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Forex: Why is tickdata not the same for LAST and BID ?

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    Forex: Why is tickdata not the same for LAST and BID ?

    It's very well known that there's not "Last" trade in Forex tick data, in fact, all of us were told that this managed as Last=Bid, the typical data coming from IB is like this.

    However, doing a research in the database for others tasks, I've realized that the LAST tick data is always more populated than BID or ASK, so:

    1. Why ?
    2. What is the logic used by Ninjatrader to save tick data so differently?

    Thanks in advance

    #2
    That's correct. Due to the fact that forex data does not have a 'last' price, NinjaTrader automatically substitutes any requests for 'last' data on your charts with 'bid' data.

    Do I understand that you're saying if you plot 'last' and 'bid' on a chart for the same instruments, the data is different? If so, in what way? Or are you referring to the Historical Data Manager? Could you provide screenshots that demonstrate this discrepancy? If I am misunderstanding, could you elaborate further?

    What version of NinjaTrader 7 are you using? Please provide the entire version number. This can be found under Help -> About (Example: 7.0.1000.X)

    Are you getting your data from Interactive Brokers? Or, who are you connected to? This is displayed in green on lower left corner of the Control Center window.
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_PatrickG View Post
      That's correct. Due to the fact that forex data does not have a 'last' price, NinjaTrader automatically substitutes any requests for 'last' data on your charts with 'bid' data.

      Do I understand that you're saying if you plot 'last' and 'bid' on a chart for the same instruments, the data is different? If so, in what way? Or are you referring to the Historical Data Manager? Could you provide screenshots that demonstrate this discrepancy? If I am misunderstanding, could you elaborate further?

      What version of NinjaTrader 7 are you using? Please provide the entire version number. This can be found under Help -> About (Example: 7.0.1000.X)

      Are you getting your data from Interactive Brokers? Or, who are you connected to? This is displayed in green on lower left corner of the Control Center window.
      Hi Patrick, thanks for your interest.

      Yes I'm getting data from IB.

      I've realized what's happening. You're right Last=Bid as always was known, however, there's a little detail that might have a serious impact on backtesting strategies that work tick by tick.
      Here it goes: In the Bid chart or Database, you see the real data as it gets, a new price tick with its size, but for the Last chart or Database, you'll always see that after the very first new price tick data, it will be repeated once again a new second tick immediately, so in summary you'll never a new tick price change with just one tick, there will be always composed by two, the genuine one and the repeated one. Then if you have a Strategy that works tick by tick, if a signal is triggered the order will be submitted at the next tick, therefore the filling prices for the same strategy will vary for sure if you backtest with BID or LAST.

      This is not a serious issue cause you can address with code logic, so don't worry.

      By the way: version 7.0.1000.38

      Comment


        #4
        I am not quite sure I fully understand what you're reporting. I want to ensure we're on the same page.

        Interactive Brokers does not supply historical bid/ask tick data to NinjaTrader. Expand the 'Understanding the data provided by your connectivity provider' section of the link below for details on what each provider supplies to NinjaTrader:

        https://ninjatrader.com/support/help...rical_data.htm

        You mention that you're noticing a difference in the way that ticks are handled. Could you go into further detail about how you're getting this tick data? For example, are you recording it from live data? Are you importing it from another source?

        Could you provide a screenshot(s) of what you've described in your last post so that I may better understand what you're reporting?
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          Originally posted by NinjaTrader_PatrickG View Post
          I am not quite sure I fully understand what you're reporting. I want to ensure we're on the same page.

          Interactive Brokers does not supply historical bid/ask tick data to NinjaTrader. Expand the 'Understanding the data provided by your connectivity provider' section of the link below for details on what each provider supplies to NinjaTrader:

          https://ninjatrader.com/support/help...rical_data.htm

          You mention that you're noticing a difference in the way that ticks are handled. Could you go into further detail about how you're getting this tick data? For example, are you recording it from live data? Are you importing it from another source?

          Could you provide a screenshot(s) of what you've described in your last post so that I may better understand what you're reporting?
          - All data I have is saved live data from IB. It has nothing to do with historical data downloads.

          - Look at the attached file, in the red circle you'll see the difference, it's sefl-explicative. On the left chart you have LAST tick data and on the right BID tick data. Despite they have same prices variation there will be always a difference, in the LAST chart with any new price variation tick data, it'll be created a repeated one. You can see in the red circle how in the LAST chart there are exactly two ticks when in the bid there's one, the only genuine tick came from IB, without any repetition. This occurrence happens all time.
          Attached Files
          Last edited by pstrusi; 06-05-2018, 12:05 PM.

          Comment


            #6
            I am investigating this behavior further on my end. I'll edit this post when I have more information.
            Patrick G.NinjaTrader Customer Service

            Comment


              #7
              Originally posted by NinjaTrader_PatrickG View Post
              I am investigating this behavior further on my end. I'll edit this post when I have more information.
              Don't worry too much about it, as I told you this is just worked around with code logic, still it's good to be aware of for further changes.

              Thanks

              Comment

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