would you be surprised to see ticks for a 1-minute bar coming in over a real-time period of 80 seconds or more? I certainly was and now I try to find out what might be the cause.
If I assume that the ticks are sent and time stamped correctly by Kinetick/DTN IQFeed then there is either a delay in my internet connection (I have a fast provider) or a delay/error in the way NT processes the data.
In order to rule out the internet lag I am looking for fellow traders who will test if they experience the same issue as I do.
Attached there is my small testing strategy that runs on every tick (COBC = false). Whenever FirstTickInBar is true it stores the current time from your PC clock, adds 60 seconds plus a buffer that you can set (default is 5 seconds). Any ticks that arrive later than that time and are still sorted into the same bar will cause a message to appear in the output window (and in a log if you choose to save on disk). I call those ticks "follow-up" ticks.
I tried it on the following symbols: SPY, VXX, XIV and had "follow-up" ticks on each within half an hour (using Kinetick as the data provider).
To give you an idea how the output (I added a few comments & color) would look like (my PC is 6 hours ahead of the NYSE):
#FFF# First tick in bar for symbol: XIV; BarEndTime: 09.08.2013 [B][COLOR=Blue]15:51[/COLOR][/B]:00; PC-Time: 09.08.2013 [B][COLOR=SeaGreen]15:50:00.337[/COLOR][/B]; price: 28,37$; Volume: 100 // now all ticks go into bar ending at [B][COLOR=Blue]15:51[/COLOR][/B] #???# Follow-up tick after time for bar expired for symbol: XIV; BarEndTime: 09.08.2013 [COLOR=Blue][B]15:51[/B][/COLOR]:00; PC-Time: 09.08.2013 15:51:16.336; tick came in 76 seconds after first tick (recorded at: 09.08.2013 15:50:00.337)!; price: 28,35$; Volume: 164 #???# Follow-up tick after time for bar expired for symbol: XIV; BarEndTime: 09.08.2013 [B][COLOR=Blue]15:51[/COLOR][/B]:00; PC-Time: 09.08.2013 15:51:16.339; tick came in 76 seconds after first tick (recorded at: 09.08.2013 15:50:00.337)!; price: 28,35$; Volume: 100 #???# Follow-up tick after time for bar expired for symbol: XIV; BarEndTime: 09.08.2013 [B][COLOR=Blue]15:51[/COLOR][/B]:00; PC-Time: 09.08.2013 [B][COLOR=Red]15:51:16.342[/COLOR][/B]; tick came in [B][COLOR=Red]76 seconds[/COLOR][/B] after first tick (recorded at: 09.08.2013 [B][COLOR=SeaGreen]15:50:00.337[/COLOR][/B])!; price: 28,35$; Volume: 100 #FFF# First tick in bar for symbol: XIV; BarEndTime: 09.08.2013 [COLOR=Blue][B]15:52[/B][/COLOR]:00; PC-Time: 09.08.2013 15:51:16.344; price: 28,35$; Volume: 500 // now all ticks go into bar ending at [B][COLOR=Blue]15:52[/COLOR][/B]
If you choose to leave feedback on your test results, please include:
- symbol
- bar interval (1 or more minutes are possible)
- data provider
- how much was the bar time span exceeded
- date, time and price of those ticks (please use either the time at the exchange or state the time zone difference to your PC time)
Thanks for your feedback,
NutFlush
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