Forex - Last Price

[reach4thelasers]

I had a discussion with one of the Platform Support guys around this a couple of weeks ago in regard to NT7, and had hoped that it would be fixed in NT8.

In Forex we do not have the concept of a "Last Price". Our Trades are driven from the Bid price. No other Forex trading platform shows Last Price as an option because it is a meaningless concept in Forex.

Please see the attached screenshot in which I've printed out meta-data on a chart to show the time-frames in a multi-timeframe strategy and it has printed out "EUR/USD (Forex) 60M-last | 1D-last | 1W-last" (see attachment).

Any Forex trader would look at this and be like "WFT am I looking at here?"

If last price is too difficult to exclude completely can you at least make it default to bid price for Forex Pairs?

[NinjaTrader_MichaelM]

Hello reach4thelasers,

Thank you for your input. I have submitted your request for the last price to not be a selectable option and/or default to using the bid price instead of the last price when working with forex currency pairs to our product management team. Once I have more information on this item, I will update this thread further.

Thank you for your patience in the meantime.

[reach4thelasers]

Thank you Michael. Here's some info given by other Platforms on the matter, if it helps to reinforce the idea....

Interactive Brokers:
"The global Forex market is what is referred to as an "OTC" (Over the Counter) market. Unlike the options, futures or listed equity markets, there is no central reporting facility for OTC markets, including Forex. Hence there is no official "tape". The Last Traded Price for Forex depends entirely upon where you look. Bloomberg, Reuters, Yahoo, Google, IB, etc will all have different combinations of pools of liquidity from which they are gleaning this information. Since there is no official "Last Price" for Forex, IB cannot report one on our TWS. The previous day's closing price is the last traded price from the liquidity providers IB does business with. It may not match the last traded price for the previous day from other agencies who might have access to additional--or less--liquidity providers than does IB. "

http://ibkb.interactivebrokers.com/node/1425

Trading Station:
"Forex prices are quoted and charted using only the current bid price stream; there is no concept of a last price in forex."

https://www.tradestation.com/education/university/markets-and-trading-resource-center/articles/forex/benefits-and-risks-of-trading-forex

FXCM Trading Station:
"There is no last price. In Forex candles are aggregated from offer data not trade data."

http://www.dailyfx.com/forex_forum/fxcm-trading-station-ii-marketscope-charts/633142-why-isnt-there-last-price.html

[NinjaTrader_DaveI]

The good news on this item is that NinjaTrader does use the Bid price for forex pairs. Since there is not "Last" price, we set the Last value to the current Bid price for forex instruments. The functionality is in place as forex traders expect and need, but perhaps we could do a bit better at explaining this concept.

[reach4thelasers]

Cheers Dave, yes I realised that the Last Price does equate to the Bid price for Instruments - since this is what FXCM provides in its data stream. And in all honesty when first adopted Ninja a few weeks back I went out of my way to make sure that all the charts were set to Bid. Now I don't bother, I just leave it on "last".

These things shouldn't really need explaining though. And I hope the NT8 Approach is not going to be "Look we know it says 'Last'... right... but really what we mean is bid, got it? good!" Because that's a pretty poor attitude to application development. If one of my UX guys said something like that to me I'd probably sack him.

What if I was to print out that screenshot and share it with colleagues or post it on a forum somewhere. Forex traders would be like "WTF?!" There should be no ambiguity - particularly in an application of this nature.

[reach4thelasers]

OK ironicall I've now realised that technical issues I've had for the last day are caused by my charts being set to Last price for Forex Instruments.

Support Request "Ninja FXCM Servers {1393447}"

Here's the gist of it:

I've been using Ninjatrader historical servers until recently. There were major performance issues over the weekend with the Ninjatrader servers so yesterday I switched to FXCM when the markets opened as my charts and Bar Requests were taking about 90 seconds to load.

Then I start getting "Instrument Not Found" error messages - sporadically and unpredictably so I contact platform support - Jason spent the whole of yesterday trying to help me....

The problem is that while Ninja Historical Servers allow "last price" requests for Forex instruments, FXCM rejects any requests for Last price data. and Ninjatrader reports this rejection as "instrument not found"

The reason for the sporadic/unpredictable failures is that I have *some* instrument data cached locally which was previously requested from Ninjatrader's servers using "last price" - requests for historical data for these instruments do not appear to be failing. But the local data are incomplete. Only instruments for which I have no last price data available trigger the "instrument not found" error.

I believe there is actually a silent failure happening.... Ninja tries to get updated last price data from FXCM servers and it fails..... Ninja checks the local cache and finds that it has *some* last price data stored which was requested previously and it uses that - no error message is reported from the FXCM request failure but the data are incomplete.

See the attached screenshot for GBPCHF. It gave me historical data for 27th 28th of August, but nothing else. and No failure message.

Therefore, aside from obvious feature issues of Last/bid price discrepancy in Forex and the confusion this causes for Forex traders there are two other bugs:
"historical data requests which fail due to invalid market data types are being reported by Ninjatrader as 'Instrument not found' which is not the actual cause of the error"
"historical data request failures for instruments with locally-stored historical data fail silently and deliver incomplete data to the chart/requester"

I think this issue and the fact that its cost me a day of lost work - clearly illustrates why it is crucial that this "Last Price" nonsense be removed as an option from all Forex instruments in Ninjatrader.

[NinjaTrader_DaveI]

I'm not seeing the same issue requesting Last price data from FXCM on a brand new installation with no stored historical data hiding anywhere. Could there be something else affecting your particular scenario?

I do see the merit in your suggestion about the Last vs. Bid price from a user interface perspective, and I'm going to log this suggestion so that we can start to track demand. (SFT-692)

[reach4thelasers]

Weird I don't know what is going on then.... I will continue to observe. I have encountered another bug regarding this.

Steps to reproduce:

- Load a Forex chart with bid data (say 5 mins)
- once chart has loaded, use the period dropdown to flip the chart to another timeframe say 2 mins

observe that the chart has flipped to last price as well as changing time frames.

I only noticed this because I added an MarketDataType Exception to my code and throw it if MasterInstrumentType && Forex and MarketDataType != last

[Jellybean]

...
I do see the merit in your suggestion about the Last vs. Bid price from a user interface perspective, and I'm going to log this suggestion so that we can start to track demand. (SFT-692)

Add my vote, please. Ideally, Forex users wouldn't ever see or have to think about last price.

Cheers
Tony

[NinjaTrader_DaveI]

I see that same behavior with the price type reverting to Last when the interval is changed. We did not intend to change this from NinjaTrader 7, in which the price type persists when switching, so I've sent a report to our team to investigate further (NTEIGHT-8869). I'll post back here with updates on this issue. However, there is one quick item to note -- the intervals configured in the Interval Selector on a chart contain a saved price type, which can be changed by editing a particular interval. When using the Interval Selector, the price type will always change to that which is saved, but it should revert when using other methods to change the interval.

JellyBean, I've added your vote -- thank you.

[NinjaTrader_DaveI]

I'm happy to report that we were able to resolve this one quickly, so NTEIGHT-8869 should be fixed in the next release.

[reach4thelasers]

That's great Dave! Thanks. Any progress with reproducing my problems with FXCM servers? I just disconnected, disabled "use ninja historical servers", reconnected and immeditely got about 18 error dialogs for all the charts I have opened. (see attached)

If you need more help reproducing this and don't mind sending debug symbols for pricehistorymgr_net.pdb then I can get to the bottom of it.

[NinjaTrader_DaveI]

No progress just yet, unfortunately. Did you mean that you can send me debug symbols? If so, please do -- anything could help at this point.

[reach4thelasers]

This instrument not found exception is proving hard to reproduce by your platform support team. But Ian getting the error quite consistently in historical requests for forex pairs when using FXCMs servers. The exception is being thrown in a 3rd party library called fxcodebase which is either utilised by ninjatrader directly, or indirectly via FXCM's API layer (probably the latter) I don't have debug symbols for the library so I can't drill into the exception to see what's being requested and why it's failing so if you have any debug symbols for this third party library please send them and I will investigate.

[NinjaTrader_DaveI]

I'm going to send you a private message with something to try, and I will update this thread with any relevant info for the community.