inaccuracy in data feed from MBTrading

[tradermark]

there is quite a number of inaccuracy in data feed for example /ES 5 minute candle chart from MBTrading

The candles are not correct at times and sometimes open or close are wrong, or even at times high and low is wrong, to about 0.25 difference, but the difference will be compensated in next candle, so meaning the next candle will take the difference from last candle. This is comparing to other data feed such as ThinkorSwim.

I've tested "Vision Financial Market" data feed with TOS and the candle matches correctly.
What could be the problem with MBTrading data feed? is their data feed lagging or what could be the problem?

note: I've always sync my pc time clock and have a Windows XP SP3 applied.

[NinjaTrader_Matthew]

Hello,

Different data feeds produce different charts, especially when using tick based intervals vs time based intervals.

Market data vendors each employ various methods for tick filtering, throttling and time stamping.

As a result, no data stream is 100% identical and thus can cause subtle differences in charts.

[tradermark]

Thanks for the information, not using tick, using candles here.

may I know what MBTrading is using ? tick based intervals or time based intervals ? and what's Vision Financial is using? if they are different, then it may be a problem here and I should stick with the most accurate broker feed.

Also, I've tested MB Trading Desktop Navigator Pro comparing with Ninja with same MBTrading feed, even with the same data feed, their own software seems to showing correct candles, but Ninja is not.

I prefer to use Ninja rather than their MBTrading Desktop pro, and like to find out if there is fix to this problem? is MBTrading filtering and slow throttling data feed to Ninja specifically and their own software feed to their own software is better?

[NinjaTrader_Matthew]

Both providers offer tick and minute data.

What type of interval for your charts do you see the issues? I know you're using candle charts, but what type of interval? 10 minute chart, or 150 tick chart, 1000 volume, etc.

We really do not know what methods MBT or any technology uses to filter their data. In NinjaTrader, what happens when your right click on your MBT charts and select 'reload all historical data'. Does the data update or does it display the same?

[tradermark]

ES on a 5 minute candle chart

the 'reload all historical data' will fix the MBT candle discrepencies, but the wrong candle will happen again in next few minutes. So the need to always hit the 'reload all historical data' will fix the problem temporary only.

can you can try to replicate this problem on your end comparing MBT Desktop Pro candles with Ninja w/MBT feed? You will see the mismatched wrong candles, of I can attached a screen shot?

[tradermark]

I've attached the screen shots a while ago, noticed the Ninja candle the 11:25, the LOW and OPEN is not correct.
and frustrating that it happen all the time, can't trade with these discrepencies.

Ninja (MBT Feed ) - wrong candle
http://tinypic.com/r/2lawuvp/5

MBT Desktop Pro ( MBT FEED) - correct candle
http://tinypic.com/r/1180huw/5

just a reference TOS - correct candle
http://tinypic.com/r/mly05/5

[tradermark]

anyone else here trading with MBTrading feed? you might be trading with inaccurate prices!

please compare candles on your MBT Desktop Pro and Ninja w/ MBT Feed on 5 minute examples ES 12-11, any discrepencies?

[NinjaTrader_Matthew]

Hello,

Thank you for the screen shots.

If reloading the historical data corrects the issue, this would indicate your PC clock is not in sync with the MBT servers.

Vision natively time stamps their data, however the MBTrading real-time data is based off of your local PC clock. This means the data received in real-time from MB Trading will be stamped with your clock, however the data on their servers is stamped locally on their servers.

You mentioned you always sync your PC clock, however the results you are seeing would indicate there are discrepancies in real-time vs historical. Can you please clarify what time server you are syncing with? Are you using the default time.windows.com? Or have tried an alternative server such as time.nist.gov?

[tradermark]

always use time.nist.gov to sync and after sync I reload the historical data, it all work fine after a while, a few minutes later, wrong candles will appear and continue to appear.

I'm running side by side MBT Desktop Pro in the same PC (same time) and it's showing correct candles. If MBTrading Data feed is realtime to both their platform Desktop Pro and Ninja, questions is why Ninja is showing wrong candles?

[NinjaTrader_Matthew]

Thank you for reporting.

I'm currently setting up some tests to see if I can duplicate.

One thing you might want to check is going to Tools--> Options--> Data tab and ensure "Save chart data as historical" as been unchecked. Since MBT offers historical data from their servers, there would be no reason to store this data and doing so can introduce performance issues related to how NinjaTrader receives and stores this data in real-time.

Once I have more information on my testing here I will update this thread. Please let us know if there is anything else you wish to add to this case.

[tradermark]

"Save chart data as historical" was unchecked and was never checked before.

One more thing to add, I find that it happened more often during day trading hours, not after hours. Thank you for testing it and look forward to your finding soon.

[NinjaTrader_Matthew]

Hello,

Thank you for your patience while I tested this further.

I tried a few symbols on the MBT connection and did not have any issues with discrepancies in real-time vs historical. After reloading the data from the server, I was seeing the same values.

I consulted with our support lead on the results you are seeing and he was able to confirm that the differences are purely timing.

The MBT real-time data is locally time stamped, and the MBT historical data is time stamped on their server.

It could be that your PC is in sync, however the MBT servers are out of sync from your PC by a second or two. Without being able to match the clocks on both the server and the PC, there is no way to avoid discrepancies in real-time vs historical data.

The only way to match is to have the server send of the time stamps with the data, which is what Vision does or any provider who used Native time stamping.

Click here for more information on the varying levels of data of our supported connectivity providers

[flyguy767]

I've had this problem before with IB and found on one piece of software the candle started at the beginning of the time period and the other software started at the end of the time period which would change ohlc of the current candle. After a while of running in realtime the charts would look different and after reloading historical data they would look the same again for awhile.

Hopes this helps.