Need to understand BarsInProgress. Potential Bug?

[MyFirstMillion]

Hi,

My strategy involves multiple TFs. I am using Range 1 and 1 Tick timeframes.
I have added 1 Tick as the secondary Timeframe and 1 Range is my primary where I have added my strategy.
It seems like the order in which BarsInProgress is being called is incorrect. In my mind, the 1 Tick should be called first and then the 1 Range.

Just to test things, I added the following code so see how things are,

switch(BarsInProgress)
{

case 0: // 1 Range TF
Print("Range1: Highs="+ Highs[0][0]+"Lows=" +Lows[0][0]);
break;

case 1: // 1 Tick TF
Print("Tick1: Highs="+ Highs[1][0]+"Lows=" +Lows[1][0]);

break;


}


and here is the output I am getting

Tick1: Highs=3828.25Lows=3828.25 <---Correct
Range1: Highs=3828.25Lows=3828 <----Called before 3828 tick is posted
Tick1: Highs=3828Lows=3828 <-----Called after 1 Range has been posted
Range1: Highs=3827.75Lows=3827.5
Tick1: Highs=3828Lows=3828
Tick1: Highs=3828Lows=3828
Tick1: Highs=3827.5Lows=3827.5
Tick1: Highs=3827.5Lows=3827.5
Tick1: Highs=3827.25Lows=3827.25
Tick1: Highs=3827.25Lows=3827.25
Tick1: Highs=3827.25Lows=3827.25
Tick1: Highs=3827.5Lows=3827.5
Tick1: Highs=3827.25Lows=3827.25
Range1: Highs=3827.5Lows=3827.25
Tick1: Highs=3827.5Lows=3827.5
Range1: Highs=3828Lows=3827.75
Tick1: Highs=3828.25Lows=3828.25
Range1: Highs=3828.25Lows=3828
Tick1: Highs=3827.5Lows=3827.5
Range1: Highs=3827.75Lows=3827.5
Tick1: Highs=3827.25Lows=3827.25
Tick1: Highs=3827Lows=3827
Range1: Highs=3827.25Lows=3827


Now, if you look at the pictures attached, you can see the issue, if I am using Tick TF to drive calculations and paint results on 1 range TF then it throws things off.
Because, if you look at the 2nd and 3rd line of the output, Range 1 is called before Tick 1 TF. Shouldn't it be the other way around?

[bltdavid]

I believe what you have found is expected behavior.

Study "Working With Multi-Time Frame Objects" here.

[NinjaTrader_ChrisL]

Hi MyFirstMillion, thanks for posting. This is expected, see this note from the multi time frame page:
Note: Historical bars are processed according to their timestamps with the primary bars first, followed by the secondary, which is NOT guaranteed to be the same sequence that these events occurred in real-time. If your development requires ticks to process in the same sequence historically as well as in real-time, you will need to enable Tick Replay (utilizes more PC resources).

[MyFirstMillion]

Thank you for the reply. I have enabled Tick Replay and I am still seeing the same problem. Just to test it further, I added two data series as secondary -1 Tick and 1Range

AddDataSeries(Data.BarsPeriodType.Tick, 1);
AddDataSeries(Data.BarsPeriodType.Range, 1);

switch(BarsInProgress)
{

case 1:
Print("Tick1: Highs="+ Highs[1][0]+"Lows=" +Lows[1][0]);
break;

case 2:
Print("Range1: Highs="+ Highs[2][0]+"Lows=" +Lows[2][0]);

break;


}


With the tick replay enabled, here is the output

Range1: Highs=3828.25Lows=3828 <---Range TF is getting called before the Tick TF.
Range1: Highs=3827.75Lows=3827.5
Tick1: Highs=3828.25Lows=3828.25
Tick1: Highs=3828Lows=3828
Tick1: Highs=3828Lows=3828
Tick1: Highs=3828Lows=3828
Tick1: Highs=3827.5Lows=3827.5
Tick1: Highs=3827.5Lows=3827.5
Tick1: Highs=3827.25Lows=3827.25
Tick1: Highs=3827.25Lows=3827.25
Tick1: Highs=3827.25Lows=3827.25
Tick1: Highs=3827.5Lows=3827.5
Range1: Highs=3827.5Lows=3827.25
Range1: Highs=3828Lows=3827.75


What am i doing wrong?

Thanks

[bltdavid]

Nothing.

Tick Replay does not alter the order in which
the Bars data is processed -- that is, primary
bars first, followed by the secondary -- Tick
Replay does not change that.

For Support to imply that Tick Replay could
affect your complaint/inquiry was misleading
and incorrect, IMHO, of course.

What to do?

Study the entire page of that link I sent you.

Seriously, you need become expert with what
that page reveals -- it is critical education and
absolutely explains what really happens -- and
why your expectations were flat wrong.

[NinjaTrader_ChrisL]

Hi MyFirstMillion, The tick replay will sequence each series properly, not send the ticks in sequence relative to each added series. The primary series updates will still come first even if the timestamps of the secondary series are sooner relative to the primary time stamps. Tick Replay will sequence the 1 tick series and primary series individually.

[MyFirstMillion]

Hi All,

Thanks again for your responses. I went back and re-read the notes using the links you provided. I understand that Primary Bars are processed first regardless of whether or not TickReplay is enabled.

So, since my goal is to be able to view candles form synced to 1 Tick, is there anyway I can create custom candles driven by Tick chart? I have already tried adding drawing objects but it slows down the system and my PC hangs.