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Ask/Bid/Last lag

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    Ask/Bid/Last lag

    Here is a screenshot of 3 series on a 2 second chart. Last is in black, Ask is in blue, Bid is in red. Note the lag between the Ask/Bid and the Last. The Last then appears to jump at around 13:38 to catch up and then perfectly follows the Bid. I'm no expert on the markets, but this seems very wrong.

    The jump in the Last is at around the time when the chart was created/opened.

    Data provider: MB Trading
    Attached Files
    Last edited by skeksis; 03-21-2012, 08:13 AM.

    #2
    Can you please clarify who you connect to for data? This is displayed in the bottom left hand corner of the NinjaTrader Control Center.

    Was this chart built in real-time, or are these historical prices?
    MatthewNinjaTrader Product Management

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      #3
      My data provider is MB Trading. Real-time.

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        #4
        Hello,

        Thank you - I am seeing the same behavior on historical prices, however at the point the chart is started and all data series are loaded the last and bid match in real-time as we would expected and as you have demonstrated.

        You're likley seeing a discrepancy in historical values up until the point the chart was loaded in real-time. MBT does not offer historical bid/ask data so anything displayed in a chart up until the point it was working real-time cannot be guaranteed.

        Using a provider who offers historical bid/ask tick data such as Kinetick, I do not observe the same behavior.
        MatthewNinjaTrader Product Management

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          #5
          Thanks, i see no problem when I use the Kinetic data.

          However, I don't fully understand why the Last would be equal to the Bid? Surely that would mean that every trade is happening at the current Bid, and never at the Ask? Or am I misunderstanding the subject?

          "The last price will move back and forth between the bid and ask prices as selling and buying orders are filled." Investopedia

          Comment


            #6
            Hello,

            As there is no central exchange in which Forex is reported, there is technically no last price reported. As a result, the Bid price will be used as the Last price when building your charts.
            MatthewNinjaTrader Product Management

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