Why does Ninja Trader drop ticks?

[tdubnik]

For the last few days I have been watching my NT charts as compared to Trade Navigator. NT is dropping ticks which makes a difference since I am using range bars and this sometimes causes me to lose bars as compared to TN.

I know the problem is with NT because when I refresh the data on both charts the TN charts stay the same and the NT charts "find" the missing bars. I know that the pat answer is that NT can only process the ticks that come in but I believe something is wrong either in the charting or in the APIs.

I have tried 3 different data providers (Zenfire, Barchart and PFG) and the problem stays the same. I don't have any data lags that I can see on either system. Each system is running on its own computer so there aren't any conflicts there. I am running the same charts on both systems and both computers are new and well above the system requirements.

[NinjaTrader_RJ]

Hello,

Thank you for your post.

This can happen for several reasons.

Please see this link for more information: http://www.ninjatrader-support.com/H...ChartBars.html

[tdubnik]

I read the information at the link you posted and understand what it says but I still believe there is more to this issue.

All three data feeds that I have used with NT have the same missing tick problem. It's difficult to believe that all three of the NT data feeds do this but the Trade Navigator data feed doesn't?

I have also used the PFG data feed on both packages on the same day and NT is still the one that misses bars. Do you think that PFG is supplying different ticks to each system?

When using range bars each bar has the same length. If the previous bar has exactly the same high and low on both packages and both packages process all of the ticks how can the next bar close with different highs and lows?

If they do close different and I refresh the data why does NT find the missing tick and TN stays the same?

I still think that Ninja has a "data leak" somewhere and you just haven't discovered it yet.

[mrlogik]

This may not have anything to do with it but you may want to increase the chart update interval (right click the chart and go to properties). Its defaulted to .5; I have mine to .1.

[NinjaTrader_Ray]

NinjaTrader does not drop ticks.

- If you are on Zen-Fire, I guarantee you that the historical and real-time data will match 100% since native tick time stamps are used.

- PFG, their streaming/historic data servers do not match 100%. We have been working with them to improve this service and just recently they have made signifcant changes that has drastically reduced the number of dropped ticks. Trade Navigator does not use their market data feed and thus you can not use this as a comparison.

- BarChart streaming is tick for tick, their historic data is aggregated and thus you will see a discrepancy. They also have made some changes that we will ensure a 100% match. This will come out with our NT version 7.

[ch33ch]

I seem to be having a similar problem recently. For the past few days, I've be opening constant volume ES charts and noticing huge gaps. Usually, an entire day's of bars is missing from the chart. I originally thought that Ninja was dropping ticks but then I went to export the data for the time periods in question. To my surprise, the tick data are there in the database, but for some reason, the chart window seemed to have skipped the data.

The frustrating part is that when I close the window and reopen it again, the chart will plot fine. Or sometimes it may not. It's totally inconsistent. What is going on?

[tdubnik]

NinjaTrader does not drop ticks.

NT may not drop ticks but there is still a data leak somewhere in the pipeline between Barchart data and the NT charts. I am having this problem every single day and it's frustrating to say the least.

When I reload the data, the missing ticks are magically found and then charted. Maybe they were missing from the original data stream or maybe they got lost in the API or maybe it was somewhere else but it is happening. I do not have this problem with my other charting package which uses Genesis data.

I am trying to use an automated strategy with NT and is is very frustrating when the signals are different because of the data.

[NinjaTrader_Ray]

Then I guess I stand corrected, BarChart real-time is then not tick by tick (unfiltered) and thus what you see in real-time for sure will be different than historical. Sorry, NinjaTrader does not control this. I will double check with them and if I am incorrect, I will report back.

[eDanny]

Maybe I'm reading this thread differently but here goes:

If there is any data disruption, from your isp, or whatever, you will see a different chart from an identical one on another machine or platform without the disruption, even if they were identical up to that point. That is why reloading historical data will restore your chart to what it should be displaying by filling in the missing data/ticks.

[tdubnik]

Maybe I'm reading this thread differently but here goes:

If there is any data disruption, from your isp, or whatever, you will see a different chart from an identical one on another machine or platform without the disruption, even if they were identical up to that point. That is why reloading historical data will restore your chart to what it should be displaying by filling in the missing data/ticks.

In general I would agree; but in this case I don't. I have used 2 different data feeds into NT and have the same problems with both. I have swapped the two charting systems between the machines and it's still a problem with the NT charts on both machines. I use the same DSL internet connection with wired connections to both machines and the network usage is minimal. If the isp had a problem it should affect both machines but it doesn't.

I'm not sure where the issue is, but it's there.

[tdubnik]

Then I guess I stand corrected, BarChart real-time is then not tick by tick (unfiltered) and thus what you see in real-time for sure will be different than historical. Sorry, NinjaTrader does not control this. I will double check with them and if I am incorrect, I will report back.

Ray,

I talked to Barchart today while I was cancelling their datafeed and they told me they send you every tick. They say their data is direct from the exchanges and they send it that way.

I don't know what the problem is but they do not think it is on their end.

By the way, I am using the Zenfire datafeed on trial and don't lose ticks anymore.

[timmyb]

probably because it isn't on their end.

http://www.ninjatrader.com/support/forum/showthread.php?t=35812