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Difference between tick, range versus min bars

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    #16
    dvercher,

    From a colleague of mine : "Tick data from IB is not real tick data, its only a market snap-shot of multiple trades". I also found the following "IB TWS streaming data are NOT tick-by-tick, but rather 0.2-0.3 second snapshots".

    Here is a forum thread on this : http://www.ninjatrader.com/support/f...ad.php?t=32712

    As far as replication steps, for now I understand when you have a chart open and are receiving tick data from IB with "save chart data as historical" enabled, then when you switch to a different instrument and back its causes your issue. Is there anything else you are doing? What version of NinjaTrader do you have? What version of TWS do you have?

    I would recommend using the latest version of NinjaTrader, and ensuring that you have the supported version of TWS which is 917.
    Last edited by NinjaTrader_AdamP; 12-19-2011, 10:37 AM.
    Adam P.NinjaTrader Customer Service

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      #17
      The issue with the IB tick data (0.2-0.3 second snapshots) I knew, but I think thats not the problem.

      Like I wrote in Post 15, I think the issue are by NT. Take a look at the screen shots.

      "Last" tick data, there we have 0.9950 (wrong)
      "Bid" tick data, there we have 0.9929 (ok)
      "Ask" tick data, there we have 0.9930 (ok)

      When I change the Data Series in the chart from "Last" to "Bid" or "Ask" the problem are gone.


      Originally posted by NinjaTrader_AdamP View Post

      As far as replication steps, for now I understand when you have a chart open and are receiving tick data from IB with "save chart data as historical" enabled, then when you switch to a different instrument and back its causes your issue. Is there anything else you are doing?
      Thats excatly what I'm doing and nothing else.

      Originally posted by NinjaTrader_AdamP View Post
      What version of NinjaTrader do you have? What version of TWS do you have?

      I would recommend using the latest version of NinjaTrader, and ensuring that you have the supported version of TWS which is 917.
      I'm using TWS 917.8 and NT 7.0.1000.7 (Right now I'm preparing me to upgrade NT)
      Attached Files
      Last edited by michi08; 12-19-2011, 11:04 AM.

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        #18
        michi,

        As far as your chart issue, keep in mind when you switch instruments on the chart, and don't have a chart open for that instrument it will stop recording tick data. Please try to keep two charts open with the same instrument, and switch one of them between instruments and see if it replicates the issue. Please let your tick data build up for awhile before attempting.

        As far as your second issue with last tick data, I am still looking into it.
        Adam P.NinjaTrader Customer Service

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          #19
          Originally posted by NinjaTrader_AdamP View Post
          michi,

          As far as your chart issue, keep in mind when you switch instruments on the chart, and don't have a chart open for that instrument it will stop recording tick data. Please try to keep two charts open with the same instrument, and switch one of them between instruments and see if it replicates the issue. Please let your tick data build up for awhile before attempting.
          Thats what I do. In the backround are always a chart with the 4 instruments wich I'm trading, open to record historical data.

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            #20
            michi08,

            As far as your first issue, I think I misuderstood what it is your issue actually was. Tick charts and minute charts wont match up exactly because there are a variable number of ticks per minute. Tick charts are time independent whereas minute charts are time dependant. The bars won't match up or overlay necessarily. This is an answer to post #5.

            From post #7, I can see that the chart is changing however am unable to replicate. I have 1 chart open with 50 tick on the AUDUSD so I keep receiving tick data. Then, I open a second chart with 50 tick AUDUSD, and add a 1 minute time series to it. After this, I change to EURUSD and back to AUDUSD and see the same thing as before.

            Please also keep in mind I am using NinjaTrader 7.0.1000.8, and you are using .7 so this may explain why I am not getting these results. I would suggest upgrading.

            The second issue you noticed is that the last tick data is not correct. I am currently trying to find out why this may be.
            Adam P.NinjaTrader Customer Service

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              #21
              michi08,

              Ok, my colleagues and I tested this. We only support the real time IB connection as they don't even offer historical tick data. If you check your "orders" tab and select the AUDUSD, you will see accurate Last data is coming in. Using the historical data manager doesn't really lend itself well for comparisons of tick data because you are losing some intra-bar granularity. It will only be accurate for historical data that IB offers, which is minute or higher.

              If you need tick data for testing such as in Market Replay, I would suggest getting it through the File > Utilities > Download Replay Data.

              In conclusion, I would read my former post, as well as upgrade to NT 7.0.1000.8.
              Adam P.NinjaTrader Customer Service

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                #22
                Originally posted by NinjaTrader_AdamP View Post
                michi08,

                Ok, my colleagues and I tested this. We only support the real time IB connection as they don't even offer historical tick data. If you check your "orders" tab and select the AUDUSD, you will see accurate Last data is coming in. Using the historical data manager doesn't really lend itself well for comparisons of tick data because you are losing some intra-bar granularity. It will only be accurate for historical data that IB offers, which is minute or higher.
                1. IB does not offer historical data, yes, thats why I record them.
                2. Last data comes in correct, yes, but NT does not record it properly (see screen shots and yes tick data are not 100% but difference of 30 ticks?) see screen shot, there are absolut different to the Bid and Ask data
                3. I have only 1 issue and not 2. I think that (my) NT does not save or calculate the Last data correctly and for that reason the chart looks not alright, with Bid and Ask data the chart looks alright.
                4. I have upgraded NT to 7.0.1000.8 and it is the same. I have to say that I only upgraded it and that I had a lot of problem in other times, normaly I do install NT from 0.

                But you know what drives me crazy about everything, why the he!! I have only problem with AUSUSD and USDCHF and all other instruments are alright??????

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                  #23
                  michi,

                  1 second is the smallest resolution for all intervals, including time stamps in the historical data manager. NT does not have a clock, but uses frequently your computer date/time. Syncing your computer clock with the built in Windows utility is a good way to get it as accurate as possible and IB likely uses a heavier duty version of this. There's no way in NinjaTrader to poll IB's time. Best is to ask them if they have any approaches for this.

                  We are currently tracking a suggestion to offer millisecond resolution. This suggestion is assigned ID # 1126. Thank you for the feedback.

                  Please let us know if you require additional assistance.
                  Adam P.NinjaTrader Customer Service

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