1 Second Bars Incorrect

[ganamide]

8.0.0.2 64-bit (Multi-Broker) - BETA

I have migrated data from NT7 into NT8 and I have noticed that even though the individual ticks are correct, the 1 second bars are not. This can be seen both in charts and in Strategy Analyzer. I have made sure to shutdown NT8 and delete the db/cache folder to make sure it wasn't caused by previous data, and I did not connect to any data provider after restarting NT8 to make sure there was no outside influence.

I noticed that in NT8 the 1 second bars seem to be grouping the ticks differently, often into fewer 1 second bars than in NT7. So some of the bars in NT8 are missing, some of them have the wrong volume, and some of them have the wrong time stamp.

I have included screen shots that show these differences in the 1 second chart and in Print statements made while running a backtest. I have also included a display of the historical data manager that shows identical tick data. For all these screenshots, NT7 is on the left, NT8 on the right, and I am showing data on NQ 06-15 from 6:32:00 - 6:32:10 PST.

http://screencast.com/t/RY2iJ6FW9ziu

http://screencast.com/t/WstFyB2a

http://screencast.com/t/dsGRJy5V5CSZ

[NinjaTrader_ChelseaB]

Hello ganamide,

Thank you for your note.

Just to confirm I am understanding correctly, the data in the historical data manager is matching between NT7 and NT8, but this data does not create the second bar correctly in NT8 when compared to NT7, is this correct?

May I have your data from NT7? I would like to import this and then test.

The data is stored in:

Documents\NinjaTrader 7\db\tick

If the file(s) are large please use a file transfer service such as:
wetransfer.com

• Click the +Add files button to open the dialog to add the files
• Where it says Friend's email type platformsupport [at] ninjatrader [dot] com
• Add your email on the line below
• In the message please add a link to this forum thread
• Then click Transfer

(I am also going to try using newly downloaded data, but I would like to test your data as well.)

[ganamide]

You understood correctly. I am attaching tick data for NQ 06-15 contract only for 3/11/15 - 3/13/15 to conserve space.

[NinjaTrader_ChelseaB]

Hello ganamide,

Thank you for the data.

I am able to reproduce the issue and found a simple example to take a screenshot of for development.

I'm not sure what the expected behavior is and I am working with development to look into this further. If we find that the behavior is not correct, I will submit a bug report in your behalf.

[NinjaTrader_ChelseaB]

Hello ganamide,

Development would like to know what time zone you are in, and also would like you to export the data to txt file using the export process.

http://ninjatrader.com/support/helpG.../exporting.htm

[ganamide]

Hello ganamide,

Development would like to know what time zone you are in, and also would like you to export the data to txt file using the export process.

http://ninjatrader.com/support/helpG.../exporting.htm

I exported the data from NT8 for NQ 06-15 for 3/11/15-3/13/15. My time zone is Pacific, as previously stated. Not sure why I have to do this after you already verified the problem, but here goes:

Here is the relevant data that I found in the exported text file, just so that we are on the same page as far as time zones:

20150312 133200 0000000;4297.25;4297.25;4297.5;1
20150312 133200 0000000;4297.5;4297.5;4297.75;1
20150312 133201 0000000;4297;4297;4297.25;1
20150312 133203 0000000;4297.25;4297.25;4297.5;1
20150312 133204 0000000;4296.75;4296.75;4297;1
20150312 133204 0000000;4296.75;4296.75;4297;4
20150312 133204 0000000;4296.75;4296.75;4297;1
20150312 133205 0000000;4297.25;4297.25;4297.5;5
20150312 133206 0000000;4297.25;4297.25;4297.5;1
20150312 133207 0000000;4297;4297;4297.25;1
20150312 133207 0000000;4297;4297;4297.25;1
20150312 133208 0000000;4297;4297;4297.25;1
20150312 133208 0000000;4297;4297;4297.25;1
20150312 133208 0000000;4297;4297;4297.25;1
20150312 133208 0000000;4296.75;4296.75;4297;2
20150312 133208 0000000;4296.75;4296.75;4297;1
20150312 133208 0000000;4296.5;4296.5;4296.75;2
20150312 133208 0000000;4296.5;4296.5;4296.75;1
20150312 133208 0000000;4296.75;4296.75;4297;1
20150312 133210 0000000;4297.25;4297.25;4297.5;1
20150312 133210 0000000;4297.25;4297.25;4297.5;1
20150312 133210 0000000;4297.5;4297.5;4297.75;1
20150312 133210 0000000;4297.5;4297.5;4297.75;1
20150312 133210 0000000;4297.5;4297.5;4297.75;1
20150312 133210 0000000;4297.25;4297.25;4297.5;1
20150312 133210 0000000;4297.25;4297.25;4297.5;2

It all looks the same as what I already sent you via screenshot. The ticks are correct, the 1 second bars are not.

[NinjaTrader_ChelseaB]

Hi ganamide,

I've got that forwarded to development.

(edit)
This issue is being tracked with ID # QA-982)

I'm not positive but they may have wanted the exported data to try and pinpoint the issue. If the imported data has the same issue we know its not the migration process.

I will let you know anything we find out about this issue.

[NinjaTrader_Brett]

The bug with second bars has been fixed so you should not see any bar differences like you saw currently once you update to beta 3. (No remigration needed)

I would like to note that there still is a potential that you see them shifted one bar forward consistently vs NT7 however. As with NT7 the lowest granularity for the underlying data saved was 1 second. Which meant we lost some granularity with ticks on when they actually happened. With NT8 we now support lower granularity and thus can organize them more accurately/consistently on the 1 second interval charts.

Let me know if any questions once you get up and going on beta 3 which I'm working to get out ASAP.

[ganamide]

Just wanted to report that the specific issue I reported was fixed after upgrading to NT8 Beta 3 and deleting the contents of my db cache folder before restarting NT8.