OrderflowVolumeprofile Minute-Tick

[tonynt]

Hello,

how can there be such big difference in VPOC between resolution Minute and Tick? Please see the attached screenshots "...Minute" and "...Tick". I marked the VPOCS with the arrow line on the right side of the chart. The arrow at price below 2072 is the volumeprofile with resolution Minute and the VPOC with resolution Tick is at 2080.

Thank you!
Tony

[NinjaTrader_RyanS]

Hello,

Essentially this setting changes the calculations to use a 1 tick data series instead of a 1 minute data series, which is far more granular by nature.

As ticks come into NinjaTrader in real-time, they are time stamped based on your local PC time if they do not already have an associated time stamp that is provided from the real-time data source. NinjaTrader then builds bars based on the time stamp of the incoming tick and displays these bars in your chart in real-time.

Let's say you have a tick (tick "A") with a time stamp of 10:31:00 AM which gets packaged into the 10:32:00 AM bar and happens to be the high of that bar. An hour later, you reload historical data from your historical data provider into NinjaTrader. This process will overwrite the existing data. The 10:32:00 AM bar now looks different since the high made by TICK "A" is now part of the prior bar, 10:31:00 AM. How is this possible?

•Your PC clock could have been off so the time stamp is delayed
•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.

[tonynt]

Hello,

thank you for your reply. I have EST time on my PC and the VPOC is the same with TICK and Minute for ES, YM and NQ. Only RTY there is this big(!?) difference.

Does this info give any idea?

Thank you!
Tony

[NinjaTrader_RyanS]

On my end I see large discrepancies in all of these instruments when changing the resolution option, can you confirm this occurs on a new chart as well? Also what data provider is being used and what values are you seeing?