Problem with Bid/Ask Tick Replay Data

[TheTradingMantis]

I believe there is a problem with the Bid/Ask Tick Replay Data.

I have a delta indicator (by Sim22) that I have been using for several weeks. It has been working great and was showing correct delta up thru this morning, so I do not believe the problem is with the indicator. When I got home this afternoon and started NinjaTrader, the historical delta on every bar, as far back as you care to go, is negative.

[NinjaTrader_DrewO]

Hello,

Thank you for contacting us to report this item.

I would like to check for errors possibly thrown by this indicator or other sources. To do this, I would ask that you contact me by email at PlatformSupport [AT] NinjaTrader [DOT] com. In your message please include a link to this forum thread and a copy of today's trace files. You will find these diagnostic file in the Documents > NinjaTrader 8 > Trace folder. I will need to review a copy of the files which are named 'trace.20170118.XXXXX.txt'. There will likely be multiple files for each day.

[FMtrader]

I believe there is a problem with the Bid/Ask Tick Replay Data.

I have a delta indicator (by Sim22) that I have been using for several weeks. It has been working great and was showing correct delta up thru this morning, so I do not believe the problem is with the indicator. When I got home this afternoon and started NinjaTrader, the historical delta on every bar, as far back as you care to go, is negative.

Currently I can find several US & German Futures contracts that show exactly the same problem with three different Delta type indicators. If you then load a footprint chart the historical data problem is obvious with all zeros in the ask column. This is strongly suggesting that NinjaTrader might be wise to check their historical database. As a start look at the bid/ask data for YM, CL, NQ, FGBL, FESX & FDAX. A similar or identical problem has been mentioned in another forum thread today.

[sberry]

I have the same problem with my delta based indicators.

My FDAX charts have always looked like that - they've been horrible for the last 3 months - but now all my charts are showing negative delta bars on all my markets starting from the 18th.

[NinjaTrader_DrewO]

Hello,

I'm happy to investigate this item with any other users experiencing the same. Please reach out to us at Platform Support using the instructions in my previous post.

[JohnSteinberg]

Same problem on CL

I have exactly the same problem on CL for yesterday. The day before is correct and today's session is correct, just yesterday that is completely wonky.

[FMtrader]

Hello,

I'm happy to investigate this item with any other users experiencing the same. Please reach out to us at Platform Support using the instructions in my previous post.

Hello Drew

Before a multitude of users start sending in all their log and trace files can you please first confirm that the bid/ask data coming from your servers over the last 24 hours is valid. I now have multiple charts all mysteriously showing straight line negative cumulative delta at some stage in the last 24 hours. If you look at the bid/ask data with a footprint chart there are long periods where the ask volume is zero. This is happening on at least eight different futures charts and is a new issue that has just started to occur. Either 8.0.3.1 is now totally non-functional for a number of users or there is an issue with historical data on your servers

[JohnSteinberg]

Exactly what I am seeing. Ask volume 0 for a period of time (most of yesterday) so I agree that the problem is most likely from the source with so many people experiencing exactly the same.

[NinjaTrader_Jason]

Unfortunately there was an issue with our servers yesterday which causes the gap between 23:37 PM EST (1/18/2017) and 1:21 AM MST (1/19/2017).

[TheTradingMantis]

Hi Jason,
The data gap yesterday is not the real issue here. Delta and Footprint charts were fine yesterday at 6am CST. When I got home yesterday afternoon, the data gap problem was resolved, but the all the tick volume was now showing at the bid.

I suspect whatever was done to fix the data gap, messed up the tick volumes.

[TheTradingMantis]

I was reading up on tick replay in the NT8 Help Guide. I found the following on the article titled Developing For Tick Replay under Educational Resources:

4. If the data provided has no bid/ask data tied to the last tick data, NinjaTrader substitutes the bid/ask data for consistent user experience purposes (i.e., Bid = Last price, Ask = Bid + 1 tick).

This exactly describes the problem we are experiencing.

The bid/ask data tied to the last tick data is missing!

[NinjaTrader_Jason]

I see, thank you for clarifying. I will send a report to our server team.

[NinjaTrader_Jason]

Can you please tell me if you have 'Market Replay' or 'Historical' enabled in the Playback connection. I cannot reproduce the zero ask volume for the ES 03-17 so far.

If you use 'Historical', can you please go to Control Center-->Tools-->Historical Data. Double click Historical-->Es 03-17-->Ask-->Tick-->January 2017-->1/19/2017. Do you see a volume of zero for times affected? During what times do you see zero ask volume in the chart (+ time zone)?

[TheTradingMantis]

I am not using the playback connection. This is with a live connection to CQG.

The issue is with Tick Replay which is enabled on the Data Series dialog window.

I am not able to look at the Tick Replay Bid and Ask Volumes because that data is not exposed in the Historical Data dialog window. The Bid and Ask Volumes in the Historical Data dialog are used for building market depth on the DOM, not Tick Replay.

The Bid and Ask (also called BBO, or best bid and offer) data associated with the Tick Replay is something different. I do not know if NinjaTrader stores this data locally or if it is downloaded every time a chart with Tick Replay enabled is opened or refreshed.

Thanks

[NinjaTrader_Jason]

Thank you for clarifying. Sorry, "Tick Replay" confused me with the Playback connection.

I am not sure what data is used by this "Tick Replay" and where it resides. The historical tick volume ask data does not show values of zero in the Historical Data window.

There is incorrect volume data for minute and daily data on our server. Daily data has incorrect volume for January 18th and 19th. Minute data has incorrect volume for 9:30 AM - 4:15 PM EST on 1/19/2017. I already sent a report to our server team regarding this incorrect volume data. Could this somehow be related?