Bar Drift NT8 and NT7 bars are not consistent

[Ricam]

When comparing real time tick or volume charts with exact same start times, NT7 vs NT8, the NT8 bars or candles are not the same as the NT7 bars and candles.

They start out the same but as time goes on discrepancies creep in, as thought the tick or volume counting that starts the new bars sometimes is a little off in NT8. Bars that should have the same start and end times have different start and end times. Opening and closing prices are different. etc...

After refreshing, the backfilled charts agree perfectly - the backfilled NT8 bars are not the same as the (formerly) real time NT8 bars, but the NT7 backfilled bars are the same as the (formerly) realtime NT7 bars.

Best to check this on non tick replay charts with no indicators.. Should be possible to duplicate this based on information provided above. Thanks.

[NinjaTrader_JessicaP]

Hello Ricam, and thank you for helping NinjaTrader 8 be the best product it can be.

To better enable us to repeat this on our end, I would like to ask if you could provide us with a little more information.

• Who is your data feed provider?
• Can you verify that this drifting occurs in a workspace with only one chart open with no indicators and strategies running in the chart?
• Can you give a short list of no more than 5 instruments where you have verified drifting occurring?
• Does this drifting occur on both minute and daily bars? Or is there another built-in bar type that this occurs on?

In addition, any screen shots you can send with charts with discrepancies will help as well.


To send a screenshot with Windows 7 or newer I would recommend using Window's Snipping Tool.
Click here for instructions

Alternatively to send a screenshot press Alt + PRINT SCREEN to take a screenshot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.
Click here for detailed instruction

[pt-emini]

Seeing the problem Using Rithmic ... with tick and volume chart types.

I attached a few samples from this morning.

These charts were created using "Custom Date Range" in order to force both charts to the same starting tick when loaded. I included a snapshot of the starting tick/candle, where the candles align properly.

During realtime / live data, none of the bar times match. Most of the bar open and close values are different. Often an 'extra bar' will be forming on the NT8 chart while the NT7 chart is still constructing the current bar. I am guessing this is why none of the bar times match.

[NinjaTrader_JessicaP]

Thank you pt-emini. I have enough information to get started on my end.

A difference in data after NT 7 and 8 have both been running for a period of time is definitely not expected.

I did have one more question I need to ask to make sure our tests are accurate. I would like to ensure, neither of NT7 or NT8's Rithmic connections are set to an aggregated data feed?

You can check this setting in NT7 from the Control Center -> Tools -> Account Connections -> Select your Rithmic connection -> Change -> Next -> Next -> Examine the pulldown menu on the bottom.

You can check this setting in NT8 from the Control Center -> Connections -> Configure -> Select your Rithmic connection -> Examine the Systems pulldown menu on the right.

If you could provide the values of these settings for NT7 and NT8 it will help tremendously.

[pt-emini]

Hi Jessica, thank you for your response.

NT8 is connected to Rithmic 01 (Chicago)

NT7 is connected to Rithmic01

[NinjaTrader_JessicaP]

Hello Ricam and pt-emini,

We are carefully testing this on our end. Please note that if you start the charts, or the realtime feeds start, even fractions of a second apart from each other, this can result in severe enough discrepancies between charts to affect bar growth.

As a control test, I have run two Rithmic connections running minute bars side-by-side. I am posting those results here. They do not prove anything one way or the other with respect to Tick and Volume bars. They only serve to show that the incoming data is largely the same.

http://screencast.com/t/ZZDLD6jhKGT

I or another member of our staff will keep you up to date with our findings.

[Ricam]

Another thread has been started for what looks like the same problem. Possibly these threads should be combined.

http://ninjatrader.com/support/forum/showthread.php?t=85803

[NinjaTrader_JessicaP]

Hello pt-emini,

The following is our test, which has so far yielded the exact same realtime data between NT7 and NT8.

1) Wait until market is closed or ticks are only coming in every 10 seconds (so you have enough time to fully load both charts before another tick comes in)
2) Open NT8 chart with settings in diagram 1
3) Open NT7 chart with settings in diagram 2
4) Wait until data comes in
5) Observe whether both charts match immediately
6) Wait 10 minutes and then repeat step 5



Diagram 3 shows an example of states 5 and 6.



Would it be possible for you to run this test on your own at your convenience? Thanks again for helping us make NinjaTrader 8 the best product it can be.

[NinjaTrader_Brett]

Thanks for the reports. There can be many things going on with Bar data most of which might be expected. Such as something specific to a provider or something going on with a specific bar type. Each case needs to be individually analyzed.

Please contact me at [email protected] ATTN: Brett and include your log and trace files from help > mail to support and reference this forum thread. I can look into the case with that context provided and get back.

-Brett

[pt-emini]

Prescribed Test Results

Using the Prescribed Test Procedure, I have the following results.

After the RTH close of CME Equity Index Futures (16:15 eastern time), I started NT7 and NT8 (connected to the data servers). I then opened a single 200 tick chart each with 3 days of historical data. No other workspaces or charts were open, and no indicators were added to the chart. All historical data / candles loaded matched exactly in terms of both bar close times and OHLC. No variance was noted.

I then allowed both to run through the post RTH (extra session) open at 16:30-17:00. Where a couple of discrepancies were noted. First the opening bar close times did not match, the NT7 bar closed at 16:32:00 and the NT8 bar closed at 16:31:48, but the OHLC were the same. The next bar Open and Low were the same but the High and Close did not match. The 3rd and 4th bars did match in both close time and OHLC, which ended the last bar in the extra session at 16:59:58.

Without doing anything connection or data wise, I then allowed the new session to open at 18:00 and run for approximately 4 more hours. In this case the opening bar was identical in both NT7 and NT8, and all subsequent bars matched exactly as well. No variances were noted. This concluded my test and I disconnected both instances.

Attached are chart snapshots with a few notes added.