Price Data in Ninja Trader does not match Esignal

[GaryWernick]

Hi

Can somebody help me, I am fairly new to Ninja Trader but have managed to connect it to my Esignal on Demand - so that I can backtest some new strategies. I am getting data in my NT charts - but they are different to that displayed on my Esignal charts, and 15 mins earlier on my live trading platform.

I have been looking at CL (WTI on NYMEX), DAX and BRN (Brent on ICE). The NT chart data does not seem to match anything in the market, ie it does not appear to be a different expiry month (I have been exporting it to Excel as well as looking at the charts). The Instrument Manager codes are I believe correct (after all I am getting data). This discrepancy is there on 1 min, 15 mn, 30 min and hourly data. The shape of the charts is approximately correct, just about 10 or so ticks out. The discrepancies are consistently there for the past 200 bars or so. These discrepancies are too large and consistent to be expalined merely a problem with a few seconds / minutes of timing.

Any ideas?

Yours - well and truly baffled



Gary

[NinjaTrader_Matthew]

Hello Gary,

Thank you or your post and welcome to our forums.

Please go to File--> New--> Time and Sales--> right click on this window and select an instrument.

What are the time stamps you are receiving in the Time and Sales window? Are they delayed from your other platform?

Please also tell me exactly what symbol map value you used for any of these products. You can check this from the Instrument Editor under the "misc" tab.

[GaryWernick]

Hi Matthew

Thanks very much for the prompt reply.

The eSignal on demand data source is delayed by 15 mins. (My live trading platform is obviously not delayed, but it agrees with the values that I obtain directly from within the eSignal package. ).

The symbol map value for CL used was "CL"

It is clear that Ninja Trader will only take data in at a maximum frequency of 5 to 6 minutes from the eSignal on demand feed and then only a single value which it uses for all of open, close, high, and low.

I have matched up in the attached spreadsheet the data prices inputted within NT against the values exported directly from within the eSignal package. As you can see they only occasionally match. There is no obvious logic that I can see (such as using the close, or the average of the previous minute, etc) although they are only a few ticks out.

I am also attaching screen shots from the CL chart and the Time and Sales. These demonstrate that the NT data that I have exported (which I adapted from a little routine that I found on the internet) is that which is being used throughout the NT package. (I did disable the Level 2 settings in the connection manager to get the eSignal on Demand to work)

Kind regards

Gary

[NinjaTrader_Brett]

eSignal on Demand is something that we previously were not able to connect to as eSignal did not allow third parties to access this feed. It was only recently allowed however we still have it listed as unsupported internally simply because it is not tested.

I do not know exactly at this point how eSignal sends it snapshot or delayed data.

Can you compare live data to what eSignal platform will display compared to what the NinjaTrader charts display. This would be what would need to compare to each other and what we would do if you were on a full eSignal subscription.

Also can you please enquire exactly how eSignal sends its delayed data? I suspect it is not the full data stream and a filtered or incremental update feed?

It may be this is a limitation of the on Demands accounts with third party software as again it is untested and officially unsupported at this time however I am willing to work with you to get you going as far as we can.

Lastly if you right click reload historical data on the NinjaTrader chart does the chart full back fill?

-Brett

[GaryWernick]

Hi Brett

The "reload historical data" has done the trick and it appears that it loads up graphs with the correct data now. Maybe it was just an issue with the eSignal data feed (the problem had been there for a few days).

Thank you very much indeed for your quick and professional service

Gary