions, is documented on the GitHub Releases page.

License

The code is available under the MIT license.

Contacts

Feel free to contact me at @gmail.com: eugene.ilyin