Issue: Historical futures data is sometimes missing or doesn't get updated after disconnected times.
Diagnosis: We have two separate accounts that allow me and another trader to compare CQG data feed with Zen Fire. We do not believe this is necessarily a feed problem from those companies, but rather how Ninja is storing the data.
Issue #1: Comparing CQG to Zen. Take a look at these two trace files that our strategy generates on a backtest. You will notice that the screen shot from Zen Fire is missing an entire day's worth of QM data on 7/8. It goes from 7/7 to 7/10. Compare that to the CQG data run using the exact same strategy. The CQG data (running on a separate box), has the 7/8 data.
Zen Fire: http://screencast.com/t/gPqfSZS56t
CQG: http://screencast.com/t/k1BUg6Pa0vT
Issue #2: CQG data is missing a single 15min bar as shown above in that screen shot at 12:00:00am.
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1. How do we resolve this issue? Two separate feeds, two separate boxes, same overall problem.
2. Is there a third-party program that can go in and tell me when I'm missing single bars, or an entire day?
3. We keep re-downloading instrument data either using Reload All Historical data or deleting the history from the Historical Data manager and redownloading that. Why should I have to keep doing this? And if so, at what interval - every day, every hour?
4. If I have a strategy running and an open position, then get disconnected for an hour, from my readings in the posting on this forum, I have no option to reload the missing data. It will recalculate what is there, but how can I redownload the historical data programatically? As you could tell, missing data would cause a change in entries and exits.
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Please understand that we have invested months of development on a variety of strategies. I have to trust that I have all the data to backtest and go live with. If I'm missing one or two bars, it could massively adjust an entry or exit.
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