explorted tick data is wrong

[junkone]

hello
i exported the tick data using the builtin histocal data export.
my trade was @ 6/9/2009 8.20.44 @ .7954 which matches with the chart. however the tick data export seems to be 500 pips off.

20090609 082034;0.8421;8000000
20090609 082034;0.8421;6000000
20090609 082034;0.8422;3000000
20090609 082034;0.8422;3000000
20090609 082040;0.8422;8000000
20090609 082041;0.8422;10000000
20090609 082041;0.8422;5000000
20090609 082041;0.8422;5000000
20090609 082043;0.8422;3000000
20090609 082043;0.8422;3000000
20090609 082044;0.8422;5000000
20090609 082044;0.8422;5000000
20090609 082044;0.8423;3000000
20090609 082044;0.8423;3000000
20090609 082045;0.8423;5000000
20090609 082045;0.8423;5000000
20090609 082045;0.8423;5000000
20090609 082046;0.8423;8000000
20090609 082046;0.8423;8000000
20090609 082047;0.8423;16000000
20090609 082047;0.8423;16000000
20090609 082047;0.8423;5000000
20090609 082047;0.8423;5000000
20090609 082048;0.8423;3000000
20090609 082048;0.8423;3000000
20090609 082048;0.8423;10000000
20090609 082049;0.8423;13000000
20090609 082049;0.8423;16000000
20090609 082049;0.8423;13000000
20090609 082049;0.8423;16000000
20090609 082050;0.8423;13000000
20090609 082050;0.8423;16000000
20090609 082051;0.8423;13000000
20090609 082051;0.8423;16000000
20090609 082052;0.8423;11000000
20090609 082052;0.8423;8000000
20090609 082052;0.8422;8000000
20090609 082053;0.8422;8000000
20090609 082053;0.8422;3000000
20090609 082054;0.8421;13000000
20090609 082054;0.8421;13000000
20090609 082054;0.8421;3000000
20090609 082054;0.8421;3000000
20090609 082055;0.8421;8800000
20090609 082055;0.8421;8800000
20090609 082055;0.8421;13000000
20090609 082055;0.8421;13000000
20090609 082056;0.8422;3000000
20090609 082056;0.8422;3000000
20090609 082056;0.8421;24800000
20090609 082056;0.8421;24800000
20090609 082056;0.8421;9000000
20090609 082057;0.8421;13000000
20090609 082058;0.8421;11000000
20090609 082058;0.8421;18000000
20090609 082059;0.8421;11000000
20090609 082100;0.8422;3000000
20090609 082100;0.8422;3000000
20090609 082100;0.8422;8000000
20090609 082101;0.8422;21000000
20090609 082102;0.8422;19000000
20090609 082102;0.8422;16000000
20090609 082103;0.8422;9000000
20090609 082103;0.8423;3000000
20090609 082103;0.8423;3000000
20090609 082104;0.8424;3000000
20090609 082104;0.8424;7000000
20090609 082104;0.8424;5000000
20090609 082104;0.8424;7000000
20090609 082105;0.8424;15800000
20090609 082105;0.8424;15800000
20090609 082105;0.8424;5000000
20090609 082106;0.8424;16000000
20090609 082106;0.8424;16000000
20090609 082106;0.8425;3000000
20090609 082106;0.8425;3000000
20090609 082108;0.8425;6000000
20090609 082111;0.8425;3000000
20090609 082111;0.8424;24000000
20090609 082111;0.8424;24000000

my trades log shows
7 $AUDUSD Sim101 forexZLR Long 32,000 0.7954 0.7964 6/9/2009 8:20:44 AM 6/9/2009 8:25:08 AM ZLR_NR5_BREAK633801324443826591 1_ATR_PROFIT_TARGETS 0.0012572290671360334 0.0007355659235444012 0 0.00044003017349756278 0.0027030424943424508 0.0014458134272064174 2

[NinjaTrader_Jason]

Can you please tell me what data feed was used to export the historical tick data.

Did you use the same data feed when you traded the AUDUSD this morning?

What price is displayed when you create a new AUDUSD chart around 8:20?

[junkone]

i use only 1 datafeed which is IB. i did not watch my chart @ 8.20 because its a automated strategy. however the NT chart
@ 8.20 shows high of .7945 and low of .7940
@ 8.25 shows highof .7960 and low of .7943
this matches my trade. however the tick export from NT does not match any of the prices from the chart.

[NinjaTrader_Jason]

Historical tick data is not supported with IB as per the link below.

http://www.ninjatrader-support.com/HelpGuideV6/HistoricalData.html

This indicates the historical tick data you exported is real-time tick data collected from IB.

What happens if you import the exported data and subsequently create a new AUDUSD chart without connecting to IB?

[junkone]

what do you mean historical tick.
YOu have tools/Historical/export in NT. i am just using to see what was the data during that peiod of time of the trade. where is it getting all that wrong data apart from IB?

[NinjaTrader_Jason]

You cannot retrieve historical tick data from IB when connected to IB in NinjaTrader.

The exported data is retrieved from the database. When you were connected to IB, real-time tick data was stored in the database. This data has been exported. Providing you only make use of the IB data feed in NinjaTrader.

[junkone]

well, this real time tick data that is stored in NT is incorrect. the chart is showing data which is different from the data being exported. how do i get the tick data that NT has stored based on the real time data that it has collected.
I only use NT thro IB.

[NinjaTrader_Jason]

Can you please check if 'Store real-time bar data' is enabled at Tools-->Options-->Data-tab.

The exported data and real-time data you collected should be the same.

Perhaps the data in the chart and the exported data do not share the same timestamping. Please import the exported data and check if the historical data as per the AUDUSD is changed when a new AUDUSD is created.

[junkone]

yes, i have store real time enabled. i have tested the export in another computer and i can tell you guaranteed, the exported data does not match the chart. it does not match the trades. i have no idea where it is getting its data from. But you have a big bug here.

[NinjaTrader_Jason]

Have you tried to import the exported data as suggested? Did it change the historical data in the chart after you imported the exported data. Make sure not to connect to a data feed after you imported the exported data.

[wkmetal]

replay chart do not match the history chart

Hello Sir,

I am a new user , and trading with auto strategy + IB.
after my trading yesterday, i found the history bars did not match the replay chart , as the attached two pics.
you can see the open/close/high/low in some bars are different.

i am using interactive broker.


1.
am i need to set the time-stamp in ninjatrader program/strategy (or computer) to sync. with IB?


2.
anything i can do, so that the replay chart is exactly same the history chart (from IB)

this is very important, i do the trades yesterday, i see it is exactly same as
the replay chart.
the result will be a big different , while trade in the two charts (the attached 2 charts).
Also , it will affect the backtest result seriously.

thanks for your help
kind regards
Frankie

[NinjaTrader_Jason]

Hello wkmetal,

This can be as expected; difference between real-time and historical IB data. Please see the forum thread (post #6) below for more clarification.

http://www.ninjatrader-support2.com/vb/showthread.php?t=11056&highlight=difference+IB+data

[wkmetal]

Hellon Jason,

Thanks for your explaination, i am clear now. But is there any way to solve this problem?

As you mention :
"- Real-time minute bars are built from real-time ticks but there is some logic in place to feed in missing volume (I believe using Daily Volume event) or something like that"

the problem is "missing volume in real-time ticks", is this a problem of Ninja or IB?


the main purpose, i want the backtest can reflect the real market, so i can adjust my strategy.
Is there any other broker that link with Ninjatrader can solve this? (provide Hong Kong Future HSI trading)

Best regards
Frank

[wkmetal]

Hello Jason,

may i request a favor from you,
I want to set my strategy while my loss of that day, over certain amount,
then the parameter of the strategy will be change to my other preset number immediately

I will use :
if (Performance.AllTrades.TradesPerformance.Points.Cu mProfit < myLossToday)
-- do something --

but while i backtest it with one month, it cannot show my desire result,
becase the strategy cannot identity "each day loss", it cumilate all days trades performance

i hope it can do automatic change in backtest for testing 1 month:
i have 2 set parameter, setA, setB
normal days will use setA,
but while there is a big loss in certain day, it will turn to setB immediately, until end of the day,
then it will reset to setA in next day.

Can you help, thanks


With Kind regards
Frankie

[NinjaTrader_Jason]

Hello Frankie,

Unfortunately the way data is retrieved from IB remains the same.

We are not a data feed provider ourselves, so the missing volume would refer to IB.

You can find all supported data feed providers and the services they offer at the link below.

http://www.ninjatrader-support.com/HelpGuideV6/HistoricalData.html

Unfortunately I an not that familiar with NinjaScript. I suggest to check our NinjaScript topics in this forum or consult one of the NinjaScript consultants at the following link.

http://www.ninjatrader.com/webnew/partners_onlinetrading_NinjaScript.htm