Charts “flat-line” with eSignal real-time data feed

[AnotherTrader]

I use NT for trading US equities.

Until now I have used my broker’s data feed (MB Trading) as my primary connection for real-time intra-day data. When I have done so, my charts visibly up date in real-time during the trading session (04h00 – 20h00 EST).

I have now changed my primary connection for real-time intraday data to eSignal.

However, when I do so (i.e. when I connect just my NT-to-eSignal connection), my charts no longer update in real-time; they are “flat-lining” yesterday’s closing price for each instrument charted.

Why is this? Has anyone else experienced this when using eSignal with NT?

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BTW, my troubleshooting so far has included the following (without resolving the problem successfully):

· I have tried creating new charts (i.e. I am not just using the same charts I used before with MB Trading), and have also tried to run eSignal with the same charts I used before with MB Trading. I get “flat-line” on both.

· I have confirmed with eSignal that my “eSignal Data Only” subscription includes real-time intraday data

· I have confirmed (via Symbol Monitor on eSignal’s Data Manager) that real-time intraday data is arriving at least as far as my trading computer

· I have re-created my NT-eSignal connection

Any ideas? Suggestions?

Thanks.

[NinjaTrader_Jason]

Hello AnotherTrader,

Could you perhaps post a screenshot of a chart that is flat lined. Does this mean all price data is reflected as a line due to a extended Y-axis?

Do you have any indicators applied in your chart? If so, please try without any indicators.

Does it occur with all instruments you select?

What interval is selected in your chart as well? Does it make a difference if you select a different interval type?

[AnotherTrader]

Hi, Jason

Thanks for the help.

I have attached two screen shots.


QQQQ 25_03_2010 (5 Min)

· This is a 5-min chart of QQQQ.
· The session begin time is set to 16h30 EST.
· The session end time is set to 16h00 EST.
· eSignal was connected at 06h30 EST. Ticks prior to 06h30 show actual prices (NT reloaded the historical data for these ticks). Ticks after 06h30 are “flat-lining”, and show yesterday’s closing price ($48.02)

SPY 25_03_2010 (15 Seconds)

· This is a 15-second chart of SPY.
· The session begin time is set to 04h00 EST.
· The session end time is set to 16h15 EST.
· eSignal was connected at 06h30 EST. Ticks prior to 06h30 show actual prices (NT reloaded the historical data for these ticks). Ticks after 06h30 are “flat-lining”, and show yesterday’s closing price ($116.84)

So, to answer your questions:

Could you perhaps post a screenshot of a chart that is flat lined. Does this mean all price data is reflected as a line due to a extended Y-axis?
- I hope it’s clear from the screenshots; by “flat lining” I mean that the real-time price plotted is just yesterday’s close rather than the actual real-time price.

Do you have any indicators applied in your chart? If so, please try without any indicators.
- I have removed any indicators or strategies from the above charts


Does it occur with all instruments you select?
- I believe it occurs on all instruments. In the example charts I have selected two examples.


What interval is selected in your chart as well? Does it make a difference if you select a different interval type?
- I believe it is independent of the interval. In the example charts I have selected two different intervals, and two different sets of session begin and end times.

Grateful for any further help you can give.

[NinjaTrader_Jason]

I created a QQQQ 5 minute chart on my end and I see flat lines as well.

This is because the last price remains on 48.02, so each 5 minutes a flat line is plotted. The same principle clarifies the SPY chart; the last price remains the same, so each 15 seconds a flat line is plotted.

Unfortunately NinjaTrader acts like a radio receiver and displays the data it receives.

[AnotherTrader]

Hi,

I took the matter up with eSignal (I have their "data only service", so I don't use the eSignalapplication).

It seems the pre-market equity data is there, but not available through the NT-eSignal connection (which I guess is why you can't see it either).

Here's my conversation with eSignal support.

Can you NT give me any further help with this?

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Reference Number for this chat is 482693.

Another Trader: Hi

I receive real-time market data (US stocks) from eSignal, but have a question about what real-time data I am receiving.

Do I receive real-time data for the pre-market session as well (04h00 - 09h30 EST)?

Thanks

(eSignal rep): ok, let me have a look....

Another Trader: During the pre-market session (i.e. now), my data just seems to show yesterday's closing price, rather than the real-time price

(eSignal rep): yes, i see you realtime on U.S. stocks

(eSignal rep): ok, you get realtime pre-mkt data if you have your chart's time template set to not filter out pre-mkt data

(eSignal rep): you can right-click in chart , go to time templates & set it to 24 hrs

Another Trader: That's what I expected, but it's not what I am seeing

(eSignal rep): also, in a quote window, you can add the Last/Extended Hrs column for all sessions

(eSignal rep): oh, wait you can't run the eSig app on your level of service

(eSignal rep): so what 3rd party program do you run?

Another Trader: NinjaTrader

(eSignal rep): ok, i don't support NT (NinjaTrader) here, but you'd simply need to adjust their time template to allow for data in all sessions

Another Trader: Have a further question, which I am sure is related

(eSignal rep): yes

Another Trader: If I open the eSignal Data Manager then open SymbolMonitor, and then enter SPY, and then click ToReceiver, what should I see below “Last”?

Another Trader: In my case, I see yesteday’s closing price ... shouldn’t I see the price now?

(eSignal rep): no, the Last in the DM's Symbol Monitor is for the day session only

(eSignal rep): but the Bid & Ask are realtime

(eSignal rep): SPY will show 116.84, where it closed yesterday, till the opening tick of today's day session

Another Trader: Are you sure? The timestamp below “Last” currently says “08:47:13 03/25/2010”... That’s now!

(eSignal rep): yes, i'm sure. you can refresh the ToReceiver button so the time updates but look at the Last price, it's still 116.84

(eSignal rep): it'll continue to show 116.84 until today's open

Another Trader: On the same row as the price labelled “Last”, but over as far right as I can go on the SymbolMonitor, there is a price that does not have a label .... it is showing the actual real-time price, but I can’t access this price via Ninja! What can I do?

(eSignal rep): you're asking the same Q above, in a different way. again, you'll have to contact the NT folks to find out how to get the live, pre-mkt Last into that app

(eSignal rep): if you kept your eSignal Premier service you had previously, you could certainly view this data in the eSignal app

(eSignal rep): in both an eSig chart & quote & any other window in our program

Another Trader: I autotrade with Ninja; so I need your data, not your application. I’ll follow up with NinjaTrader and see where I get to.

(eSignal rep): just explain to them that we're providing the data in pre & post market & how to adjust their charts and other windows to be able to show that

(eSignal rep): take care now.

Another Trader: Many thanks

[NinjaTrader_Jason]

Please note that chart data is built of the last traded price in NinjaTrader 6.5. If I understand correctly, there is no last traded price data sent to NinjaTrader or the eSignal Data Manager pre market.

So unfortunately the behavior you experience is as expected. NinjaTrader receives the last price of the close of yesterday during pre market hours, thus each bar is plotted as a flat line.

NinjaTrader 7 will allow you to built charts of bid and ask data.

[AnotherTrader]

...If I understand correctly...

I don't wish to seem rude or anything, but I don't think you are understanding correctly...

Several million shares of SPY were traded today (and trade every day) in the pre-market session. (I believe it is the most actively traded share on any exchange anywhere in the world).

The eSignal data monitor shows these shares being traded, and shows the price at which they trade (please see my chat with eSignal).

The problem is that NT is reading the wrong price from the eSignal data. It is reading the last traded price during the prior day's session (which at the end of the day is the closing price), but (out of hours) is not reading the "last traded price" in the eSignal data (even though this data is available in the eSignal data; again, please see my chat with eSignal).

Can NT give me any further help on this?

[NinjaTrader_Jason]

I interpreted from your conversation with eSignal, that your eSignal connection does not receive 'last traded price' data during pre-market hours.

Another Trader: If I open the eSignal Data Manager then open SymbolMonitor, and then enter SPY, and then click ToReceiver, what should I see below “Last”?

Another Trader: In my case, I see yesteday’s closing price ... shouldn’t I see the price now?

(eSignal rep): no, the Last in the DM's Symbol Monitor is for the day session only

As mentioned, NinjaTrader builds its charts using 'last traded price' data. Since you receive the 'last traded price' of yesterday's close during pre-market hours in eSignal's Data Manager, NinjaTrader will receive the same data. It will create flat lines as price bars, since the last traded price remains the same.

Let me know if this does not make sense.

[AnotherTrader]

Yes, apologies if I wasn't clear (which I obviously wasn’t!) ...

The key phrase comes a little further down:
Another Trader: On the same row as the price labelled “Last”, but over as far right as I can go on the SymbolMonitor, there is a price that does not have a label .... it is showing the actual real-time price, but I can’t access this price via Ninja! What can I do?

eSIgnal IS producing the last-traded price in pre-market hours, but it is not labelled “Last Traded Price” (in fact, it’s not labelled anything!).

As far as I can guess (i.e. I don't know what data-mapping goes on inside the NT-eSignal interface), NT gets its price from the data element that it knows as “last traded price”, which works fine during market hours.

However, out of key market hours, eSignal labels this data something else, and it is this that NinjaTrader is not picking up.

That was why the eSignal rep wrote:
(eSignal rep): just explain to them [i.e. to NinjaTrader Support] that we're providing the data in pre & post market & how to adjust their charts and other windows to be able to show that

The issue is the design of the NT-eSignal interface (and the data-mapping therein); I don’t think it is picking up the correct data from eSignal in the pre-market session (even though eSignal provides this data).

The question is now, what can be done about this?


Thanks for your continued help.

[NinjaTrader_Jason]

Unfortunately NinjaTrader will need to receive the data as 'last traded data'. There is no workaround that will allow you to build charts by other data.

"if you kept your eSignal Premier service you had previously, you could certainly view this data in the eSignal app"

This service must be supporting 'last traded data' in pre-merket hours, thus it would also display in NinjaTrader.

[AnotherTrader]

Again, I apologise if this seems rude, but you are failing to understand the matter.

1. THE LAST TRADED PRICE OUTSIDE CORE HOURS IS ALREADY BEING SENT BY eSIGNAL TO MY TRADING COMPUTER. The issue is that the NINJATRADER APPLICATON DOES NOT KNOW THIS, as it has not been told that this data is identified differenty by eSignal outside core market hours.

2. The eSignal rep is telling me that if I subscribed to the eSignal Premier service I would be able to run THE eSIGNAL APPLICATION (i.e. user interface) LOCALLY ON MY TRADING COMPUTER. This would allow me to see the last traded price, BUT ONLY THROUGH THE eSIGNAL USER INTERFACE.

3. ... BUT I USE NINJATRADER FOR AUTOTRADING. It is no good to me to be able to SEE the prices I need through the eSignal user-interface IF THE NINJATRADER APPLICATION IS UNABLE TO SEE THEM.

4. IT WOULD MAKE NO DIFFERENCE WHETHER OR NOT I SUBSCRIBED TO THE eSIGNAL PREMIER SERVICE. The eSignal rep is saying that if I did, I would SEE the prices in the eSignal user interface. He does not realise that I am autotrading with NT, and thus I NEED THE NINJATRADER APPLICATION TO SEE THEM.

Is there any chance that you could consult with someone on your team who was involved in designing or developing the NT-eSignal interface?

I am sure that this matter would be of interest and concern to them ...

[NinjaTrader_Jason]

Yes, it is being sent, but not as 'last traded price'. NinjaTrader builds data from this data only(!). Since it remains on the same price during pre-market hours, NinjaTrader will receive the same.

You do not receive updating 'last traded price' data during pre-market hours in eSignal's Data Manager.

If you would receive updating 'last traded price' using the Premier service in eSignal's Data Manager, you will receive it in NinjaTrader as well.

It works as expected.

[AnotherTrader]

It works as expected...

... but is not useful like this.

I hope that you can understand why I am saying that.

Please request to your development/design team that they consider resolving this issue in future versions of the eSignal-NT interface (e.g. by sourcing the "last traded price" from a different eSignal data element in pre-market hours).

As it stands, NT is not making best use (in fact, it's not making any use!) of eSignal's stock data feed in pre-market hours.

[NinjaTrader_Jason]

I will forward your suggestion to have NinjaTrader plot real-time data by such a data source to our development team and ask them if they can add this to the list of future considerations for the software.

Thank you for your feedback.

[AnotherTrader]

Thanks, Jason

I have also put it here

http://www.ninjatrader-support2.com/vb/showthread.php?t=27276