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ES Price anomoly between Continuum ninjatrader and rithmic feed

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    ES Price anomoly between Continuum ninjatrader and rithmic feed

    Hello i wondered if someone can check a price difference between the above 2 feeds.
    I happen to have one computer connect to continuum and the other to rithmic for ES

    at approx 10:47 est price dropped to 3051.50 on the ES
    on continuum the lowest price at that time was 3054.50 - 3 pts shakeout.

    Can someone at ninja check confirm this and did anyone else notice this.
    Does this happen on rithmic more often ? according to rithmic feed there were prints near the low 3051.50

    thanks

    #2
    So I may accurately assist you, please answer all of the following questions:
    • What version of NinjaTrader 8 are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.0.?.?)
    • What interval is selected? For example, 5 minute, 1 day, 2000 volume, 4 Renko, etc.
    • Are the answers to the above questions identical for both of your NinjaTrader installations?
    Can you be more specific with the exact bar and interval you're viewing so I can accurately check the data? If you hover over the bar in question then press your middle mouse button (your scroll wheel can typically be depressed if you don't have a dedicated middle button), the mini data box will appear and will tell you the time stamp of the bar your mouse has hovered over.

    Also, please provide screenshots demonstrating the discrepancy:
    • To send a screenshot with Windows 7 or newer I would recommend using the Windows Snipping Tool.
    • Alternatively to send a screenshot press Alt + PRINT SCREEN to take a screenshot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.
    Finally, if you right-click on both charts and select 'reload all historical data', does the data change on one feed, both feeds, or neither feed?
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Click image for larger version

Name:	ContinuumCQGES.png
Views:	17
Size:	144.9 KB
ID:	1107402
      see above screenshots 1st is Continuum CQG - 2nd is Rithmic and highlighted zone in red circle
      running latest ninjatrader

      Comment


        #4
        Unfortunately, only one screenshot is loading in your reply. Also, it's tough to see but it seems like you're loading a 30 second chart. Second-based charts are built from tick data. Tick data is extremely sensitive to clock synchronization and I suspect that may be affecting things here.

        If you switch to 1 minute (built from minute data), do you see any discrepancy?

        Also, if you right-click on both charts and select 'reload all historical data', does the data change on one feed, both feeds, or neither feed?
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          Unfortunately, only one screenshot is loading in your reply. Also, it's tough to see but it seems like you're loading a 30 second chart. Second-based charts are built from tick data. Tick data is extremely sensitive to clock synchronization and I suspect that may be affecting things here.

          it is 7 minutes from when price last touched that price on rithmic chart - i dont believe this is the issue - many of charts i trade are tick based and so i dont accept this narrative here.
          I switched to 1 minute and is the same.
          I also have a 15Minute chart on both feeds and also is the SAME - and rithmic chart touches that price too.

          This i wanted to share to raise awareness - something is going on in the rithmic feed here - ill include the other chart but it is pretty clear to me.
          However the reload historical works .. it could be that those ticks are cleansed now but that was not the case in the live feed ???
          If i reload the rithmic chart in a bit - im waiting as will reload all my ES charts and i want to do some review and will lose some indicator data if i do so

          If you switch to 1 minute (built from minute data), do you see any discrepancy? NO

          Also, if you right-click on both charts and select 'reload all historical data', does the data change on one feed, both feeds, or neither feed? i will do this in a bit and update you
          attached again the charts - 2nd one is rithmic chart with the lower price

          Click image for larger version

Name:	ContinuumCQGES.png
Views:	19
Size:	144.9 KB
ID:	1107430Click image for larger version

Name:	rithmicES.png
Views:	10
Size:	41.8 KB
ID:	1107431

          Comment


            #6
            If the discrepancy goes away on a minute-based chart or on a tick-based chart after reloading historical data, then we can likely assume that Rithmic simply supplied bad ticks in real time at that moment. I can confirm from multiple sources (CQG, Kinetick, Interactive Brokers) that the low of the 1046 US ET 1 minute bar was 3054.50.

            I would still recommend syncing your PC clock to eliminate that variable:
            • Shutdown NinjaTrader
            • Right-click the clock in the lower right corner of your desktop
            • Select Adjust date/time
            • For Windows 10 click 'Additional date, time, & regional settings' -> then click 'Set the time and date'
            • Select the 'Internet Time' tab at the top
            • Set the server to time.nist.gov and then click Update.
            • If the message that appears says successful your PC clock should now be updated.
            • If not, select a different server from the Server: drop-down and try again (repeat until one of the servers is successful)
            After updating the PC clock, please restart NinjaTrader, then right-click the chart and select Reload All Historical Data.

            You can read more about the sensitivity of tick data here:If you continue to notice discrepancies on your Rithmic PC, this may warrant a further investigation into the general health and performance optimization of that NinjaTrader installation on that specific PC.
            Patrick G.NinjaTrader Customer Service

            Comment


              #7
              Thanks i will check my clock once i close down ninjatrader. I reloaded all historical for ES for the rithmic feed and as expected those ticks were cleared.
              They look like bad ticks rather than incorrectly timestamped as i said looking into the orderflow there were ticks there.

              Out of interest if that happened on a live trade on the account (rithmic) would they investigate on the broker side that those were bad ticks not on other feeds? Given the reload cleared them.
              OR would it be blamed on a clock synch issue - which i do NOT believe or see as the case - i have just opened up and see all looks fine and was last synched very recently.
              It is correctly using time.nist.gov - i have not hit synch yet

              Just fyi your instructions above are not accurate for windows 10 - and i dont see an internet time tab and it says synch not update - just fyi in case you want to correct the steps.

              Ill keep eye on this - also added more ram to this machine recently and not noticed this issue with rithmic.
              It would be useful to know my question on if this happened in live trade - very suspicious 3 point shakeout at that time then market went higher. As it happens i was not in a trade at the time
              thanks

              Comment


                #8
                You should absolutely contact your broker's Orders Desk first with any questions regarding live orders or executions. Depending on exactly what has occurred, it would be investigated appropriately by Orders Desk or another team containing the relevant experts. There is not much point in speculating and each occurrence would need to be handled on a case by case basis.

                Based on what you're reporting about syncing your clock, you only made it as far as the Date & Time settings and did not click on 'Additional date, time, & regional settings'. If you don't see this, it means your PC settings are being restricted administratively. Here is a link that describes the steps in more details with screenshots:
                Patrick G.NinjaTrader Customer Service

                Comment


                  #9
                  ok thanks re broker process ; if i need to deal with that in future again.

                  i do see date time & regional formatting and go into that then shows additional date, time & regional settings (in related settings at right)

                  So it is there just not described in the order you mentioned and the navigation steps. So i am there now with internet time tab.

                  So i have admin access just the sequence perhaps different but i have latest w10 update?

                  Comment


                    #10
                    The steps in the link above are different slightly on my version of Windows 10. You would need to select 'Date, Time, and Regional settings...' then you can choose 'Additional date, time, & regional settings'.

                    The other way I can access this is through the Control Panel > Clock and Region > Date and Time > Internet Time > Change Settings...
                    Patrick G.NinjaTrader Customer Service

                    Comment

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