Tick Chart Issues

[mccullek]

I have an issue with my tick charts. My live data looks very different than the historical data, so something is not charting properly for live tick data. The problem is that I have less bars on my live charts and the bars are much, much longer on my live trading chart.

When I update the charts with historical data, I might get two or three smaller bars in comparison to one bar on my live chart. This is a real problem for someone trying to scalp a tick chart based on the close of the previous bar, because I'm simply getting long bars and missing most of the move waiting on the next bar to start forming.

I tested this on both Zen Fire and TT and I get the very same problem. I emailed NT support, and they told me that it was because the historical data is filtered, but I compared my 770 tick to another traders 770 tick, and while his bars weren't exactly like the historical bars, he didn't have the issue of less bars and longer bars.

I have traded tick charts for years, so moving to a different chart is not the answer. I also did a trace on my internet connections and I have a more than adequate data speed. I tried closing my virus protection and shutting down everything but the NT software, but no change. NT support suggested that I try the filter on the software, as they think the difference is caused by the historical data being filtered by the provider. I'm not sure I agree since I've compared another traders charts and he doesn't have this issue. I'm not sure what setting I would use on the filter anyway for trading the ES?

Has anyone else experienced this problem and can someone suggest some ideas? I'm about ready to dump NT if I can't figure this out. My previous software had no such issues and my actual data always looked like the historical data, so it's something specific to NT. Any help would be appreciated.

[NinjaTrader_Bertrand]

mccullek, welcome to our forums and thanks for the post!

Which NinjaTrader version are running while experiencing this? You can check this under Help > About.

Do you apply any custom indicator(s) when you see this happening live? Please try this just with a standard price only chart to compare.

Please also contact me at support at ninjatrader Attn Bertrand with recent trace and log files so I can review them closely.

[mccullek]

Ok, I'm running version 6.5.1000.11. As suggested, I will run a tick chart this morning with no indicators and see if that changes anything. I'll report back later today once I've had a couple of hours of bars to see how it looks.

I ran a trace-rt on my connection with TT with one of their tech reps to see if it was a delay issue, but they said my connection times were excellent. I use ATT DSL with the elite speed, and I did not have this issue with my prior charting program, only with the Ninja ticks charts. Just to make sure it wasn't a TT feed issue, I ran my tick charts with a Zen-Fire feed, but I still have the same problem, so it's not a TT issue.

Thanks in advance for helping me resolve this problem.

[NinjaTrader_Bertrand]

Ok, please report back later today what your findings with clean tick charts based on the ZenFire connection were. Please also consider reinstalling the .NET framework completely fresh to troubleshoot further.

[mccullek]

OK, I'm still having the same issue for today's data with no indicators running on my tick chart. I have a question: Does Zen-Fire and TT provide the historical data, or does Ninja Trader provide the historical data? When I load historical data for either feed, they both look identical. However, my live charts never look the same for either live feed.

[biorjin]

I did some search about this issue.

some one had reported the same problem before

Why does Ninja Trader drop ticks?
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.


10-22-2008, 11:34 AM #1 tdubnik
Junior Member

[biorjin]

here is another case reported

Sptradersr
Junior Member

Join Date: Feb 2008
Posts: 9



Ray
I am running new version 6.50.10 per Dierk. I am having same problem. Highs and lows not being correct. I run thru IB, you will see IB chart has correct highs in examples I am sending you. IB showed the highs on data and charts. The high ticks in examples did not show up on Ninja charts. I have a friend using Ninja with the Pats feed having same problem. He is sending his charts which I will forward to you, so you can see. So I guess what I am saying is ticks are missing on charts. I not sure what you mean by dropped ticks. Whatever its called is a big problem for me. I hope chart snaps will help you once you see problem.

TY

[biorjin]

This is my post


biorjin
Junior Member

Join Date: Mar 2009
Posts: 7


Does Ninjatrader drop tick in realtime?
Hi there, I have a big problem with my tick chart on Ninjatrader as it looks totally different in realtime from it does in historic chart. This is very annoying since I am a scalper and I have to reload the historic chart every one or two minutes. I tried both TT and Zenfire. They both do the same thing (different chart in realtime and in history). Anyone else having the same problem? I just paid for lifetime license. I don't wanna switch my platform. Can anyone please help me out here.

[biorjin]

Hi Ray,

If any solution has been reached on those cases, could you please let me know? I really appreciate that!!!

[mccullek]

I tried to run volume bars today, and they have the very same issue. It seems that the live data is missing volume/ticks compared to the historical data, as you get 2 or 3 bars in historical data for every single bar in the live data.

[biorjin]

Hi mccullek, I have the same problem as you posted, "missing ticks". Do you have to have a snapshot to show the difference? I am sending PM to all of folks who posted this problem to check if any solution has been reached. I think this probably is a big bug NT6.5 has.

I tried to run volume bars today, and they have the very same issue. It seems that the live data is missing volume/ticks compared to the historical data, as you get 2 or 3 bars in historical data for every single bar in the live data.

[NinjaTrader_Ray]

I did some search about this issue.

some one had reported the same problem before

Why does Ninja Trader drop ticks?
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.


10-22-2008, 11:34 AM #1 tdubnik
Junior Member

BarChart - Real-time feed is throttled since the feed they use from the CME is not raw, their historical tick data is even more throttled so you will never get a match. They have a new API which NT7 will go to that uses a new historic repository and by then, they will have updated to FIX FAST from CME which does not throttle.

PFG - Their real-time feed under extreme cases can drop some ticks, their historic does not --> It is possible to not have matching bars

Zen-Fire - Should more or less be accurate so here is what I suggest.
- Make sure you don't have real-time tick filtering enabled
- Start NT and open a 100 tick chart before 9:30 AM EST
- Let it run for 30 minutes
- Take an image
- Refresh --> Should be more or less the same

[mccullek]

BarChart - Real-time feed is throttled since the feed they use from the CME is not raw, their historical tick data is even more throttled so you will never get a match. They have a new API which NT7 will go to that uses a new historic repository and by then, they will have updated to FIX FAST from CME which does not throttle.

PFG - Their real-time feed under extreme cases can drop some ticks, their historic does not --> It is possible to not have matching bars

Zen-Fire - Should more or less be accurate so here is what I suggest.
- Make sure you don't have real-time tick filtering enabled
- Start NT and open a 100 tick chart before 9:30 AM EST
- Let it run for 30 minutes
- Take an image
- Refresh --> Should be more or less the same

Ray, I use a 770 tick for my trading chart. If I let it run during the after hours, it's not off as much, but then there is not much volume either. As soon as the regular trading opens, the data starts lagging seriously on the live chart. I can let it run for only 3 or 4 bars, and refresh and the historical data will not match.... there will be more smaller bars in historical, and I will have fewer and larger bars on my trading chart. It will do the same with volume charts as well.

I've tried the filter on and off, with no change. I've run the chart with no indicators, and on zenfire and tt, and the problem is the same on each one. Historical data for zen and tt look exactly the same when you load it, but neither matches the live chart. It's like the live feeds are not getting every tick, or at least not charting it. I've tested my speeds with TT and Zen and both said they were more than adequate. My charts with my current provider don't have this issue, so it's not my machine or my data line.

There are many posts from others with this same issue, so something real is going on here. Thanks is advance for looking into it.

[lindsayf]

is everyone positive that the chart differences are not (at least in part) due to the different start times of the bars in question? I notice this occasionally with my zenfire feed on 200 tick charts. When I review trades retrospectively the bars can be slightly different as I have reloaded the charts and the tick zero is changed. It is surprising how a , say, 20 tick offset can alter the chart appearance. This wouldnt explain all of what is discussed in this thread but maybe some?

[mccullek]

Your explanation is reasonable and expected. These differences are much bigger than that and can not be accounted for in that explanation.