Minute Bars

[morphtrade]

I was wondering how do you build minute bars in case of both historical and live data. Do you receive the minute bar from zenfire or do you build locally from tick data? I have also notice that sometime strategy backtesting results changes after reloading the data. I assume this might be due to diff between live bars, built from tick data, and historical bars.

[NinjaTrader_RyanO]

Hello morphtrade,

Thank you for your post.

Minute data is built using dedicated minute bars. Please see the following link.

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

As for the difference this is to be expected as explained at the following link.

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?DiscrepanciesReal-TimeVsBacktest

[morphtrade]

As per this table, minute bar data is used to build minute bars so why there is a discrepancy. I would have understood it if you build minute bars from tick data. I am using zenfire as a datafeed.



Base Data used to Build Bars

Tick - tick data
Volume - tick data
Range - tick data
Second - tick data
Minute - minute bar data
Day - daily bar data
Week - daily bar data
Month - daily bar data
Year - daily bar data

[NinjaTrader_RyanO]

Hi,

Differences can arise between historical and real-time data. From the first link I provided.

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.


Rather than being due to minute versus tick, it is due to historical versus real-time data.

[morphtrade]

zenfire do report ticks with timestamps. I have also noticed nt doesn't do bar update at the end of minute if there is no last price or qty change then nt do bar update whenver there is a tick after close of minute. Here's log of

DateTime.Now
Time[0]

03/03/2010 03:44:00
03/03/2010 03:44:00
03/03/2010 03:45:00
03/03/2010 03:45:00
03/03/2010 03:46:08 <<<
03/03/2010 03:46:00
03/03/2010 03:47:05 <<
03/03/2010 03:47:00
03/03/2010 03:49:44 << 03:48:00 reported at
03/03/2010 03:48:00

Is it how it should work? If yes, is close of 03:48 bars is price at 03:49:44.

[NinjaTrader_RyanO]

Hi,

Yes, this is how it will work. Ticks, regardless of their time stamp will be built on the current bar in real-time. When the historical data is reloaded the time-stamped tick data will change to its reported time, rather than where it was plotted in real-time.

With NinjaTrader 7, you will have the ability of editing the historical data using the Historical Data Manager. Please see the following link.

http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html