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inconsistency in historical data again

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    inconsistency in historical data again


    I am again having problems with kinetick historical data. This time it is PA ## - ##.

    My time zone on the platform is UTC. I have cleared cache the problem persists.

    Date 02/28/2020
    High Kinetick Price: 2789.8
    High price other sources: 2815.5

    I understand that your way of grouping may not be the same, but the difference is too big to be the problem.


    It has also happened to me that the minute by minute data has problems with high and low prices, but when I check the daily it is correct.

    #2
    Hello,

    Thanks for your post.

    Are the open and close times for the two data sources the same? For example, is the NinjaTrader charts' Data Series> Trading Hours template the same as the other source? If this is changed to Default 24/7 do you see the value you are expecting instead of the regular trading hours close?

    Secondly, 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 traders using NinjaTrader on different data 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/help..._are_built.htm


    Please let me know if I may be of any further assistance.
    Marco G.NinjaTrader Customer Service

    Comment


      #3
      Here is an example of a data downloaded from Kinetick and IQFeed. In both cases I see errors at the same point. Does this mean that it comes wrong from the exchange?.
      The instrument is EWZ

      Comment


        #4
        Hello,

        Thank you for the reply.

        Unfortunately based on that screenshot we would not be able to draw any conclusions.

        Are the open and close times for the two data sources the same? For example, is the NinjaTrader charts' Data Series> Trading Hours template the same as the other source? If this is changed to Default 24/7 do you see the value you are expecting instead of the regular trading hours close?

        What interval is selected for the chart? For example, 5 minute, 1 day, 2000 volume, 4 Renko, etc.

        We look forward to resolving your inquiry.
        Melissa J.NinjaTrader Customer Service

        Comment


          #5
          Are the open and close times for the two data sources the same?
          R: Yes Kinetick and IQFeed have same prices. I changed to Default 24/7

          What interval is selected for the chart?
          R: 1 minute, candlestick, 03/01/2008 - 05/01/2008 march 01 - may 05 high price reaches 1000

          04/15/2010 - 05/01/2010 2010 april 15 - 2010 may 01 low drops to 0

          Comment


            #6
            Hello,


            Thanks for your reply.

            I think you would benefit from the Tick Filtering setting here.

            Tick filtering is a function where each incoming tick is evaluated in relation to the last known price and if it is outside of a user defined percentage value, the tick is thrown away and not distributed to any NinjaTrader object that requires market data such as advanced charts or strategies. This prevents data spikes from showing on your charts and can also prevent unwanted actions taken by automated strategies due to a data spike.

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

            https://ninjatrader.com/support/help...ick_filter.htm

            This can be enabled from the Control Center> Tools> Options> Market Data> Filter bad ticks section.

            Please let me know if I may be of any further assistance.
            Marco G.NinjaTrader Customer Service

            Comment


              #7

              But would this only work for real-time data? How do I correct the historical data?

              Comment


                #8
                Hello,

                Thanks for the note.

                Unfortunately there would be no way to filter the historical data due to the way it is loaded from your provider.

                The differences you are seeing may be entirely expected; as Marco noted, 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.

                Please let use know if we may be of any further assistance.
                Melissa J.NinjaTrader Customer Service

                Comment


                  #9
                  Sure I understand, but as you can see in the image there is not a subtle difference, how could I repair this data from Ninjatrader?

                  Comment


                    #10
                    I connect with IQFeed and Kinetick support and they deliver raw data. But if I can't filter it in ninja either then I will always have wrong data in my backtesting

                    Comment


                      #11
                      Hello,

                      Thank you for the reply.

                      The platform itself has no control over the data you receive from your provider and differences in historical data are expected from provider to provider.

                      The only way to 'filter' the historical data would be to export it, manipulate the data, then import it into the platform again.

                      Which provider are you using as a comparison for the other sources? That may help shed some light on the cause of the differences.

                      We look forward to being of further assistance.
                      Melissa J.NinjaTrader Customer Service

                      Comment


                        #12
                        I'm comparing Kinetic with IQFeed

                        Comment

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