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Reload Historical Data produces different chart

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    Reload Historical Data produces different chart

    I often have to reload my chart data and get different looking charts after the reload.
    Does anyone else have this problem with NT? Anyone know of a way to make the reload process faster?

    #2
    Hello Showa50,

    Thank you for your post.

    1.) Which version of NinjaTrader are you using?

    2.) Which data provider are you using?

    3.) In which interval(s) do you see this occur?
    KyleNinjaTrader Customer Service

    Comment


      #3
      1. I'm using NT 6.5
      2. PFG
      3. Tick Chart

      Comment


        #4
        Hi Showa50,

        Thanks for the clarification.

        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.
        KyleNinjaTrader Customer Service

        Comment


          #5
          Kyle,

          Your response makes sense and I can see how the bars would/could print differently based on time stamp, but wouldn't the same maket prices eventually print in some manner. Let me clarify; I have been working strategy and am currently testing both real-time and historical. On July 16th the strat was running real-time and at the 9:54am (ET) period, the high never exceeded 738.3 (EMD 9-10 3-range bar). However, while doing some backtesting and reviewing results, I noticed that the high price for the same time period reached 739.0. I know this because I did a screen capture of the real-time chart on that date.

          I have attached the two screen shots. The bmp is the real-time image I made on that day and the jpg is the chart historical/reloaded.
          Attached Files

          Comment


            #6
            Hi netjms,

            Can you clarify for me which data provider you are using?
            KyleNinjaTrader Customer Service

            Comment


              #7
              Sorry, I left that info out. I am using NT 6.5 and eSignal as a data feed.

              Comment


                #8
                Hi netjms,

                Thanks for the clarification.

                As eSignal provides the timestamp for real-time and historical chart data, the data should be the same (at least essentially) when reloading.

                You would need to contact eSignal for more information about why this could occur.
                KyleNinjaTrader Customer Service

                Comment


                  #9
                  NT_Kyle,
                  You wouldn't happen to know if Barchart.com or PFG timestamp their data?

                  Comment


                    #10
                    Hi Showa50,

                    Actually, both of these providers timestamp their data at their server.
                    KyleNinjaTrader Customer Service

                    Comment

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