Exceeds Time Gap Maximum Import Error

[pmcgoohan]

Hello,

I am importing a large batch of ES tick data supplied by your data partner CQG.

I am getting some 'exceeds time gap maximum' import errors.

I notice that these are on ticks for contracts which are far in the future but which can still be traded, and therefore for which the number of ticks is very sparse.

eg: For ES 09-08 I am getting these errors for ticks at 12/03/2008 13:19 and 11/03/2008 18:50.

I expect you included this error to prevent the import of bad data, but ticks with very large gaps between them are legitimate and should not be ignored.

Are my assumptions correct, and do 'exceeds time gap maximum' errors mean that the data is being ignored on import?
If so, is there some way to switch it off?

Thanks

[NinjaTrader_Matthew]

pmcgoohan

Can you please email us one of the txt files you're importing which produces this error?

Please send your email to support[at]ninjatrader[dot]com with attn: matthew in the subject line and a reference to this thread.

[pmcgoohan]

Thanks for the response. I've sent the file.

[NinjaTrader_Matthew]

Thanks for sending this in. I will let you know once I have more information on this subject.

[NinjaTrader_Matthew]

Unfortunately this is a limitation of the compression algorithm used in NT7. These entries which exceed the gap maximum will not be included. We are looking at improving this in the next major release of NT however I do not have an ETA on when we can expect support for this.

[pmcgoohan]

Ok- but I need a workaround for this.

What is the maximum time I can have between any two ticks in a data file?

Is the solution to combine all the individual contract files into one massive file and import it?

[NinjaTrader_Brandon]

Hello pmcgoohan,

Thanks for your reply.

I've checked with my tech lead and he believes the compression logic can't have it longer than a day between ticks. The gap before/after the ticks mentioned may be to great.

Unfortunately merging the files together would not properly function as times and ticks would overlap one another from separate expiries.

There is nothing that can be done to change this unfortunately however once again development is taking this into consideration with the next major release of NinjaTrader.

If there is anything further I may assist you with don't hesitate to ask.

[pmcgoohan]

When it gets this error, does it only skip the tick which is >1day away from the previous ticks, or does it skip larger chunks of data?

The occasional isolated tick might be ok to miss, but if it gets in the way of the import generally that would be more of a problem.

[NinjaTrader_Brandon]

Hello pmcgoohan,

Thanks for your reply.

It should only skip the tick that is >1day away from the previous ticks and show the error as you previously posted on these ticks.

If there is anything further I may assist you with don't hesitate to ask.