Inconsistent import of historical data: minutes vs ticks

[Tomas]

Hi,

I've just noticed that when importing historical ticks (e.g. $EURJPY in my case) and creating minute bars during the import, the minute bars are not consistent with the ticks. For instance today's chart: at 13:01:14 minute bars closed at 117.78 while ticks (and any bars derived from ticks) at 113.20 !!

Minute bars are consistent with the $EURJPY.txt tick-file and also with the data stored on the laptop which is actually downloading them (NT+TWS). Thus the inconsistent bit is the imported ticks.

This simply does not make any sense.

Cheers,

Tomas


PS: I should - perhaps - point out that "imported" replay of currencies at my NT 6.5.1000.7 does not work either - it rises the whole day up to unrealistic numbers - such asi 220 - for EURJPY.

[NinjaTrader_JoshP]

There is no facility as importing replays. Not sure what you mean.

Importing is based on what you have in your files. Whatever you see in your file is what you will get.

[Tomas]

Hi Josh,

I wrote "imported" in quotes for my replay point - meaning copying the replay folders...

At any case, the problem i have is with importing ticks via Tools->HistoricalData->Import

As i wrote: i checked the file, i.e. i looked directly into it on a particular tick - this was consistent with minute bars created from this file and as well with data on the other laptop from which the ticks were exported - but it was NOT consistent with imported ticks.

Meanwhile, i have checked stocks - and it looks just fine! Then i looked at $USDJPY and once again it is NOT consistent and values significantly differ.

Thus, this issue seems to be related to currencies only...

Thanks,
Tomas

[NinjaTrader_JoshP]

How are you comparing? Please provide reproducible steps along with your import files.

[Tomas]

1) I look into $EURJPY.txt file, here are the last lines of mine (sorry, it is too many MB to be posted):

20081203 130049;117.78;2000000
20081203 130049;117.78;2000000
20081203 130055;117.78;1900000
20081203 130100;117.78;2000000
20081203 130105;117.78;4000000
20081203 130106;117.78;2000000
20081203 130108;117.78;4000000
20081203 130109;117.78;2000000
20081203 130114;117.78;4000000

2) Since i see 117.78 for the last entry i would expect the same when plotting charts. I look at minute chart (created during import) and it is there - see attached plot eurjpy_minute.png

3) Then i check tick chart - see eurjpy_tick.png - and to my surprise the price is very different - 113.20

3a) Which happens for any derived chart from ticks - range, 30sec, ...

[NinjaTrader_JoshP]

Please try this.

1. Historical Data -> Delete
2. Delete all data for your instrument; tick, minute, daily etc.
3. Repair database (Tools->Options->Misc)
4. Reimport
5. Compare

[Tomas]

DONE... exactly according to your instructions

and the result is, unfortunately, identical - i.e. wrong

Once again, this is happening only for currencies - i have not experienced such a problem for stocks.

[NinjaTrader_JoshP]

Tomas,

Please send me your import file. josh [dot] peng [at] ninjatrader [dot] com

[NinjaTrader_JoshP]

Tomas,

What you need to do is change your pip settings. Your data is 111.785, but your default tick size for $EURJPY is 0.01.

Go to Tools->Options->Misc and change your Pips to HalfPip.

[Tomas]

Hi Josh,

that solved the problem! Thank you very much. I was completely puzzled why this affects the ticks only and not the minute bars.

Cheers,

Tomas