Differences in data: GAIN live, GAIN historical, NT historical

[terenyi]

I have noticed some differences in the historical data provided by the GAIN servers and the NT servers and the data recorded while connected live to GAIN (using NT 7). I suppose this is normal behaviour though, as data arrives at different times (which causes bars to have different open/close prices), data gets lost, etc.?

[NinjaTrader_RyanM1]

Hello Ternyi,

Thank you for your post.

Please see below which was taken from:

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

As ticks come into NinjaTrader in real-time, they are time stamped based on your local PC time if they do not already have an associated time stamp that is provided from the real-time data source. The majority of our supported brokerage feeds DO NOT time stamp ticks where most of our supported market data vendor feeds do provide time stamped ticks. NinjaTrader then builds bars based on the time stamp of the incoming tick and displays these bars in your chart in real-time.

Let's say you have a tick (tick "A") with a time stamp of 10:31:00 AM which gets packaged into the 10:32:00 AM bar and happens to be the high of that bar. An hour later, you reload historical data from your historical data provider into NinjaTrader. This process will overwrite the existing data. The 10:32:00 AM bar now looks different since the high made by TICK "A" is now part of the prior bar, 10:31:00 AM. How is this possible?

• Your PC clock could have been off so the time stamp is delayed
• Your internet may have been lagging so the tick came in slightly delayed and therefore the time stamp is delayed
• Due to standard latency, even 50ms delay (which is normal) could be the difference between a 10:30:59 and 10:31:00 time stamp
• There is no way of knowing how the historical data provider packages their bars

The only way to ensure that data always looks the same is if every connectivity provider sent ticks with time stamps AND that all vendors synchronized on time stamps. Unfortunately, this is just not a reality nor plausible.

[terenyi]

Thanks, that's what I thought.