Price Discrepancy Historical/Realtime

[pmn100]

Below I have screenshot the same chart of @GER30 cfd from FXCM, one is a live chart that has been running since Monday morning, the second is a chart loaded just a few moments ago. You can see that the price level of the daily high (12:59 M1 candle London time) for both charts is different.





What you can notice from the charts is that FXCM has gaps from day to day with a realtime chart, but closes these gaps when loading historical data. But this shouldn't really make a difference to the price at which candles are printed at. If I do a 'reload historical data' on my live trading chart (which I'm not going to do because there're orders pending), it WILL match the second chart price levels.

I need the price levels of a historical chart load on my realtime charts because that is obviously what my backtesting is based upon. This is the reason I have stated on other threads that I need to reload historical data on market open because for some reason candles are being printed at wrong price levels if I leave a realtime chart open.

I don't know if this has something to do with settlement price not being included until a chart refresh, as stated in these threads:

https://ninjatrader.com/support/forum/showthread.php?p=494301

https://ninjatrader.com/support/forum/showthread.php?t=92794

But whatever the reason, historical price loads are not matching realtime price loads. What is the reason for the discrepancy in price between the two charts?

[NinjaTrader_ChrisSch]

Hello pmn100,

Thank you for your note.

FXCM does not provide a single centralized feed. Because of this, you may find a discrepancy between the bars that load in real time and the bars that load upon reloading historical data. The FXCM API is poll based which means, even if two traders have the same feed, they may still show slight discrepancies between their connections.

Another factor can be the historical server you are connecting to with your FXCM account connection.

Your FXCM account connection can either utilize FXCM or NinjaTrader servers. If you navigate to Connections > Configure > Your FXCM connection, you will find the option to check NinjaTrader historical servers.

Our FXCM historical data servers are not expected to match FXCM's own historical data servers, for the best accuracy to your real time price loads I would suggest unchecking the NinjaTrader historical server option and testing the difference. The FXCM historical servers are typically slower than the NinjaTrader historical servers.

Please see the How Bars Are Built page on our Help Guide for more information: https://ninjatrader.com/support/help..._are_built.htm

Please let us know if we may provide further assistance.

[pmn100]

Thanks for the reply Chris. I guess this is one of the issues of cfd over futures. So the price discrepancies should always be minimal as in this case? If price differences can be far different it would make backtesting fairly useless, at least on lower TFs. I will have to keep an eye on this going forward.

Also to add I already have the option unchecked to use NT historicals servers on both my clients in the effort to get most accuarte backtesting data.

[NinjaTrader_ChrisSch]

Hello pmn100,

Thank you for the reply.

Yes, by using FXCM servers then the discrepancies should be more minimal between your live charts and your reloaded charts.

Please let us know if any further questions come up.