B4 - Tick Replay

[RBear]

Tick Replay only seems to work for a few days back for me. As an example if I add the Buy sell volume indicator to a 5 min 30 day chart of ES 12-15 the data is only correct back from today 9-11 to 9-9 18:05. Before that it all shows sell volume which is consistent with it not having bid ask data according to the docs which says:

"Note: If the data series being used has no bid/ask data tied to the tick data, NinjaTrader will substitute in the bid/ask data for consistent user experience reasons (i.e., Bid = Last price, Ask = Bid + 1 tick)"

I noticed that in the history option there was not much bid ask data stored on my computer so I did a manual download of several months, but it did not correct the problem. I am not sure if this is tied to the recent rollover of the contract but switching to the 09-15 contract did not make a difference.

I am using Kinetick data.

This is the most exciting new feature of NT8 for me, it opens up all kinds of possibilities. Anything else I can do to help get it working let me know.

Thanks

Edit: I am almost certain this is tied to how the rollover is handled. My guess is the last price is being back adjusted and the bid/ask are not, or are off by some amount.

[NinjaTrader_DaveI]

Hello,

Thank you for reporting this. In this particular case, the issue seems to be tied to the merge policy and the contract's rollover date. Sept. 10th was the official rollover date for ES, and I'm also seeing only sell volume in the BuySellVolume indicator prior to the 10th with the merge policy set to Merge Back Adjusted. With the merge policy set to Do Not Merge, you should see this issue disappear.

Now that we know the cause, I'm going to dig deeper to see if this is to be expected, or if it is something that can be fixed, or perhaps submitted as a feature request. I will update this thread as soon as I have more info.

[RBear]

A work around for me was to use the ES ##-## contract. On Kinetick anyway this allowed me to go back as far as I wanted and the data was good.

[Tiixo]

The first thing i tried with the open beta was to implement a volume delta indicator and found the same issue.
The indicator works for the data of the instruments current contract. But if there is a rollover date in the chart then the bid/ask data of that older contract is not delivered in the OnMarketData method. (The bid/ask data is in the DB, if i manually change the chart to the older contract my indicator works as expected).

Please fix this bug since CQG does not offer continous contracts(##-##). Tick Replay should work with rollover dates like every other chart feature seamlessly works with merge back adjusted.

[NinjaTrader_DaveI]

I just wanted to post back here and let you know that I'm still on the case with this one. I will get back to you as soon as possible with further info, a bug report ID, or a suggestion tracking ID, depending on what I discover to be the cause of this issue.

Update: I've reported this under Tracking ID # NTEIGHT-8834

[NinjaTrader_DaveI]

I'm happy to report that NTEIGHT-8834 has been resolved. Please keep this item in mind to re-test in the next Beta release.

[Tiixo]

Still not fixed in Beta6.
Look at the attached images.

Already did multiple 'Reload Historical Data'.

[NinjaTrader_DaveI]

Thank you -- I am seeing a new but seemingly related issue when re-testing this morning, so I've re-opened NTEIGHT-8834 for further investigation. I will post back here with any updates.

[NinjaTrader_DaveI]

It appears that there was another related issue which was affecting this one, which is likely why you were seeing the same behavior in Beta 6. We have now resolved the related issue, and my tests on NTEIGHT-8834 are now delivering expected results. Please keep this in mind to test once more in Beta 7 when it is released, and thank you very much for sticking with this issue to help us get it resolved.

[Tiixo]

Still not fixed in Beta7.

[NinjaTrader_DaveI]

Thank you for re-testing. I will jump back into this issue in the morning and post back here with any updates or requests for more info.

[NinjaTrader_DaveI]

There are a few other users who are still experiencing this, and we have been troubleshooting on the thread below:

http://ninjatrader.com/support/forum...ad.php?t=81066

However, there is still not a scenario that we can reproduce on our end, which we will need in order to catch what may possibly be happening in your case and these two others. Would you mind testing once more after following the steps in the post below, and let me know if that resolves the issue for you?

http://ninjatrader.com/support/forum...5&postcount=20

[Tiixo]

Interesting result.
I did rename my db\minute and tick, etc. folders to get a fresh start. Opened a ES03-16 60Minute TickReplay chart. Added my Delta Indicator and found that it worked correctly over the whole 20Days historical data.
Then i did a 'Reload Historical Data' and now it is only working for the time from last friday to today. So reloading the data made it only work with the current contract.

[NinjaTrader_DaveI]

I am happy to report that I've finally been able to pin down a reproducible scenario for this issue, and I've reported it to our team with tracking ID # NTEIGHT-9235. I will post back here with any updates.

[NinjaTrader_DaveI]

I'm happy to report that we've resolved this issue today in our internal build, and you should see the fix applied in Beta 9 (it will not make it into the upcoming Beta 8).