Don't understand Market Replay

[iq200]

Hi,
My primary timeframe is 1min. My secondary timeframe is 1s. Tick Replay for the data is OFF. My indicator is set to calculate on each tick.
I'm playing back data using Market Replay and looking at the volume each time there is call into OnUpdate and I don't understand the output for BarsInProgress=1.

So say the volume for the trade is 100 (verfied using firstly secondary tick data), I get output for every single (I assume) individual volume going from 1 to 100. i.e. there are 100 calls to OnUpdate.
Is this the expected behaviour and why?
Thank-you,
iq

[NinjaTrader_ChrisL]

Hi, thanks for posting. Can you provide a test script that demonstrates your question? Are you asking why you are getting 100 calls to OnBarUpdate when BarsOnProgress == 1 when you are expecting 60 calls to OnBarUpdate?

Kind regards,
-ChrisL

[iq200]

Hi Chris,
I am including some relevant code for the issue I described.

I was using NQ 03-18 but you should be able to replicate the output for any instrument and adjusting the time interval in the code.

So as I mentioned, my primary data stream is 1min. My secondary data stream is 1sec. I am updating the chart every tick.
In the code, I am recording the volume during realtime tick replay for a couple of minutes which is why I have the coe between two time intervals.

Now my question is when I run this during tick replay, I am getting output as per output.txt.

I was expecting that even though the chart update is per tick, i would get a burst of volume for that second where the volume has ocurred and 0 other times when there are no trades but instead, Ninjatrader 8 seems to be splitting the trade volume per second.

I am using Ninjatrader 8.0.25.0

Regards,
iq

[NinjaTrader_ChrisL]

Hi, thanks for your reply.

If you want the volume at each second you would run the script OnBarClose and read the Volume value every time BarsInProgress ==1. If you run the script
OnEachTick you are getting an update on every incoming tick and the volume value will vary between each OnBarUpdate call. Please reference either the BuySellVolume1Tick sample (attached) or the BuySellVolume indicator that comes with the platform that shows how to accumulate buy/sell volume in OnMarketData using Tick replay.

Kind regards,
-ChrisL

[iq200]

Hi, thanks for your reply.

If you want the volume at each second you would run the script OnBarClose and read the Volume value every time BarsInProgress ==1. If you run the script
OnEachTick you are getting an update on every incoming tick and the volume value will vary between each OnBarUpdate call. Please reference either the BuySellVolume1Tick sample (attached) or the BuySellVolume indicator that comes with the platform that shows how to accumulate buy/sell volume in OnMarketData using Tick replay.

Kind regards,
-ChrisL

Hi Chris,
I can't use tick replay as Ninjatrader 8 grinds to a halt if i am running 20-30 charts all with tick replay. I've seen other people on this forum and other forums having this problem.

When you say "you are getting an update on every incoming tick" what kind of tick do you mean? volume price or time?

In the output file I sent, what does it mean for the volume count to increment by 1 each time? For example at 08:59:02, the volume count increases by one to 11. I don't understand why the volume is increasing by one each time. Does this mean the total volume at 08:59:02 is 11? If so, why does it not just print a single line with 11?
Thanks,
iq

[NinjaTrader_ChrisL]

Hi, thanks for your reply.

Here is the definition of a Tick from the publicly available Investopedia:
https://www.investopedia.com/terms/t...s%20one%20cent.

The time frame you have set up, in 2017 is impossible for me to test because I only have historical tick data for 180 days prior to today. When I print out the time and volume in BIP=1, I get a timestamp and a volume value for that second. When there are multiple ticks on the same second the volume is accumulated, then reset on the next second bar.

Please let me know if I can answer any other questions.
-ChrisL

[iq200]

Chris, I'm confused. I tried on the current NQ contract (03-22) and I get similar results as before.
What data are you using? Can I please see the exact code you used? May I also see the results you are getting?
Thanks,
iq

[NinjaTrader_ChrisL]

Hi, thanks for your reply.

My script is running a 1 minute primary series and a 1 second added series. The code is:

if (BarsInProgress == 1)
{
Print(Times[1][0] + " " + Volumes[1][0]);
}

And the output is :
1/25/2022 3:53:54 PM 86
1/25/2022 3:53:55 PM 84
1/25/2022 3:53:55 PM 84
1/25/2022 3:53:55 PM 111
1/25/2022 3:53:55 PM 111
1/25/2022 3:53:56 PM 80

Kind regards,
-ChrisL

[iq200]

Hi Chris,
Thanks for your reply with the info.
I noticed you mentioned in an earlier message you're running your test with historical tick data. Are you using playback market replay tho? The output I'm getting is not with the historical data but from market replay in realtime mode.
Regards,
iq

[NinjaTrader_ChrisL]

Hi, thanks for your reply.

I am running this on real time data, I get the same results in replay data. The method in your code is manipulating the data and summing up the volume value, if you just put what I have you should get similar results.

Please let me know if I can assist any further
-ChrisL