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Live Chart not matching Replay Chart

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    Live Chart not matching Replay Chart

    I am having a problem with chart data not displaying correctly during live market hours, but the replay data is correct when replaying the chart.

    I am currently running NT on a demo account using the Zenfire datafeed as I am considering changing brokers/software.

    In the attached image, the four bars on the left were taken while connected to live Zenfire. This connection had been active since before 8:30am CST so all data should be displayed as it was received. The image was taken before disconnecting from Zenfire. The four bars on the right of the image were taken after connecting to "Market Replay" for the same time period. The open of the third bar of this image is off by 1.75 ES points. The horizontal scale lines in the image are 8 ES ticks.

    The Market Replay appears to be correct as it matches my current broker data (IB). I was trading my current broker at the time this happened with NT so I cannot give specifics regarding what was going on at the time.

    I can understand a tick here or there being different compared to IB (I know their data limitations), but 7 ticks off is a bit of a range.

    Also, after getting the screenshot of the replay I reconnected to Zenfire then used the "Reload Historical Data". It returned an exact match to the live collected data (still incorrect).

    The instance I have detailed above is not the only time this has happened. There were at least two instances of the same behavior yesterday as well.

    Any thoughts?
    Attached Files

    #2
    This is very possible as the data from IB is filtered and the Zen-Fire data is not.

    Also the replay is starting at a specific time (fresh bar starting at that time) where as the realtime may have already had half a bar built at that time. This would change the bars and the opens for each.
    JessicaNinjaTrader Customer Service

    Comment


      #3
      The images are both of Zenfire. This is not a comparison picture to IB. The Market Replay was started at a replay time of 8:30 am CST. As you can see on the time scale of the image, the bars in question are 8:55 9:00 am CST.

      How does the market replay record correct data, yet my live charts do not display this data?

      If Zenfire sent the data to my computer (as they must have if it is recorded for the replay), why can I not refresh historical data and get within at least 2 ES points?

      *edit*: Also, if Zenfire is unfiltered, does that mean the ES traded one tick at 1254.75 and the next tick at 1255.50 during a normal RTH session this morning? That is what the NT chart is saying.
      Last edited by Breakeven; 07-25-2008, 11:12 AM.

      Comment


        #4
        The Market replay just records your real-time data. So it can't be different then your real-time data.

        I did not mean the time stamps for the bars in your screen shot I meant the chart in total. Ticks chart build bars by number of ticks so your two charts can incompass different amounts of ticks in total which means the bars will not display the same.

        Example:

        Let's say you have a tick (tick "A") with a time stamp of 10:31:00 AM which gets packaged into the 10:32:00 AM bar and happens to be the high of that bar. On your replay, this tick gets put into an earlier bar (because the chart starts with a different number of ticks) the 10:32:00 AM bar now looks different since the high made by TICK "A" is now part of the prior bar, 10:31:00 AM.

        This is just a general example of how tick charts can be different. Your replay data is only captured real-time data so it isn't right/wrong it is the same.
        JessicaNinjaTrader Customer Service

        Comment


          #5
          Just to clarify, these bars are time based bars, 5Min each. The difference is not just a tick missing, it is 7 ticks.

          In your reference to tick based bars I could understand what you mean, if the chart were set to a certain number of ticks per bar.

          But, if a price comes in with a timestamp of 8:59:59 are you saying on a time based chart it might get charted in the 9:00:00 bar (where it should be due to your end of bar timing) or maybe in the 9:05:00 bar?

          I don't mean to seem like I am hounding you on this, but it seems we agree that the live and recorded data should match since they are the same data.

          It is my understanding that Ninja builds charts based on the timestamp of the data, is this correct?

          When a new 5Min bar begins, lets say the 09:05:00 bar (which should have data from 9:00-9:05), what timestamp triggers a new bar?

          Thanks very much for your help!

          Comment


            #6
            Originally posted by NinjaTrader_Jessica View Post

            Let's say you have a tick (tick "A") with a time stamp of 10:31:00 AM which gets packaged into the 10:32:00 AM bar and happens to be the high of that bar. On your replay, this tick gets put into an earlier bar (because the chart starts with a different number of ticks) the 10:32:00 AM bar now looks different since the high made by TICK "A" is now part of the prior bar, 10:31:00 AM.
            OK, was digging through the help file on how Ninja builds its charts and found this.

            Makes sense if the timestamp is coming from my computer, but isn't Zenfire data sent including the timestamp?

            Comment


              #7
              When the data was stored in real-time it received a time stamp from your PC and these are the time stamps in your market replay.

              Then the real-time chart had the historical data reloaded and now contains the time stamps from the historical data server.

              I hope that clears it up- Real-time/Replay= PC time stamp and Historical Reload= Server time stamp
              JessicaNinjaTrader Customer Service

              Comment


                #8
                Originally posted by NinjaTrader_Jessica View Post
                Then the real-time chart had the historical data reloaded and now contains the time stamps from the historical data server.

                I hope that clears it up- Real-time/Replay= PC time stamp and Historical Reload= Server time stamp
                The screenshot was taken of the live data before I disconnected from the live feed. At the time of the screenshot the data had not been reloaded.

                Is the Zenfire datafeed sent with a timestamp?

                It is my understanding that Ninja builds charts based on the timestamp of the data, is this correct?

                When a new 5Min bar begins, lets say the 09:05:00 bar (which should have data from 9:00-9:05), what timestamp triggers a new bar (hh:mm:ss)?

                Comment


                  #9
                  What type of chart was your screen shot taken on (tick, minute, etc)?
                  JessicaNinjaTrader Customer Service

                  Comment


                    #10
                    Minute. Set to 5 Minute display.

                    Comment


                      #11
                      Then I am not sure, but you can send a full screen shot of each chart to support AT ninjatrader DOT com for further review.
                      JessicaNinjaTrader Customer Service

                      Comment


                        #12
                        Zen-Fire sends time stamps so both real-time and historical data will show the same thing. Market Replay takes incoming ticks and time stamps them with local time. This can account for subtle differences.
                        RayNinjaTrader Customer Service

                        Comment


                          #13
                          Originally posted by NinjaTrader_Ray View Post
                          Market Replay takes incoming ticks and time stamps them with local time.
                          Ahh! That explains the difference. I will experiment with this the next time the markets are open.

                          Thank you very much for the help Jessica and Ray!

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