Delayed Feed Problem

[dave1992]

I just noticed a problem with delayed feeds (and not the bar chart timestamp one!) This may be a question for IQFeed, but I wanted to run it through here first.

If I connect to IQFeed delayed and run a strategy that just prints out the time and ochl and volume, the first strange thing that happens is that it prints it out up to the current time now - i.e. without the delay. I guess that may be because it's classed as historic data, rather than real time.

Next, onbarupdate doesn't fire until 15 mins later, that makes sense if your previous bar was 'now', which it was. The problem is, that when it first fires, the open/close are correct, but the high, low, volume aren't. I can't tell exactly what they are - at first I thought they may apply exactly to the 15 min period, but on looking at the values, the high/low don't seem to. The volume looks like it could well apply to the 15 mins. Here is an example for Z contract (format is timestamp|open|close|high|low|vol):

04/11/2009 12:39:00|5053.5|5053|5053.5|5053|16
04/11/2009 12:40:00|5053.5|5053|5054|5051|118
04/11/2009 12:41:00|5054|5052|5060|5051|909
04/11/2009 12:42:00|5052.5|5052.5|5053|5051.5|82

in the above case, strategy was started, printed up to and including the 12:40 line. 15 mins later, the 12:41 line was printed - the volume is far too high, as is the high low range.

Any ideas what's going on here?
thanks
Dave

[NinjaTrader_Bertrand]

Dave, I believe this would be expected for a delayed feed - the historical data is of course processed as expected (no difference for historical data from a live or delayed feed), but as you receive realtime updates for the strategy to process those would be delayed by the amount seen - perhaps it would be best to clarify with IQ directly how their delayed option works.

[dave1992]

Hi Bertrand - thanks for the reply. You haven't understood my question. Nothing to do with the delay, but why the incorrect values.

thanks
Dave

[NinjaTrader_Bertrand]

I see thanks Dave, do you notice this 'off' values for each first 'realtime' delayed bar the OnBarUpdate() is called for? Is the chart showing the values as expected? Is this on the latest NT 6.5.1000.14 and latest IQ Client version?

[dave1992]

Yes, the first realtime bar. The chart shows values for that bar that are exactly the same as in the strategy - i.e. wrong. Reload historic data puts the chart right. This is the latest version of NT and IQ.

thanks
Dave

[NinjaTrader_Bertrand]

Thanks Dave, unfortunately I don't have a delayed IQ account to test and reproduce - if there's a chance I could use yours please contact me at support at ninjatrader dot com Attn Bertrand

[dave1992]

In case anyone else has a problem with their IQFeed delayed feed, here is a summary:

If you have a delayed feed (say 15 mins), and you fire off a chart or strategy:

Ninja gets the historic data up to the current time, and so its last bar is up to date. Ninja then starts receiving delayed 'realtime' ticks. It presumably checks that the realtime tick timestamp is not later than the current bar (if it was, it would start a new bar) However it seems to not check whether the timestamp is for a bar before the current one, and it just adds the tick to the current bar. This means that 15 mins later when Ninja finally gets a timestamp that is later than the current bar, it starts a new bar and the previous bar is then available with close, high and volume relating to the previous 15 mins worth of realtime delayed ticks.

I've asked whether Ninja can be fixed to handle this situation properly and have been told it's on the list to be considered in the future.