I had some issues with importing data into Ninjatrader the other day. The problem was very simple; filename containing not supported characters (-1 in my case) and I thought I had to do a howto for others that might have run into the same dilemma.
First of all, you will need to get data for backtesting. I will use 1 minute intraday DAX data in this example downloaded from BacktestMarket (direct link here) and converted in Ninjatrader format with BTM converter.
Go to Tools => Import => Historical Data
Click Generate Day bars from imported tick or minute data and click Import button
Rename the data set if needed. The filename may not contain “-1” etc.
Browse to the location where you have downloaded and extracted the dataset, select the data file and click open.
After successful import, you should see a notification about number of records imported.