Attention!

eleven · 07-27-2009, 11:57 PM

I use "Volume[0]" in a strategy. Using print statements, I am seeing significant differences between back testing and real time volume upon bar close.

The historical volume appears to be accurate but the real time is definitely erroneous. It is approximately 10x higher and beyond. CalculateOnBarClose is set to true.

Any ideas on why this is occurring and how to rectify? Thanks.

NinjaTrader_Bertrand · 07-28-2009, 02:06 AM

eleven, thanks for the post - which broker or connection are you using in your testing?

eleven · 07-28-2009, 10:06 AM

Bertrand,

I am using BarChart data feed.

Running live or in market replay give me erroneous data. Running historical in strategy analyzer seems to be accurate.

NinjaTrader_Bertrand · 07-28-2009, 10:17 AM

eleven, then I would suggest contacting BarChart about their data directly, as NinjaTrader does not change the received live data (which would also be used in your replay data). Did this occur for all markets you tested on?

eleven · 07-28-2009, 12:19 PM

Prior to contacting BarChart I decided to troubleshoot this further and add VOL to my chart. The volume is accurate until the moment I started my strategy, as you can see from the volume spike on the lower panel.

How is this possible? The lower panel is a VOL indicator apart from my strategy. When I start my strategy not only is volume erroneous in my strategy but also the VOL indicator. When my strategy is not running the volume is accurate.

To me this doesn't seem like a data feed problem. What else could be going on with this?

NinjaTrader_Josh · 07-28-2009, 12:27 PM

Close NT, reopen NT, connect data provider, open chart with no indicators or anything else, right click -> reload historical data, add VOL indicator, watch chart in real-time for awhile. Then add strategy and continue to watch volume.

eleven · 07-28-2009, 12:39 PM

Josh,

I will do as you describe. Hold my thoughts from above post. I might not of accurately analyzed this. I will take a look at this tomorrow.

eleven

eleven · 07-29-2009, 09:30 AM

It is the data feed. I opened a chart with just the VOL indicator. You can see the spike (bad data) on the picture. I've contacted BarChart and they are working on correcting the issue.

NinjaTrader_Bertrand · 07-29-2009, 09:36 AM

Thanks for reporting back eleven.

07-27-2009, 11:57 PM	#1
eleven Member Join Date: May 2009 Posts: 81 Thanks: 1 Thanked 1 time in 1 post	Volume differences I use "Volume[0]" in a strategy. Using print statements, I am seeing significant differences between back testing and real time volume upon bar close. The historical volume appears to be accurate but the real time is definitely erroneous. It is approximately 10x higher and beyond. CalculateOnBarClose is set to true. Any ideas on why this is occurring and how to rectify? Thanks.
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07-28-2009, 02:06 AM	#2
NinjaTrader_Bertrand NinjaTrader Customer Service Join Date: Sep 2008 Location: Germany Posts: 22,394 Thanks: 252 Thanked 968 times in 951 posts	eleven, thanks for the post - which broker or connection are you using in your testing? Bertrand NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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07-28-2009, 10:06 AM	#3
eleven Member Join Date: May 2009 Posts: 81 Thanks: 1 Thanked 1 time in 1 post	Bertrand, I am using BarChart data feed. Running live or in market replay give me erroneous data. Running historical in strategy analyzer seems to be accurate.
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07-28-2009, 10:17 AM	#4
NinjaTrader_Bertrand NinjaTrader Customer Service Join Date: Sep 2008 Location: Germany Posts: 22,394 Thanks: 252 Thanked 968 times in 951 posts	eleven, then I would suggest contacting BarChart about their data directly, as NinjaTrader does not change the received live data (which would also be used in your replay data). Did this occur for all markets you tested on? Bertrand NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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07-28-2009, 12:27 PM	#6
NinjaTrader_Josh NinjaTrader Product Manager Join Date: May 2007 Location: Denver, CO Posts: 17,458 Thanks: 1 Thanked 106 times in 70 posts	Close NT, reopen NT, connect data provider, open chart with no indicators or anything else, right click -> reload historical data, add VOL indicator, watch chart in real-time for awhile. Then add strategy and continue to watch volume. Josh NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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07-28-2009, 12:39 PM	#7
eleven Member Join Date: May 2009 Posts: 81 Thanks: 1 Thanked 1 time in 1 post	Josh, I will do as you describe. Hold my thoughts from above post. I might not of accurately analyzed this. I will take a look at this tomorrow. eleven
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07-29-2009, 09:36 AM	#9
NinjaTrader_Bertrand NinjaTrader Customer Service Join Date: Sep 2008 Location: Germany Posts: 22,394 Thanks: 252 Thanked 968 times in 951 posts	Thanks for reporting back eleven. Bertrand NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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