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Difference between tick, range versus min bars

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    Difference between tick, range versus min bars

    Today I found a big difference between tick, range versus minute bars and i don't know why. see screenshot usdchf and audusd.
    It is the first time I see that and I asking myself, do I collect the data in the wrong way? see sreenshot.

    Appreciate any help
    thank you and regards
    michael
    Attached Files

    #2
    Michael,

    Tick and range bars are not time dependent, as such they will not match up with minute time frames. Essentially, range bars only take into consideration price, and tick bars are closed once a certain number of ticks come in. Ticks are not always equally spaced in time.

    Here is a link to more information on range bars : http://www.investopedia.com/articles...#axzz1eMS3A7vt

    Please let me know if I may assist further.
    Adam P.NinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_AdamP View Post
      Michael,

      Tick and range bars are not time dependent, as such they will not match up with minute time frames. Essentially, range bars only take into consideration price, and tick bars are closed once a certain number of ticks come in. Ticks are not always equally spaced in time.

      Here is a link to more information on range bars : http://www.investopedia.com/articles...#axzz1eMS3A7vt

      Please let me know if I may assist further.
      Hi Adam

      Thanks for your reply. I know the difference between tick, range and time bars.
      I'm collecting my tick data from IB and I took another look at my "Data record system" and found out that the instrument usdchf and (not so much) audusd has several jumps in the tick chart, it looks like it is 300tick bar on a 50 tick chart and I think thats the problem. All other instruments do not have that problem. How can it be and how can I resolve that.

      thanks
      Attached Files
      Last edited by michi08; 11-21-2011, 12:03 PM.

      Comment


        #4
        michi08

        Thanks for your note.

        You could delete the files for them in My Documents / NinjaTrader 7 / db / tick, then re-download the historical information for the charts using the Historical Data Manager accessible in the tools menu. It may just be some issue with the historical data.

        Please let me know if I may assist further.
        Adam P.NinjaTrader Customer Service

        Comment


          #5
          Still not working well

          Hi

          I still have the same problem like before. What really bothers me is that it is only the AUDUSD and the USDCHF instrument. Like you can see in the screenshot the diamonds in the tick chart and the minute chart are at the same place, but the candelsticks are not. I would really appreciable any help.

          I do record data from IB and I do it like this. I have simply 2 chart windows, one with instruments EURUSD and AUDUSD 1 min. and the other one with instrument GBPUSD and USDCHF 1 min.


          Thanks
          michael
          Attached Files
          Last edited by michi08; 12-19-2011, 07:45 AM.

          Comment


            #6
            michi,

            Could you perhaps use a volume indicator like Volume Up/Down to check each bars volume. I definitely see what you are seeing as unusual in your chart screen shots, but I am unable to replicate on my end.

            One thing to keep in mind is that there is a know issue with IB where they can sometimes have volume spikes. This has to do with the TWS API and there is not anything NT can do about it.

            Here is a link to a forum on this topic : http://www.ninjatrader.com/support/f...t=25700&page=6

            Please let me know if I may assist further.
            Last edited by NinjaTrader_AdamP; 12-19-2011, 09:04 AM.
            Adam P.NinjaTrader Customer Service

            Comment


              #7
              I was wondering, is it a data or a charting problem. It is a charting problem!!!!
              See screenshots.
              1. I left this chart running and plots great.
              2. I switched to an other instrument and back and surprise, chart is a complet mess.
              Attached Files

              Comment


                #8
                Originally posted by NinjaTrader_AdamP View Post
                michi,

                Could you perhaps use a volume indicator like Volume Up/Down to check that each bar has the same volume. I definitely see what you are seeing as unusual in your chart screen shots, but I am unable to replicate on my end.

                One thing to keep in mind is that there is a know issue with IB where they can sometimes have volume spikes. This has to do with the TWS API and there is not anything NT can do about it.

                Here is a link to a forum on this topic : http://www.ninjatrader.com/support/f...t=25700&page=6

                Please let me know if I may assist further.
                Hi Adam
                you where a little bit faster then me, check my new post please.

                thank you
                michael

                Comment


                  #9
                  michi,

                  This is partially an issue with the TWS API that NinjaTrader connects to as I have explained in my prior post, as well as the fact that many brokers do not report live volume/ticks for any number of "non-last qualifying" trades. When you reload historical data, the broker will then report this information. "non last-qualifying" trades are trades such as :

                  a = acquisition

                  b = bunched trade - average price

                  c = cash trade

                  d = distribution

                  e = automatic execution

                  f = intermarket sweep

                  g = bunched sold trade - opening/reopening trade detail

                  h = intraday trade detail

                  i = basket index on close transaction

                  j = rule 127 trade

                  k = rule 155 trade

                  l = sold last

                  n= next day

                  o = opened

                  p = prior reference price

                  r = seller

                  s = split trade

                  t = form t trade - pre/post market trade

                  u = extended hours trade - reported late or out of sequence

                  w = average price trade

                  y = yellow flagged regular trade

                  z = sold - out of sequence

                  Please let me know if I may assist further.
                  Adam P.NinjaTrader Customer Service

                  Comment


                    #10
                    Now I do not understand that.

                    1. IB does not give historical TICK data
                    2. NT does save historical data. Under: Options - Data - "Save chart data as historical"
                    3. We can se in the chart that IB send NT good tick data.

                    When I reload historical tick data, that means that NT reload the historical tick data that NT saved!?

                    And why I have only problem with AUSUSD and USDCHF?

                    thanks
                    michael

                    Comment


                      #11
                      I took a look at the historical data under:
                      Historical Data Manager - Edit - AUDUSD - Last - Tick - Today
                      and I found out that the data there are not the same like in the chart??

                      But NT does record data from the chart? I don't get it

                      Comment


                        #12
                        Michi,

                        Im running tests on IB right now with Tick data incoming. If you can post all information step-by-step to reproduce this issue it would be helpful in resolving your issue.

                        Also, what is your version of NT? You can check in help > About.
                        Adam P.NinjaTrader Customer Service

                        Comment


                          #13
                          In this 2 screen shots

                          1. Historical tick data FALSE, chart ok
                          2. Historical minute date ok, chart ok

                          NT does use IB's same tick data for recording and for charting or not?


                          Edit: I use NT 7.0.1000.7
                          Attached Files
                          Last edited by michi08; 12-19-2011, 09:40 AM.

                          Comment


                            #14
                            Michi,

                            NT does use IB's same tick data for recording and for charting or not?
                            Yes. However you will run into volume-spike issues as I mentioned using IB. This will affect tick charts as well, so you will have some data that isn't correct. This is something we have no control over as I mentioned. IB is aware of this issue and we are working with them closely on resolutions.

                            I am trying to replicate your charting issue by getting and saving tick data for IB. So far the tick data looks fine, however if you have some steps you can do to replicate your charting issue it would be immensely helpful in getting a resolution on this.
                            Adam P.NinjaTrader Customer Service

                            Comment


                              #15
                              I'm searching for something in the NT Historical Data and found out that the "Last" tick data are not right. "Bid" and "Ask" data are right.
                              Maybe thats helping you.


                              "I am trying to replicate your charting issue by getting and saving tick data for IB. So far the tick data looks fine, however if you have some steps you can do to replicate your charting issue it would be immensely helpful in getting a resolution on this."

                              What excatly you need to know?

                              Edit: In the Data Series I changed now the "Price based on" from Last to Bid and now I have finaly a great looking chart. Question now: Whats going on with the "Last" data recording?
                              Attached Files
                              Last edited by michi08; 12-19-2011, 10:14 AM.

                              Comment

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