BUG found in minute data loaded for different time period!

[ivan_skr]

Hi,

I have found that different data loaded for SDS stock if I change date periods for loading data. It seems like an issue of NT or Kinetick data feed.
Configuration: NT 7 64 bit + Kinetick realtime subscription
Equity symbol: SDS

-----------
Go to: Historical data manager-> Download
Choose SDS,
Start date: 01.04.2013
End date: 10.04.2013
Minute and Last checked
Push download.

Go to: Edit tab, find SDS->Last->Minute->April 10.04.2013
Save whole day to xls or make screenshot for 9:36 and 9:46 data
You will see
9:36 Low: 43.44
9:46 Low: 43.48
(you can see in attached files marked red)

Now return to Download tab and change
Start Date to: 01.03.2013
Click download
Return to edit TAB, save the same SDS minute data for 10.04.2013,
you will see:
9:36 Low: 43.43
9:46 Low: 43.47
So we have lost 1 cent....

That strange behavior affects some of my strategies and automated trading!
I found only 1 example, but data changes randomly by choosing different periods for download, I don't even say about realtime trading, where I can have some signals that will disappear later or next day! And that not even for SDS, that was just example.
See my screenshot and exported xls files for details and configuration.
(updated - can't load xls files, but it is just export from data manager)




Please explain...
Totaly confused,
Ivan.

[ivan_skr]

All necessary data archieved in zip file

All necessary data archieved in zip file.

Thanks,
Ivan.

[NinjaTrader_PatrickH]

Hello ivan_skr,

Thank you for this information.

I will test this on my end and follow up with you here on my findings.

[NinjaTrader_PatrickH]

Hello ivan_str,

Thank you for your response.

What Time Zone is your PC set to? I will need this information to properly compare the information you are providing to mine.

Currently when I download the data I do not see the difference following your instructions, however I want to compare the exact times here.

I look forward to your response.

[ivan_skr]

Windows 7 is always set to Eastern Time (America and Canada)
UTC-05:00

But real time zone here is: UTC+4 (Moscow)

bug is repeatable constantly from my side and 2 different PCs...

[ivan_skr]

I have changed time zone to UTC+4 (Moscow), run NT 32bit and repeat all steps.
You're right - there is no changes in corresponding bars at 9:36 not even 17:36 (+8 hours), but now data has changed in other places!...
So, to make it clear, I made simple compare XLS file, put all downloaded columns in one place, now we can see all the differences marked in the column CHANGE. Many changes for one day - 2 LOWS, 2 HIGHS, 4 OPENS... only CLOSES and VOLUME are the same... You can use my file to insert your data to compare. If data changed, CHANGE column has red "1".

[NinjaTrader_Cameron]

Hello,

Thank you for the detailed information.

NinjaTrader has a limitation of rounding the decimals to the Tick Size configured in the Instrument Editor. For this instrument it appears to be set to 0.01, or two decimal places.

If the value extends beyond 2 decimal points it will round up or down in what is a random manner. Such as you have reported.

This is a limitation that our Development Team is aware of and looking to improve.

Please see the screenshot from IQFeed time and sales to show the extended decimal place for 9:46 and 9:36.


What you can do is to either change the Tick size of the instrument, SDS in this case to match the IQFeed printout and display the full underlying values, or manually edit the data.