Live feed vs Market Replay, Is the Market replay data stream throttled in any way

[michelm]

Hi All,

A client and I are trying to work on a performance issue. Client says that an indicator that he uses is very slow, basically unusable when rxing a live data feed(rhythmic perhaps). Client indicator is so intense that he can't even move the crosshair cursor.

I don't have a live data feed for NT. I always use market replay to simulate a live data feed.

But so far, I have been unable to reproduce the issue. Just to be clear, I'm not talking about fills, I do see some info about the differences between fills when using live vs replay.

I have always guessed that market replay was more intense than a live feed.

Seems like live feeds would have all sorts of network buffering and lag across the internet that would slow them down compared to just getting blasted with data from a local market replay file. Guessing that between whatever read-ahead buffering ninjatrader does internally plus the normal os read-ahead buffers, NT in market replay mode is not disk bound(i hope), so the market replay stream should be just as intense as a live feed at the live feeds best rate..........unless NT throttles Market replay somehow......

I guess the live feed data could sometimes get buffered up at the server side and\or network layers and arrive in bursts, but hopefully, that would be short-lived and only cause transitory performance issues in NT.

Client describes more of a sustained slowdown when running indicator with a live feed.

Talking about NQ here.

If anyone has made it past all my rambling half baked guesses and assumptions and has any thoughts on this please chime in.

Client has not reported back if the issue happens when running market replay. But regardless of my specific client issue, I think this is an interesting issue in general and welcome any thoughts anyone else has on this.

Thanks

[balltrader]

Replay is only updated once per second, in terms of throttle, but you are getting a large firehose of data while reloading the chart to the GOTO date & time value.

Your client's indicator has problems and or their computer is not fast enough, memory RAM too small.

Can you remove indicator from chart, does that make the issue go away?
Do you have access to the code of the indicator ?
You can use StopWatch concept to identify where the bottlenecks are occurring inside the code.

[NinjaTrader_ChelseaB]

Hello michelm,

Real-time data produces ticks as traders execute trades. NinjaTrader gets them and processes them as they are received. Some data providers do aggregate data. This is then pumped to consumer threads like charts.
The higher the volume, the more ticks, and thus more processing.

Market Replay pumps out data in exactly 1 second intervals.

The computer the client is using may not have the processing resources of your computer and may be processing the data slower.


That said, this post is in the Indicator Development section of the forums.

Do you have a question about code programming for indicators in C#?

[michelm]

So I guess I'm asking a question about how replay works in relation to an indicator I'm developing. Feel free to move it or close it I guess.

So NT provides great high-resolution millisecond time-stamped replay data, but throttles back to second resolution when it's used?

[NinjaTrader_ChelseaB]

Hello michelm,

The timestamp resolution of the ticks remains the same.

The data is still processed in order. Order will still fill at the exact time of the corresponding tick.

However, yes, those ticks are pumped to consumer threads in 1 second bursts, no matter the playback speed.

[bltdavid]

[snip]
...sustained slowdown...
[snip]
If anyone has made it past all my rambling half baked guesses and assumptions and has any thoughts on this please chime in.

You might want to check this,

https://ninjatrader.com/support/forum/forum/ninjatrader-7/indicator-development-aa/39793-best-practice-for-programming-efficient-indicators-for-the-nt-strategy-analyzer?p=544778#post544778

[NinjaTrader_ChelseaB]

Hello michelm,

I was not able to confirm if this inquiry is about programming NinjaScript in C#, so I have moved this thread to the NinjaTrader 8 Platform Technical Support section of the forums.