Forex Tick Charts - Last Price

[reach4thelasers]

I happened to have a tick chart and a minute chart open side-by-side just as price arrived at the Daily Pivot point, and noticed a discrepancy between what I was seeing on the minute chart and on the Tick Chart. (see attached screenshots).

The spread on this pair at this time of day was 4 pips and it seems that this accounts for the difference. There is no Last Price in Forex - all charts are driven from the Bid price.

If you open a Currency Pair with a high spread such as USDZAR on a Tick Chart and flip the dataseries between Last and Bid, you will see that the charts change when they should be the same.

[NinjaTrader_DrewO]

Hello,

Thank you for contacting us to report this item.

So that I may investigate 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.20170328.XXXXX.txt'. There will likely be multiple files for each day.

[reach4thelasers]

How are my Trace files going to help with this? Open a chart, let it load some live data on a Forex instrument. GBPNZD has a good spread. Then flip between "Last" and "Bid" Data Series and note that the Bars change slightly - they should be the same.

I think its not just tick data... its all data that was loaded live as opposed to historically.

[NinjaTrader_RyanM]

Hello reach4thelasers,
My colleague Drew was requesting your log and trace files to find if there are any initial data errors reporting. I will test your inquiry and update this thread with my findings.

[reach4thelasers]

Hi Ryan, were you able to reproduce this? Let me know if you need anything .

[NinjaTrader_RyanM]

Hello reach4thelasers,
I was not able to reproduce this item. Since Forex data last price data is based off the bid price there should be no changes between the two charts. There are reports of no historical data received while selecting Bid data as well. If you would like to send us your log and trace files we may check for any initial errors.

[reach4thelasers]

I switched all my charts to Bid charts, so my logs aren't going to show anything. Did you allow some realtime/live Forex data to load? Historical does not exhibit the issue, You're going to need to leave a Forex chart with a high-spread (USDNOK or USDZAR) open during your lunch break and let it load Last data. Then when you got some live data on the chart, switch the DataSeries between last and bid - they are clearly not the same.

[NinjaTrader_RyanM]

Hello reach4thlasers,
Can you please clarify which data provider you are currently using?

[reach4thelasers]

Hey Ryan its FXCM

[NinjaTrader_RyanM]

Hello reach4thelasers,
I have tested your inquiry all day on the USDNOK and USDZAR and I did not receive any differences in bid/last. I will test again tomorrow using a different server and FXCM connection to see if I can reproduce.

[reach4thelasers]

Thanks Ryan - I will switch one of my charts to Last price tomorrow and try to reproduce the issue again.

[reach4thelasers]

Hey Ryan.

Screenshots attached of:

USDNOK (10Tick) Bid and Last
USDTRY (50Tick) Bid and Last

There are clear (albeit subtle) differences in the charts. I didn't need to wait for realtime data either - they loaded like this from historical.

Furthermore, despite loading exactly 1000 bars for each chart, the scale seems to be different. There's a skew of 6 minutes on my NOK charts and 45 mins on my TRY Charts. This would indicate that there are fewer Ticks being recorded for Last Price as there are for Bid Price.

If you look really closely you can also see it on EURUSD, but the spread is tiny so it's hard to spot.

[NinjaTrader_RyanM]

Hello reach4thelasers,
I have been able to reproduce this item using a FXCM connection connecting to FXCM historical data servers. Can you please clarify which servers you are connecting to within your account connection settings? To find this please go to Connections > Configure > Your FXCM connection > Find if NinjaTrader Historical Data Servers is enabled or disabled.

[reach4thelasers]

Hey Ryan, I checked my account settings - its Set to use Ninjatrader Historical Servers.

[NinjaTrader_RyanM]

Hello reach4thelasers,
I will be creating a case for the product management team to look into regarding this inquiry. I will update this thread when I receive any information and with a code you may use to reference this inquiry.