Data Delay

[saints]

I'm trading through TD Ameritrade and using them for live data. The strategy I'm running is a multi-instrument strategy that monitors 100 or more stocks; currently it's watching 98.

Comparing time and sales in NT with TDA's StrategyDesk software (on another computer), I'm seeing an increasing delay in receiving data. I noticed it at 1 min, and it is currently about 4 minutes. There is also a huge lag in receiving fills.

Is this a problem with having a large number of symbols in one strategy, or just a large number of symbols in general? All of NT is showing this delay including the active strategy, order reporting, charts, and time and sales.

There isn't a high usage of CPU or networking showing through Windows Task Manager.

Any ideas on what is causing the delay and how to fix it are very welcome.

[NinjaTrader_Matthew]

Hell saints,

Thank you for your post.

The number of symbols you can run will depend on the PC. To isolate this, I would suggest reducing the number of symbols running in your strategy and test again.

If that does not improve, I would next suspect the local PC clock to be contributing. TDA data is locally time stamped with NinjaTrader, so the data you see in the T&S will come from your clock. If you're noticing a discrepancies between StrategyDesk and NinjaTrader, I would suggest syncing your local PC clock.

You can sync your PC clock by double clicking on the clock in the lower right corner of your desktop. Once you have done that, click on Internet Time tab and then click Update. Your PC clock should now be updated.

[saints]

Both computers are on the same network, and they sync their clocks to a network time server. This means they both have the same exact time. That's also how I could measure the delay in time and sales.

Without restarting the strategy since I have working orders, is there anything I should look for to suggest that the computer can't handle the current number of symbols? Nothing seems to indicate that the computer is struggling. It's an Intel i7 @ 2.67 GHz machine with 12 GB of ram running Windows XP 64 (although NT has to run in 32 bit mode to connect to TDA, unless that has changed and I missed it). In Task Manager, NT is showing 0 cpu and 500 MB memory usage.

[NinjaTrader_Matthew]

Hello,

The CPU would be the most relevant to check. Although it is currently at 0, how high do you ever see this process spike to? Does it ever go above 25%?

[saints]

No I don't. None of the cores are pegged. CPU usage hovers around 1%, although I just saw it spike to 4%. Nothing limiting though.

Edit:
That spike was not from the NT process though.

[NinjaTrader_Matthew]

Can you please report how this behaves without any strategies or charts running. We would want to compare the results when running only the T&S

Please let us know how the time & sales runs without any additional threads open in NinjaTrader.

[saints]

After disabling the strategy, there was a delay at 2:37 PM of 34.5 minutes. This delay kept growing and at 3:03 PM was 38 minutes.

I closed NT and reopened it, connected to TDA and opened the time and sales again. This time, the delay was consistently between 0 and 3 seconds from 3:12 PM until the close of the stock markets at 4:00 PM.

[NinjaTrader_Matthew]

Hello saints,

Thanks for reporting.

I will need to work with our support lead and your provider. As evidence of this delay, can you please take a screen shot showing the lag by displaying the time and sales window and the local PC clock which shows the discrepancy in these two areas.

Please also include a screen shot of your CPU usage around this time.


Please send an email to support[at]ninjatrader[dot]com and include:

1. Your most recent log and trace files from the date you took the screen shots
2. The screen shot of the time and sales next to the PC clock & your CPU usage
3. Attn: Matthew in the Subject line
4. A reference to this thread.

You will find the log file in the Documents > NinjaTrader 7 > Log folder.

• The log file will be named ‘log.20111116.txt’

You will find the trace file in the Documents > NinjaTrader 7 > Trace folder.

• The trace file will be named ‘trace.20111116.txt’

Please attach both of these files to your next response. If these files are over 4MB, please let me know and I can respond with alternative instructions.

[saints]

Thank Matthew.

I have been watching my strategy running all morning waiting for a delay to start so that I could provide you with everything you asked for.

It was running fine all morning until now. I noticed the connection to TDA was lost and it reconnected, and then the lag started showing up.

I have sent you all of the information that you asked for now that this has reoccurred today.

Edit:
Disconnecting manually and then reconnecting seems to have fixed the lag this time, but as expected it ruined the sync between working orders/positions from this morning.

[NinjaTrader_Matthew]

Hello,

Thanks I have received and we will be reviewing.

[saints]

I wanted to post an update since this situation has been resolved with great help from the NinjaTrader folks.

It turns out that the mobile app I was using to check in on trades and positions while out of the office was causing a disconnect from the TDA price feed and the subsequent delayed data.

After talking to TDA, there are two apps, and thankfully one of them does not cause the disconnect.

At least for iOS (iPhone/iPad/iPod) users:

DO NOT use TD Ameritrade Mobile Trader by TD Ameritrade Mobile, LLC. If it is installed, the name on the app is Trader.

USE TD Ameritrade Mobile by Maximo Cavazzani. If it is installed, the name on the app is Ameritrade.