First: In realtime using OnMarketData....I printed to Ninja Output 1 minute worth of OnMarketdata....printing each time OnMarketDataType = marketEventDataType Bid, Ask, Last....including Price and Time down to millisecond.
I saved this to a text file.
Second: Using a 1 tick chart (Last), I ran a historical print for this exact same minute, to Ninja Output...(using two AddDataSeries, one for Bid and another for Ask)....of the data for that same minute...Printing on each BarsInProgress tick for each individual Tick.
I saved this to a text file.
I ran a binary text compare between the files (to simply finding differences)....
.....(see attached screen grab for sample side-by-side comparison)...
............Real Time is on the left Historical on the right
RESULTS:
As Expected:
Last Tick matches COMPLETELY on both prints in both Price and Time
QUESTIONS:
#1: Many of the Bid/Ask differ in milliseconds....
(this is OK if simply a timing difference between my PC clock & the stream)
#2: In some cases....but not all....Price is different by 1 tick between Real Time &
historical. Real Time shows trades lifting the Ask....but Historical shows Last
Between Bid & Ask....
#3: In a very few instances....a bid or ask from RealTime is completely absent from
historical.
Could be I have done something very dumb...(if so tell me)....otherwise I need help.
I saved this to a text file.
Second: Using a 1 tick chart (Last), I ran a historical print for this exact same minute, to Ninja Output...(using two AddDataSeries, one for Bid and another for Ask)....of the data for that same minute...Printing on each BarsInProgress tick for each individual Tick.
I saved this to a text file.
I ran a binary text compare between the files (to simply finding differences)....
.....(see attached screen grab for sample side-by-side comparison)...
............Real Time is on the left Historical on the right
RESULTS:
As Expected:
Last Tick matches COMPLETELY on both prints in both Price and Time
QUESTIONS:
#1: Many of the Bid/Ask differ in milliseconds....
(this is OK if simply a timing difference between my PC clock & the stream)
#2: In some cases....but not all....Price is different by 1 tick between Real Time &
historical. Real Time shows trades lifting the Ask....but Historical shows Last
Between Bid & Ask....
#3: In a very few instances....a bid or ask from RealTime is completely absent from
historical.
Could be I have done something very dumb...(if so tell me)....otherwise I need help.
