NT8 incorrectly reflecting highs lows in fast markets

[dontas]

Hi NT Support Team,

I connect NT8 (version 0.0.11) with Interactive Brokers and use charts with instrument FDAX (realtime data = Eurex futures).

Quite disappointing, in hectic market moves, NT8 is unable to show new highs/lows. The chart from Interactive Brokers shows the correct price. Is this known? Any reason for this?

Regards
Donatas


EDIT: I attached a screenshot of both charts: interactive brokers and NT8. It's clear that NT8 doesn't reflect the right high of the candles, also despite the doubletop NT8 shows two different highs of the candles. After pressing reload historical data the chart is correct.

[NinjaTrader_EricB]

Hello dontas,

Thank you for you post,

First please update to the current version, 8.0.0.13 Release Candidate and let me know if you see the same there. There was an item addressed in 8.0.0.12 regarding MarketDataType.DailyHigh/Low was not coming in from TWS which could be related and resolve what you're seeing.

http://ninjatrader.com/support/helpG...n-us/?beta.htm

[dontas]

Ok thanks, I'll try andlet you know about the result.

In the meantime, can you please explain why the high/low comes from the high/low tag and not from the time & sales?

[dontas]

Hello,
I updated NT8 to the latest version. The daily high/low is still incorrect. Screenshot is attached. For trading, this is unacceptable. Can you please investigate?

EDIT: the same happens in the 5 sec chart, where trades get choked. It looks like something is wrong with the data handling from NT8, TWS sends trade data correctly.

[NinjaTrader_EricB]

Hello dontas,

Thank you for your reply and follow up, we will certainly be looking into this and will follow up here with our findings.

Thank you for testing!

[NinjaTrader_EricB]

Hello dontas,

Thank you for your patience while I looked into this item,

Can you please write in to PlatformSupport[AT]NinjaTrader[DOT]Com along with your log and trace files and a link to this forum post.

Documents--> NinjaTrader 8--> Log--> log.20160922.xxxxx for today. (log.yyyymmdd for any other date)
Documents--> NinjaTrader 8--> Trace--> trace.20160922.xxxxx for today. (trace.yyyymmdd for any other date).

[dontas]

Thanks Eric for clarifying. Sounds like I have to subscribe Kinetick data on top of IB TWS data subscription.

Answer from NT8:
IB's real-time data is filtered and the historical is not. Because of this, when the chart data is refreshed by the reload, you're seeing unfiltered historical data. Kinetick's historical and real-time data are both unfiltered, so there should be no change upon reloading historical data.

Answer from Interactive Brokers:
That's correct there's a different filter applied to real time and historical data IB feeds.
Note that the IB real time data consists of statistical snapshots which are sample periodically and do not capture every trade.