data differs from source

[NutFlush]

You can set Filter bad ticks % off market in NinjaTrader through Tools > Options > Data.

Hi PatrickH,

I tried to find out how that setting works, but couldn't find much info (forum, help in NT7).

My best guess is that it works like this:
Let's assume I set the threshold to 0.5%. The market trades at 100.00$ (several ticks). Now the next tick comes in at 100.65$ and will be ignored, because it is more than 0.5% away from the last price, right?
What I could not find out is what happens when 2 (or more) consecutive "bad ticks" come in. To continue the example from above let's say the next tick has a price of 100.95$. Will it be ignored or not?
a) It will be compared with the last "valid" tick at 100.00$ and since it is more than 0.5% away it will be IGNORED.
b) It will be compared with the previous tick at 100.65$ (which was ignored), but since the difference to 100.65$ is below 0.5% this tick will NOT be ignored (=> price will jump from 100.00$ to 100.95$).

Could you please clearify what would happen and what the rules for that setting are?

Thanks,
NutFlush

[NinjaTrader_PatrickH]

Hello NutFlush,

Thank you for your response.

A bad tick is detected if the tick price is less than the last valid traded price - (last traded Price * (1 - bad tick offset as %)).
A bad tick detected if the tick price is greater than the last valid traded price + (last traded Price * (1 + bad tick offset as %)).
If a bad tick is detected but the prior two ticks were also bad ticks, then the tick being processed is now a valid last traded price and is NOT filtered out.

Please let me know if I may be of further assistance.

[beierde888]

Hello I am having the same problem and have a question.
Before refreshing the NT chart, a lot of bars are different than the IB chart.
I need to refresh the NT chart to show the correct non-aggregated historical data, but on my IB chart it always shows the historical data just like shown on the refreshed NT chart. Does that mean the IB chart refreshes itself after forming each bar? I am doing automated trading, can I make the NT chart refresh after each bar is formed so my strategy can be calculated using the correct data? Thanks in advance.

[NinjaTrader_PatrickH]

Hello beierde888,

Thank you for your post.

Interactive Brokers may be updating the historical data that is pulled for the chart in real-time within the TWS platform without the need for the user to request this update. However, I would recommend contacting Interactive Brokers directly for information on whether this is true or not in TWS.

For NinjaTrader there is no method to automatically update the historical data, you will need to reload the historical data manually. For information on when NinjaTrader loads historical data please visit the following link: http://www.ninjatrader.com/support/h...rical_data.htm

Please let me know if I may be of further assistance.

[Harry]

Hello I am having the same problem and have a question.
Before refreshing the NT chart, a lot of bars are different than the IB chart.
I need to refresh the NT chart to show the correct non-aggregated historical data, but on my IB chart it always shows the historical data just like shown on the refreshed NT chart. Does that mean the IB chart refreshes itself after forming each bar? I am doing automated trading, can I make the NT chart refresh after each bar is formed so my strategy can be calculated using the correct data? Thanks in advance.

Real-time data supplied by Interactive Brokers via API is low quality snapshot data that comes without time stamps.

-> the data is time-stamped by NinjaTrader which introduces a lag depending on latency and the settings of your system clock
-> the data does not come with all ticks, as it is snapshot data
-> therefore you cannot use it for tick, range or volume bars
-> the volume is completely false (I am not talking about minor differences)
-> you may miss highs and lows, if those ticks are not covered by the snapshots

Only for minute charts, you may refresh your chart via F5, which will get you correct historical bars. For bars built from ticks no historical backfill is available.

If you want to do automated trading, you cannot use data from Interactive Brokers. This would be similar to climbing the Mount Everest equipped with a pair of sandals!

Please get yourself a decent datafeed, for example Kinetick. If you wish to trade futures via ICE you can select DTN/IQ. Then first-connect to the datafeed and second-connect to Interactive Brokers for order handling.

A cheap brokerfeed is not suitable for intraday trading, you only get what you pay for!

[koganam]

... If you want to do automated trading, you cannot use data from Interactive Brokers. This would be similar to climbing the Mount Everest equipped with a pair of sandals!

Please get yourself a decent datafeed, for example Kinetick. If you wish to trade futures via ICE you can select DTN/IQ. Then first-connect to the datafeed and second-connect to Interactive Brokers for order handling.

A cheap brokerfeed is not suitable for intraday trading, you only get what you pay for!

You are too kind. More like climbing Everest in a T-shirt, with bandages wrapped around your feet. If you have a death wish for your account, you might as well go quickly: seppuku is not to be taken lightly.

[NutFlush]

Real-time data supplied by Interactive Brokers via API is low quality snapshot data that comes without time stamps.

-> the data is time-stamped by NinjaTrader which introduces a lag depending on latency and the settings of your system clock
-> the data does not come with all ticks, as it is snapshot data
-> therefore you cannot use it for tick, range or volume bars
-> the volume is completely false (I am not talking about minor differences)
-> you may miss highs and lows, if those ticks are not covered by the snapshots

Only for minute charts, you may refresh your chart via F5, which will get you correct historical bars. For bars built from ticks no historical backfill is available.

If you want to do automated trading, you cannot use data from Interactive Brokers. This would be similar to climbing the Mount Everest equipped with a pair of sandals!

Please get yourself a decent datafeed, for example Kinetick. If you wish to trade futures via ICE you can select DTN/IQ. Then first-connect to the datafeed and second-connect to Interactive Brokers for order handling.

A cheap brokerfeed is not suitable for intraday trading, you only get what you pay for!

I couldn't agree more with what you said. I compared the identical strategy that I ported from TradeStation to NT (running on IB data) and it is a NIGHTMARE!

Even refreshing charts and reloading data sometimes didn't resolve the differences to TradeStation. I once had the case that after 2 days the data (1 min. bars) was finally correct (maybe IB corrects the data after the end of the session?).

Starting tomorrow (first day in month) I will be using Kinetick as my data feed for NT.

Cheers,
NutFlush