Problem with High/Low on 1 Tick Charts

[beastment]

There seems to be something wierd going on with the High and Low functions when used on a 1 tick chart of $AUDUSD. Generate a new indicator (with CalculateOnBarClose = false) and insert the following line:

Print(CurrentBar.ToString() + " Ask " + GetCurrentAsk().ToString() + " Bid " + GetCurrentBid().ToString() + " high " + High[0].ToString() + " Low " + Low[0].ToString());

When connected to the simulator with 0 delays, I get output results like the following:

300 Ask 1.0009 Bid 1.0008 high 1.0008 Low 1.0008
301 Ask 1.0009 Bid 1.0008 high 1.0008 Low 1.0008
302 Ask 1.0009 Bid 1.0008 high 1.0008 Low 1.0008
303 Ask 1.0009 Bid 1.0008 high 1.0009 Low 1.0009
304 Ask 1.0009 Bid 1.0008 high 1.0009 Low 1.0009
305 Ask 1.001 Bid 1.0009 high 1.0009 Low 1.0009
306 Ask 1.0011 Bid 1.001 high 1.001 Low 1.001
307 Ask 1.0011 Bid 1.001 high 1.001 Low 1.001
308 Ask 1.0011 Bid 1.001 high 1.001 Low 1.001
309 Ask 1.001 Bid 1.0009 high 1.001 Low 1.001
310 Ask 1.001 Bid 1.0009 high 1.001 Low 1.001
311 Ask 1.001 Bid 1.0009 high 1.001 Low 1.001
312 Ask 1.0011 Bid 1.001 high 1.0011 Low 1.0011
313 Ask 1.0011 Bid 1.001 high 1.0011 Low 1.0011
314 Ask 1.0013 Bid 1.0012 high 1.0012 Low 1.0012
315 Ask 1.0013 Bid 1.0012 high 1.0012 Low 1.0012
316 Ask 1.0012 Bid 1.0011 high 1.0012 Low 1.0012
317 Ask 1.0012 Bid 1.0011 high 1.0012 Low 1.0012
318 Ask 1.0012 Bid 1.0011 high 1.0012 Low 1.0012
319 Ask 1.0012 Bid 1.0011 high 1.0012 Low 1.0012
320 Ask 1.0013 Bid 1.0012 high 1.0012 Low 1.0012
321 Ask 1.0013 Bid 1.0012 high 1.0012 Low 1.0012
322 Ask 1.0013 Bid 1.0012 high 1.0012 Low 1.0012
323 Ask 1.0013 Bid 1.0012 high 1.0012 Low 1.0012
324 Ask 1.0013 Bid 1.0012 high 1.0012 Low 1.0012
325 Ask 1.0012 Bid 1.0011 high 1.0012 Low 1.0012
326 Ask 1.0012 Bid 1.0011 high 1.0012 Low 1.0012
327 Ask 1.0013 Bid 1.0012 high 1.0012 Low 1.0012
328 Ask 1.0013 Bid 1.0012 high 1.0012 Low 1.0012
329 Ask 1.0012 Bid 1.0011 high 1.0012 Low 1.0012
330 Ask 1.0012 Bid 1.0011 high 1.0012 Low 1.0012
331 Ask 1.0013 Bid 1.0012 high 1.0012 Low 1.0012
332 Ask 1.0013 Bid 1.0012 high 1.0012 Low 1.0012
333 Ask 1.0013 Bid 1.0012 high 1.0013 Low 1.0013
334 Ask 1.0014 Bid 1.0013 high 1.0013 Low 1.0013
335 Ask 1.0013 Bid 1.0012 high 1.0013 Low 1.0013
336 Ask 1.0013 Bid 1.0012 high 1.0013 Low 1.0013
337 Ask 1.0015 Bid 1.0014 high 1.0014 Low 1.0014
338 Ask 1.0014 Bid 1.0013 high 1.0014 Low 1.0014
339 Ask 1.0015 Bid 1.0014 high 1.0014 Low 1.0014
340 Ask 1.0016 Bid 1.0015 high 1.0015 Low 1.0015
341 Ask 1.0016 Bid 1.0015 high 1.0015 Low 1.0015
342 Ask 1.0016 Bid 1.0015 high 1.0016 Low 1.0016
343 Ask 1.0016 Bid 1.0015 high 1.0016 Low 1.0016
344 Ask 1.0016 Bid 1.0015 high 1.0016 Low 1.0016
345 Ask 1.0016 Bid 1.0015 high 1.0016 Low 1.0016
346 Ask 1.0016 Bid 1.0015 high 1.0016 Low 1.0016
347 Ask 1.0016 Bid 1.0015 high 1.0016 Low 1.0016
348 Ask 1.0016 Bid 1.0015 high 1.0016 Low 1.0016
349 Ask 1.0015 Bid 1.0014 high 1.0015 Low 1.0015
350 Ask 1.0016 Bid 1.0015 high 1.0016 Low 1.0016
351 Ask 1.0017 Bid 1.0016 high 1.0017 Low 1.0017
352 Ask 1.0018 Bid 1.0017 high 1.0017 Low 1.0017
353 Ask 1.0018 Bid 1.0017 high 1.0017 Low 1.0017
354 Ask 1.0018 Bid 1.0017 high 1.0017 Low 1.0017
355 Ask 1.0017 Bid 1.0016 high 1.0017 Low 1.0017
356 Ask 1.0019 Bid 1.0018 high 1.0018 Low 1.0018
357 Ask 1.002 Bid 1.0019 high 1.0019 Low 1.0019
358 Ask 1.0019 Bid 1.0018 high 1.0019 Low 1.0019
359 Ask 1.002 Bid 1.0019 high 1.0019 Low 1.0019
360 Ask 1.0019 Bid 1.0018 high 1.0019 Low 1.0019
361 Ask 1.002 Bid 1.0019 high 1.0019 Low 1.0019
362 Ask 1.002 Bid 1.0019 high 1.0019 Low 1.0019
363 Ask 1.0019 Bid 1.0018 high 1.0019 Low 1.0019
364 Ask 1.0019 Bid 1.0018 high 1.0019 Low 1.0019
365 Ask 1.0019 Bid 1.0018 high 1.0019 Low 1.0019
366 Ask 1.0019 Bid 1.0018 high 1.0019 Low 1.0019
367 Ask 1.0019 Bid 1.0018 high 1.0018 Low 1.0018
368 Ask 1.0019 Bid 1.0018 high 1.0018 Low 1.0018
369 Ask 1.0019 Bid 1.0018 high 1.0018 Low 1.0018
370 Ask 1.0018 Bid 1.0017 high 1.0018 Low 1.0018
371 Ask 1.0019 Bid 1.0018 high 1.0019 Low 1.0019
372 Ask 1.002 Bid 1.0019 high 1.002 Low 1.002
373 Ask 1.0021 Bid 1.002 high 1.0021 Low 1.0021
374 Ask 1.0021 Bid 1.002 high 1.0021 Low 1.0021


Doesn't quite make sense does it?

[NinjaTrader_Ray]

This is expected. A 1 tick chart has only 1 price point thus open == high == low == close.

[beastment]

Sure, but althought the high and low are always the same, they don't consistently match either the bid or the ask.

For example, on bar 302 the High and Low appear to match the bid/ask at 1.0008/1.0009. However, on the next bar the High and Low have moved up to 1.0009, despite the fact that the bid/ask remains unchanged at 1.0008/1.0009.

Similarly, from bar 314 to 332 the High and Low remain at a constant 1.0012, despite the fact that the bid/ask has fluctuated several times over this period (the bid jumping back and forth between 1.0011 and 1.0012).

[NinjaTrader_Ray]

There is no guarantee that the bid/ask will correlate to the OHLC price.

[beastment]

What? Why wouldn't it? You said yourself that on a 1 tick chart:

open = close = high = low

I understand that the ask price is generally not reflected in most functions, but why wouldn't:

bid = open = close = high = low ?

it's all the same tick isn't it?

[NinjaTrader_Ray]

In most our FX adapter, OHLC is derrived from bid yes which is NOT the same as the current bid. When you ask for the current bid, this is an asynchronous call meaning, there could be 20 bid change events that have not yet been processed as trade events and you may be processing the 1st bid event in OnBarUpdate() yet getting the current bid known which is the 20th event. I am using the value 20 just to demonstrate my point.

[beastment]

So are you saying that on a 1-tick chart a new tick indicates a new trade event, but there may be many bid change events within a trade event, i.e. the quoted bid price is fluctuating at the marketmaker's discretion despite the fact that no underlying trades have been made?

[NinjaTrader_Ray]

No, that's not what I am saying.

[beastment]

Okay. So, are you saying that OnBarUpdate() is not necessarily triggered by a bidchange event? In that case, what exactly is a bar on a 1-tick chart?

[NinjaTrader_JoshP]

What we are saying is that GetCurrentBid/Ask is not guaranteed to be in line or in sync with OnBarUpdate().

[beastment]

I think I see,

So, there is essentially a 'stack' (to use an old programming term) of known bidchange events waiting to be processed, each of which will in turn trigger a call to OnBarUpdate(). The reason I'm getting these results then is that GetGurrentBid() retrieves the top (most recent) bid from the stack whereas OnBarUpdate() is still working on the bottom bid from the stack?

[NinjaTrader_JoshP]

That would be a way to describe it.

[beastment]

Cool. Thanks guys, I appreciate the help.

[beastment]

Sorry to keep dragging this on, but...

Will OnBarUpdate() eventually work through every bid change event, or will it just start from the most recent one available and skip those have occurred since it was last executed?

[NinjaTrader_JoshP]

You will receive an OnBarUpdate() event for each one.