$TICK differences between NT8 and TOS / tradingview

[EB Worx]

I noticed that the ^TICK in Ninjatrader 8 (using the Kinetick datafeed) is different then the ^TICK shown by TOS and/or trading view
See attached screenshot which shows the $TICK in TOS and ^TICK in NT8 side by side..
As you can see there are clear differences.. I annotated some hi/low values for reference.

(Note that the $TICK in TOS is the same as the one in tradingview, so i believe that one is correct and that ninja trader is off.)

Why is this ? I would expect the $TICK to be correct ?

Erwin

[NinjaTrader_Marco]

Hello Erwin Beckers,

Thanks for posting to the forum.

Different data feeds produce different charts, especially when using tick based intervals vs time based intervals. Market data vendors each employ various methods for tick filtering, throttling and time stamping. As a result, no data stream is 100% identical and thus can cause subtle differences in charts. Since NinjaTrader supports many of the leading brokerage and data feed technologies, it is highly likely that two data different feeds will have minor differences when plotting the same market and time interval.

More information can be found below in our Help Guide article regarding this topic:

https://ninjatrader.com/support/helpGuides/nt8/?how_bars_are_built.htm#UnderstandingTheVariablesInvolvedInBuildingChartBars

Please let me know if I may be of any further assistance.

[EB Worx]

NinjaTrader_Marco

If you looked a bit further you would have seen that i'm talking about the symbol/instrument TICK.. not a tick chart .. in fact i'm using a 1-min chart in my screenshots
You say that there will be small differences in datafeeds between brokers.. but then why are all other instruments (ES, NQ, YM, CL, GC, .... ) showing the exact same data on both platforms ?

The only instrument i found which is different is the TICK ??

Erwin

[NinjaTrader_Marco]

Hello Erwin,

Thank you for your reply.

I was also referring to the ^TICK index. Data between data providers such as between a Kinetick feed and a TradingView feed can be different for many reasons, in this case, as previously mentioned mrket data vendors each employ various methods for tick filtering, throttling and time stamping. As a result, no data stream is 100% identical and thus can cause subtle differences in charts.

Other reasons this data can look slightly different:


Your PC clock could be off sync off so the time stamp is delayed slightly.



•Your internet may have been lagging so the tick came in slightly delayed and therefore the time stamp is delayed



•Due to standard latency, even 50ms delay (which is normal) could be the difference between a 10:30:59 and 10:31:00 time stamp



•There is no way of knowing how the historical data provider packages their bars



The only way to ensure that data always looks the same is if every connectivity provider sent ticks with time stamps AND that all vendors synchronized on time stamps. Unfortunately, this is just not a reality nor plausible scenario.


More information can be found below in our Help Guide article regarding this topic:

https://ninjatrader.com/support/helpGuides/nt8/?how_bars_are_built.htm

Please let me know if I may be of any further assistance.

[Roman_786]

Your ^Tick Index is still not working correctly. If comparing to ToS or TradeStation it is very obviously that ^Tick Index with CQG is the wrong one.
I would highly appreciate if You could improve this problem. Thank You!

[ganesaraja12]

Hi, I've noticed that two years on, this problem is still not fixed. I figure that Ninjatrader's brokerage will not look into this problem until every last trader cancels his market internals membership with NT8.

The feed I get from NT8 TICK (via Ninja Brokerage) is a 200-300 point discrepancy off the simultaneous feed I get from Tradingview. What gives? Suffice to say, I am highly, highly disappointed by this.

[NinjaTrader_Marco]

Hello ganesaraja12,

Thanks for your post.

The NinjaTrader platform is not a data provider. The NinjaTrader platform acts like a radio receiver and receives data from connected data feeds, and displays the data in the platform according the the customizable parameters available in the platform. If all other variables are the same, the data should appear in two platforms as the same, but there can be a lot of variables which are affecting this- for example $TICK and ^TICK are two different instruments with their own independent values. Additionally, data between data providers such as between a Continum based feed and a TradingView feed can be different for many reasons, in this case, as previously mentioned mrket data vendors each employ various methods for tick filtering, throttling and time stamping. As a result, no data stream is 100% identical and thus can cause subtle differences in charts.

Please let me know if I may be of any further assistance.

[EB Worx]

Hello ganesaraja12,
As a result, no data stream is 100% identical and thus can cause subtle differences in charts..

But that is the problem, we're not talking about subtile differences anymore.
As ganesaraja12 said i see 200-300 point differences occuring regularly

I even switched my datafeed from Continuum to Kinetick, but it's the same thing.
On the other hand the ^TICK on TOS and tradingview are almost they same. Now. If they can do it, then why can't NinjaTrader do this?
I asked both Kinetick & Continuum about this, but they just respond that their ^TICK reading is correct (which its clearly not) and that's about all they do

And yes. I know NinjaTrader is not a data provider, but you probably have close connections with Kinetick and Continuum.
And its in NinjaTraders best interest too that the platform can provide a good ^TICK reading
So perhaps you take the lead in this and try to get this fixed.
Like ganesaraja12 said, 2 years now and nothing has been done.

I've switched datafeeds, didnt help and asking Kinetick and Continuum didn't help either.
FYI I've been using tradingview for the last 1.5 years just to get accurate ^TICK readings. Which is crazy if you ask me

Erwin

[NinjaTrader_Marco]

Hello,

Thanks for your reply.

The Tick Index is a market metric and not a price driven instrument— The index measures stocks making an uptick and subtracts stocks making a downtick. It's not usually to see large swings in this instrument on a daily basis as there are roughly 2,800 stocks listed on the NYSE.

I found two data sources below that correlate with the NinjaTrader values I see overnight for Kinetick and NinjaTrader Continuum (these kinds of metrics only move when the market is open):

https://www.screencast.com/t/xdqriC21

https://www.screencast.com/t/MmxzqcRYV

It appears the Trading View metric may be using a different calculation method to give it's results, or it may consider the End of Day at the Regular Trading Hours, instead of the Extended Trading Hours, which will yield a different value as stock trade in the extended session:

https://www.screencast.com/t/GXvW9Wt2

Therefore, it seems at least one variable has been noted between the two data feeds, which can cause even large moves in even a short timeframe on the ^TICK since this instrument's calculation is related to stock uptick and downtick ratios instead of being a value determined by price. You'd want to reach out to each data provider separately to see how they calculate the market metrics that they provide for a more comprehensive breakdown on what may be causing this discrepancy between the data feeds.

More information can be found on how this market metric is calculated can be found at the publicly available link below:

https://www.investopedia.com/terms/t...0a%20downtick.


Please let me know if I may be of any further assistance.