A client contacted me on Skype today asking if it is possible to use NinjaTrader to save and export real-time tick data. Unlike most requests, this one does not require any programming at all. NinjaTrader supports all of this functionality within the software.
Go to Tools, then Options. Click on the Data tab. Make sure to put a check next to “Save chart data as historical”. So long as you have a 1 tick chart or price quote for the instrument that you want to save, NinjaTrader will automatically save the data.
Whenever you want a csv file of the data, go to the historical data manager. Select export and the date range. NinjaTrader takes care of the rest.