NT7 erroneous ticks

[habibalex]

I've been getting erroneous ticks on my ES charts. If i refresh the chart it takes off those erroneous ticks. It seems particularly bad on the 5 minute chart. Is there a way to fix this? I'm on CQG.

[NinjaTrader_ChelseaB]

Hello habibalex,

NinjaTrader is able to filter out ticks if they are further than a certain percent from the market price.

To set this, click Tools -> Options... -> select the Data tab -> check the box labelled 'Filter bad ticks'.

http://ninjatrader.com/support/helpGuides/nt7/data_tab.htm

Other than this, NinjaTrader would not be able to recognize which ticks are erroneous ticks.


Just to double check, how are determining these are erroneous?

Is your PC clock in sync with http://www.time.gov/ within 1 second?

[habibalex]

These are not very far from the correct price, maybe 2 pts. Also, why would these erroneous ticks disappear once i refresh the chart? It just looks like a big wick at a certain price. I know because im watching it real time and the price never traded there. I'll take a screenshot when it happens again.

My time is within 1 second of time.gov

[NinjaTrader_ChelseaB]

Hello habibalex,

The tick would not be there when reloading the chart because this will replace all of the data shown on the chart that was received in real-time with historical data recorded on NinjaTrader's historical data server.

Does enabling the filter not correct the behavior?

[habibalex]

If it is set at .1% that's 2.2pts in the ES right now so no, that will not work. Usually erroneous ticks are like > .5% market price so they're easy to identify. This looks like it's a new issue. I only noticed it in the last week or so.

When I refresh my chart, I don't see the label on the control screen of NT7 showing it's downloading new data. It also doesn't show up on every chart, My 5 minute candle stick chart shows more bad ticks than my 512 tick candlestick chart

[NinjaTrader_ChelseaB]

Hello habibalex,

I'm not quite sure that I understand.

If the tick filter is catching any ticks .1% from the market price or greater, would not also catch ticks at .5% or larger? (Were you meaning .05%?)

If this is not a solution, I am not aware of any way of correcting real-time data as it is received on a chart from a connected data provider.

A 5 minute chart and 512 tick chart, once both are receiving real-time data, would be getting the data from the same instrument data stream.
Are you saying that if you open a 512 tick chart, and a 5 minute chart, after these have loaded historical data and then start receiving real-time data, that the high and lows of the bars built with real-time data are different?

From my understanding, NinjaTrader records the historical data for CQG from a real-time Continuum (CQG) connection. The real-time data being received by the historical data servers that is turned into historical data, is the same data that you are receiving on your end.

[habibalex]

I meant that usually bad ticks are far away from the market price ie: .5%. .1% is only 2 points away from the market price, and that seems very close to start filtering bad ticks w/o knowing how the underlying algorithm is working. Can you explain or point me to how the filtering works?

My 512t chart and my 5 min chart do not show the same 'bad tick'. At 9:40 PST i get a bad tick in my 5 min chart. See the attachments.

[NinjaTrader_ChelseaB]

Hello habibalex,

I am not able to see when these charts were open and when / if the data was reloaded. So with the screenshots I am not able to verify this.

What it looks like, is that the 5 minute has been building in real-time based on the gap (probably building from where the gap is and forward) and the tick chart was newly opened based on there not being a gap. So based on the screenshots, I'd say you are comparing data received in real-time on the 5 minute chart with historical data loaded on the 512 tick chart.

Is the behavior easy to reproduce?
If so, I would like you to demonstrate this for me with two charts that have entered real-time. Please send an email to platformsupport [at] ninjatrader [dot] com. In the email please include a link to this forum thread.

Regarding the filter, I am not aware of documentation that describes the logic behind the tick filter. If the tick is more than the set percentage from the current market price the tick is filter. If there are several at that price, then that just becomes the new market price.

Using this filter is up to you of course, however, I am asking if you enable this, are you still able to experience the behavior? If not, then this may be a solution to prevent the errant ticks. However, it is still your choice to use this solution if this does prevent the behavior.

[habibalex]

I haven't refreshed the tick chart, I can assure you they were both real-time. What gap are you referring to?

I haven't gotten any more erroneous ticks on the 5min chart today, that was the only one. They tend to occur when there is more volatility. I will email you the next time it happens.

[NinjaTrader_ChelseaB]

Hello habibalex,

I understand you have not reloaded the chart. However, I am not clear if the chart was initially opened after the errant tick appears on the 5 minute chart.

All charts that are building with real-time data will be building with the instrument stream.

From my understanding, it is not possible for two charts that are building in real time to show different prices / different highs and lows for any bars built in real-time after the chart has been opened. This would mean that one chart is receiving a different data stream than the other chart when using the same instrument and symbol mapping.

Since this is impossible and you are able to reproduce this behavior, I need to see this occur in real-time.

If you can create a video demonstrating the behavior, this would be very helpful, however, as the behavior is difficult to reproduce, this may be difficult to capture unless you are recording the entire day's progression.

Do you feel that you can capture this behavior as it happens?

If not, we can schedule a call for a morning where I can connect before the regular session starts, and then stay connected for a some time waiting for the behavior to occur.

[habibalex]

I sent you an email showing a picture of both

I might be able to capture it as it occurs by recording the whole session. But I don't have the 5min chart up as it is not my main worksapce.

Here is another example, this time on 5min vs 30min chart. Neither have been refreshed and are on the same workspace.

[NinjaTrader_ChelseaB]

Hello habibalex,

Thank you for letting me know you have sent an email to platform support.

Moving forward I will communicate with you through email.