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problem with multiple data series

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    problem with multiple data series

    Hello,

    I have some low value tick charts. for example, 20 tick nq. For performance reasons, I want to keep only 10000 bars or so on the screen. A full session worth in current type volatility is too much for NT8 to efficiently handle, once you have a few indicator plots also. The issue is, for volume profile, day range, etc. I need a full days tick data.

    Solution - Set the tick series to bars 10,000 - add a new 1 minute data series (hidden) and set the volume profile which requires the full days tick data to use the minute series. The couple other indicators just plot on the limited number of bars for the tick chart and everything seems somewhat snappier (Please do correct me if my logic here is flawed - You get what I am trying to achieve, I hope).

    There is a problem however. Some indicators are not plotting from the start of the tick series. In fact, if I load 10,000 bars from Fridays session, plotting of some, such as the included order flows vwap (ninjatrader coded indicator) only starts at 9pm. This is mirrored by one of my own indicators. Its not a session start thing as far as I can see.

    screen shot attached. You can see where order flows vwap and my own indicator start plotting. Both are set to plot on the tick bars (displayed) and there are 9000 or so bars before that point. So why do the indicators seem to have no data prior? What am I missing?

    fwiw - I believe both indicators make use of AddDataSeries( Data.BarsPeriodType.Tick, 1); (mine does). it does seem from what I can see, that the tick data is not being processed until the indicator starts plotting, whereas, i would expect the tick data to be there from the start of the 20 tick data (primary) series, no?

    Also, on a performance note (suggested feature). If I set data series to have 10,000 bars, that's all I need. 10,000 bars. Running for a full session, or longer, this obviously gets out of hand. A much better solution (IMO), would be FIFO, where >10,000 bars are just dropped off the end. That way, the platform could run constantly and not get to the stage where it clogs itself up.

    [EDIT] OK, in an effort to try and simplify this issue for reproduction your side, I find it is nothing to do with multiple data series at all, but I'm leaving the text above for reference. Simply add a tick data series, say NQ, 20 tick, 20,000 bars, and add the order flow vwap indicator. It only starts plotting at 20:55 my time (5 minutes before the close). Why so? It should start from the start of the data series, no? It gets weirder, because if I increase that 20,000 bars to 50,000 bars, my first bar is now around 4am my time, and order flows vwap (and my indicator) start plotting a little earlier, at 20:37 (my local time). So, increasing the bar count makes both indicators start plotting slightly earlier, but still 40,000 bars too late!

    Thanks!
    Last edited by pjsmith; 08-03-2019, 03:15 AM.

    #2
    Hello pjsmith,

    Thank you for your note.

    I would like to analyze your diagnostics files to gather a bit more information on what is occurring in the platform.

    Please follow the steps below to manually attach your log and trace files to an email to platformsupport[AT]ninjatrader[DOT]com with "ATTN CHRIS S 2232037" in the subject line so I may investigate this matter further.
    • Open your NinjaTrader folder under Documents.
    • Right click on the 'log' and 'trace' folders and select Send To> Compressed (zipped) Folder.
    • Send the 2 compressed folders as attachments to this email.
    • Once complete, you can delete these compressed folders.

    I look forward to your reply.
    Chris Sch.NinjaTrader Customer Service

    Comment


      #3
      following this discussion

      Comment


        #4
        Hello,

        OK - I came across this issue again today, so here is a very simply way to reproduce it, your side.

        File, new chart - add NQ, Set series type to tick, value, 100, load data based on 'Bars'. Set to 2000.

        Add the Ninjatrader order flow vwap indicator with standard resolution, and OK that.

        OK - This chart looks normal, as expected.

        Change vwap resolution to 'tick'. Now go back and see where vwap started being calculated. You see the problem?

        This is not just isolated to this particular indicator. It seems to effect ANY indicator that adds a tick data series to a bars based chart that does not cover a whole day. I see it in my own indicators, as well as ninjatrader supplied ones, even on this bare chart, as described.

        Can you please test / replicate your side and let me know why this happens, and how to work around it?

        Thanks.

        Comment


          #5
          pjsmith,

          Thanks for your reply.


          I'll be happy to test this item on my end and follow up here with my findings. If there are any other details or other conditions I should add to the test, please let me know with a reply here also.
          Drew O.NinjaTrader Customer Service

          Comment


            #6
            Hello,

            I am able to reproduce this issue on my end. I'll report this to the development team for further investigation.

            Thank you for your patience.
            Ryan S.NinjaTrader Customer Service

            Comment


              #7
              Many thanks for confirming...

              Comment


                #8
                Hello,

                After talking with the development team, this would be expected behavior. Order Flow VWAP adds an extra 1 tick data series when Tick resolution is used.

                With Bars to load of 2000, it means each series only loads 2000 bars.

                So your 100 tick primary series loads 100 * 2000 = 200,000 ticks but the 1 tick secondary series only loads 1 * 2000 = 2000 ticks hence the reason it starts only a few bars back.

                I have added a vote to an ongoing feature request to change this, identified by SFT 2823.
                Ryan S.NinjaTrader Customer Service

                Comment


                  #9
                  Thank you for the explanation. I would agree the way it currently works (I see the logic) is not useful. Add data for tick series should add ticks to the range of the primary bar set, in order to be of any use, I think. Thanks for submitting the feature request.

                  Comment

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