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Sync tick chart data

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    Sync tick chart data

    Hello, I am using Continuum as the data source. Is it possible to sync the tick chart data with a specific time? For example, opening a tick chart at different times will look slightly differently, and movements can be captured in different bars. When opening a chart for the first time, would it be possible to sync it so that the 1st tick syncs with the market open? For instance emini opens at 5pm CST. When opening a tick chart at say 8am CST, can the 1st tick of the 1st bar be synced to the previous 5pm CST? I ask this because currently when opening a tick chart, then closing it and opening it again, the charts look different from each other based on when the 1st tick of a bar is started.

    #2
    As ticks come into NinjaTrader in real-time, they are time stamped based on your local PC time if they do not already have an associated time stamp that is provided from the real-time data source. The majority of our supported brokerage feeds DO NOT time stamp ticks, where most of our supported market data vendor feeds do provide time stamped ticks. NinjaTrader then builds bars based on the time stamp of the incoming tick and displays these bars in your chart in real-time.

    Let's say you have a tick (tick "A") with a time stamp of 10:31:00 AM which gets packaged into the 10:32:00 AM bar and happens to be the high of that bar. An hour later, you reload historical data from your historical data provider into NinjaTrader. This process will overwrite the existing data. The 10:32:00 AM bar now looks different since the high made by TICK "A" is now part of the prior bar, 10:31:00 AM. How is this possible?
    • Your PC clock could have been off so the time stamp is delayed
    • Your internet may have been lagging so the tick came in slightly delayed and therefore the time stamp is delayed
    • Due to standard latency, even 50ms delay (which is normal) could be the difference between a 10:30:59 and 10:31:00 time stamp
    The only item I would suggest trying proactively would be to sync your PC clock, however, this will not make it impossible to still see slightly different ticks when loading at different times.
    • Shutdown NinjaTrader
    • Right-click the clock in the lower right corner of your desktop
    • Select Adjust date/time
    • For Windows 10 click 'Additional date, time, & regional settings' -> then click 'Set the time and date'
    • Select the 'Internet Time' tab at the top
    • Set the server to time.nist.gov and then click Update.
    • If the message that appears says successful your PC clock should now be updated.
    • If not, select a different server from the Server: drop-down and try again (repeat until one of the servers is successful)
    After updating the PC clock, please restart NinjaTrader, then right-click the chart and select Reload All Historical Data.

    https://ninjatrader.com/support/help..._are_built.htm
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_PatrickG View Post
      As ticks come into NinjaTrader in real-time, they are time stamped based on your local PC time if they do not already have an associated time stamp that is provided from the real-time data source. The majority of our supported brokerage feeds DO NOT time stamp ticks, where most of our supported market data vendor feeds do provide time stamped ticks. NinjaTrader then builds bars based on the time stamp of the incoming tick and displays these bars in your chart in real-time.

      Let's say you have a tick (tick "A") with a time stamp of 10:31:00 AM which gets packaged into the 10:32:00 AM bar and happens to be the high of that bar. An hour later, you reload historical data from your historical data provider into NinjaTrader. This process will overwrite the existing data. The 10:32:00 AM bar now looks different since the high made by TICK "A" is now part of the prior bar, 10:31:00 AM. How is this possible?
      • Your PC clock could have been off so the time stamp is delayed
      • Your internet may have been lagging so the tick came in slightly delayed and therefore the time stamp is delayed
      • Due to standard latency, even 50ms delay (which is normal) could be the difference between a 10:30:59 and 10:31:00 time stamp
      The only item I would suggest trying proactively would be to sync your PC clock, however, this will not make it impossible to still see slightly different ticks when loading at different times.
      • Shutdown NinjaTrader
      • Right-click the clock in the lower right corner of your desktop
      • Select Adjust date/time
      • For Windows 10 click 'Additional date, time, & regional settings' -> then click 'Set the time and date'
      • Select the 'Internet Time' tab at the top
      • Set the server to time.nist.gov and then click Update.
      • If the message that appears says successful your PC clock should now be updated.
      • If not, select a different server from the Server: drop-down and try again (repeat until one of the servers is successful)
      After updating the PC clock, please restart NinjaTrader, then right-click the chart and select Reload All Historical Data.

      https://ninjatrader.com/support/help..._are_built.htm
      Thank you. Do you have a list of support brokerage feeds that do time stamp? What's the difference between brokerage feed and data vendor feed? Is data vendor only historical data?

      Comment


        #4
        We do not have this level of granularity unfortunately. A brokerage feed would be one associated with a brokerage account, while a data vendor would be a feed which is independent of any brokerage account (e.g Kinetick)
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          Originally posted by NinjaTrader_PatrickG View Post
          As ticks come into NinjaTrader in real-time, they are time stamped based on your local PC time if they do not already have an associated time stamp that is provided from the real-time data source. The majority of our supported brokerage feeds DO NOT time stamp ticks, where most of our supported market data vendor feeds do provide time stamped ticks. NinjaTrader then builds bars based on the time stamp of the incoming tick and displays these bars in your chart in real-time.

          Let's say you have a tick (tick "A") with a time stamp of 10:31:00 AM which gets packaged into the 10:32:00 AM bar and happens to be the high of that bar. An hour later, you reload historical data from your historical data provider into NinjaTrader. This process will overwrite the existing data. The 10:32:00 AM bar now looks different since the high made by TICK "A" is now part of the prior bar, 10:31:00 AM. How is this possible?
          • Your PC clock could have been off so the time stamp is delayed
          • Your internet may have been lagging so the tick came in slightly delayed and therefore the time stamp is delayed
          • Due to standard latency, even 50ms delay (which is normal) could be the difference between a 10:30:59 and 10:31:00 time stamp
          The only item I would suggest trying proactively would be to sync your PC clock, however, this will not make it impossible to still see slightly different ticks when loading at different times.
          • Shutdown NinjaTrader
          • Right-click the clock in the lower right corner of your desktop
          • Select Adjust date/time
          • For Windows 10 click 'Additional date, time, & regional settings' -> then click 'Set the time and date'
          • Select the 'Internet Time' tab at the top
          • Set the server to time.nist.gov and then click Update.
          • If the message that appears says successful your PC clock should now be updated.
          • If not, select a different server from the Server: drop-down and try again (repeat until one of the servers is successful)
          After updating the PC clock, please restart NinjaTrader, then right-click the chart and select Reload All Historical Data.

          https://ninjatrader.com/support/help..._are_built.htm
          I have connected with IQFeed for live tick data. IQFeed tick data is time stamped. However I still have the same problem as before with Ninjatrader drawing different charts and including ticks in different bars everytime NT7 is reopened.

          Please see the screenshot. Is NT Continuum overwriting the IQFeed tick data? Can I disable Continuum data but still be connected to live trading account?
          Attached Files

          Comment


            #6
            NinjaTrader pulls all available data from the first connected connection. In your screenshot, I see that IQFeed is connected first. This means that all data is coming from IQFeed and no data is coming from Continuum in your current setup.

            The difference between real-time and historical data you're seeing is likely expected due to the tick data limitations I originally mentioned. Are you using the built-in 'Tick' chart type? Or are you using a custom chart type? Does this misalignment of data occur with time-based intervals, like 5 minute?

            Patrick G.NinjaTrader Customer Service

            Comment


              #7
              Originally posted by NinjaTrader_PatrickG View Post
              NinjaTrader pulls all available data from the first connected connection. In your screenshot, I see that IQFeed is connected first. This means that all data is coming from IQFeed and no data is coming from Continuum in your current setup.

              The difference between real-time and historical data you're seeing is likely expected due to the tick data limitations I originally mentioned. Are you using the built-in 'Tick' chart type? Or are you using a custom chart type? Does this misalignment of data occur with time-based intervals, like 5 minute?
              Originally you said that tick data from NinjaTrader does not have a timestamp and uses the local computer's time so it may be different everytime a chart is drawn.

              However I have switched to tick data from IQFeed, which does have timestamps. Since there are timestamps, why are the ticks still being included in different bars? I don't understand...
              Yes using the built-in "Tick" chart type (screenshot attached).
              Attached Files

              Comment


                #8
                I apologize - I quoted from the NinjaTrader 7 help guide, and the NinjaTrader 7 help guide is slightly inaccurate. Most data feeds do provide native time stamps.

                I suspect the root issue is the load time which occurs when you choose to reload historical data. About how much time passes between when the chart begins to load and when the real-time ticks begin to flow? 10 seconds? 30 seconds? 2 minutes?

                About what time of the day are you doing these reloads to test for the issue? Is this before real-time trading begins (before 9:30AM eastern US time)?
                Patrick G.NinjaTrader Customer Service

                Comment

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