Incorrect Market Replay Prices / Timeframe

[dargente]

Market replay is not synched up correctly. Check my stamps from live data:

2/4/2011 3:00:00 PM
BID: 1.35845 1000000
ASK: 1.35855 4146000


Check my stamps from replay data:

2/4/2011 3:00:00 PM
BID: 1.36305 9120000
ASK: 1.36315 8506000

[NinjaTrader_Matthew]

Hello dargente,

Thank you for your post

Can you please tell me which version of NinjaTrader you are using, NT V6.5.1000.19 or NT V7.0.1000.2? You can check this under Help--> About.

What instrument is this?

Who do you connect for real-time and historical data?

Was the replay data recorded from your real-time connection, or was it downloaded from our replay servers?

[dargente]

hi matthew,

Version: 7.0.1000.2
Instrument: EURUSD
Data: Interactive Brokers

Was the replay data recorded from your real-time connection, or was it downloaded from our replay servers?

Some of the data was recorded from real-time feed, but i wasn't recording 24/7. Please see screenshot of configurations attached.

[NinjaTrader_Matthew]

dargente,

Thank you for the update.

Do you experience this issue frequently, or was this the only date it occurred? What time zone are you in so I may compare.

[dargente]

It was the first time that I noticed; possibly the market replay was a few hours behind compared to the actual prices - although couldn't verify that. I am in EST zone.

Today is showing correct prices for today's feed,
but still wrong prices for last Friday the 4th.

[NinjaTrader_RyanO]

Hi dargente,

Since the data that you were using was recorded can you please go to File-->Utilities-->Download Replay Data for the EURUSD and then with the recorded file can you please test to see if with that replay data if the difference in values is still present with the 02/04 data.

[dargente]

I downloaded the replay data for 2/4/11 and the prices are in range now, although the bid/ask seems to be a bit off. Not once throughout the whole day did I see any half ticks. The spread was mainly 2 pips even during peak trading hours. Additionally, volume on each side for the whole day is now showing '1'.

The stamp now is showing:
2/4/11 15:00 EST
Bid: 1.3584 Volume: 1
Ask: 1.3586 Volume: 1

[NinjaTrader_Matthew]

dargente,

It is expected to see the volume was 1 or perhaps 0.1M for Forex pairs as there is not a central exchange for volume to be consolidated from. Some providers may report volume, but many do not. The market replay data volume data will be reported as 1.

[dargente]

ok, same problem today. this is for the last tick of the day that I recorded below:

replay is showing:
2/9/11 @ 12:56 EST
bid: 1.3628 vol: .56m
ask: 1.36285 vol: 3.8m

live connection is showing:
2/9/11 @ 12:56 EST
bid: 1.3710 vol: 8.5m
ask: 1.3711 vol: 5m

The last time live data actually hit 1.3628 was around 07:00 EST.

[NinjaTrader_Matthew]

Hello,

Thanks for the update.

I'm seeing roughly the same results as you on a live connection, so this data should be accurate. I'm also see similar results from the NinjaTrader Market Replay servers.

If you're recording this data from a Live IB connection, we need to look into how this data is being sent to NinjaTrader around that time.

Can you please clarify what version of TWS you are using? Are you on supported version 911, or something else? Do you see any errors on the Log tab of the Control Center from around this time? If so, what do they report?

[dargente]

Can you please clarify what version of TWS you are using?

I am using 7.0.1000.2

Are you on supported version 911, or something else?

913.6 Dec 17, 2010

Do you see any errors on the Log tab of the Control Center from around this time? If so, what do they report?

having trouble displaying the log properly. please see attachment.

Also, to be more precise the last tick on the market replay was at 12:54:02

[NinjaTrader_Matthew]

dargente,

You are using an unsupported version of TWS. You MUST use TWS version 911 with the latest version of NinjaTrader in order to ensure proper functionality between these two programs.

NinjaTrader acts as a radio receiver and only displays data as it is reported to it. It is likely that the data being transmitted in real-time and stored as replay is inaccurate due to using an unsupported version.

When you reconnect to your live IB account, it will re-download the data from IBs servers, which will provide NinjaTrader with accurate data, however there must be an issue in real-time.

Please uninstall TWS 913 and reinstall TWS 911 from our connection guide.

http://www.ninjatrader.com/ConnectionGuides/Interactive-Brokers-Connection-Guide.php

[dargente]

ok I just downloaded this version of TWS and will do a comparison to see if i get the same price discrepancies.

Also, for those who have trouble with the java shortcut, i had to change the location path for the javaw file from system32 to:

C:\Windows\SysWOW64

that's where its at.
using windows 7, 64-bit

[dargente]

I am still noticing the same discrepancies; here is a replay tick for EURUSD:

2/24/2011 4:38:15 AM BID: 13670000 1.3754 ASK: 1.37555 7500000

i am in EST timezone. it does not match the real data.
again, solution is not to download from server because i will lose volume information and that's not the real prices which streamed through.

i would suggest escalating this issue.
please let me know steps to take,
thank you.

[NinjaTrader_Matthew]

Hello,

NinjaTrader will only report this data as it is distributed from Interactive Brokers. Since Interactive Brokers filters/throttles their real-time bid/ask data, this would likely explain the discrepancy you are seeing that is being reported in real-time and saved as replay data.

If your trading method requires that you have accurate bid/ask data in real-time to store as replay data, I would suggest subscribing to a secondary provider, such as Kinetick, who does not filter their tick data.

Real-time service starts as low as $50 per month - please visit www.kinetick.com for more detailed information.

If you would like to read more information on filtered vs unfiltered data, please see the following post - http://www.ninjatrader.com/support/f...30&postcount=4

Please let me know if you have any further questions.