Gaps on Intraday Forex

[reach4thelasers]

I've got gaps appearing on Intraday Forex today. Oddly there are no time gaps. The 1 minute candles are all there. But there are price gaps between some of the candles. Which is impossible on Intraday Forex.

[NinjaTrader_PatrickG]

I see these gaps as well when connected to NinjaTrader FXCM, but I do not see the gaps when I use Kinetick. I will be reporting this to our Data Team

Thanks for bringing this to our attention.

Gaps can occur intraday. This depends on what prices the banks are offering from moment to moment. not every tick is offered in between every movement. the large change in price here is properly displaying. If you look at a 1 tick chart you can see that there are often gaps, but they are typically smaller than this one.

[reach4thelasers]

Very unlikely to be a genuine gap.... Forex is a $5,000,000,000,000 - 5 Trillion - per day market. And over 0.5 Trillion Dollars of that is on EURUSD. I've never seen genuine gaps on EURUSD at any time aside from the daily rollover. Even during the Tokyo Session - and I trade 50 tick charts. For these to occur during the London/NY session is not possible.

Unfortunately Occam's Razor is leaning towards Ninjatrader's servers buggering up again rather than Forex liquidity drying up

Since there's clearly still issues with Ninjatrader's Forex Data Capture, how about organizing a free trial of Kinetic Forex data for those affected until the issues are resolved?? Kinetic is owned by Ninjatrader, right? So I'm sure strings can be pulled...?

[NinjaTrader_PatrickG]

This gap exists in Kinetick charts as well. This is simply how the data was received into NinjaTrader. Here I've made a comparison of a 1 minute chart and a 1 tick chart lined up vertically:

https://www.screencast.com/t/rRilgeqITnG1

[FMtrader]

If I look at the same chart pulling historical data solely from FXCM servers there are no gaps.

If I then change the connection settings to pull the historical data from NT's servers there are gaps.

Unfortunately for whatever the reason the data on NT's FX servers appears to once again be compromised.

From prior experience FXCM servers are OK for small data requests but can struggle with large data requests or requests involving non time based data. This means that simply pulling all of ones historical data requirements from FXCM is not always viable which leads us back to needing good data from NinjaTrader.

[FXMIKE]

I just checked my charts using FXCM data and I do not show those gaps.

[reach4thelasers]

I hear you patrick but that data is for just one broker of thousands (not to mention banks, hedge funds etc).... each getting prices from their own set liquidity providers and making those prices available to traders. Its an OTC market and FXCM accounts for only Ł20 Billion of volume per day - so less than half a percent of global Forex volumes (hopefully my maths is correct - my calculator doesn't handle trillions, and siri couldn't understand my Scottish accent saying Trillion lol).

So it would be very ignorant to make the assumption that during the period on those charts, that FXCM's customers were the only people trading.... In truth we don't really know, because with no central exchange there's no way to know exactly who is trading and at what prices. But we make the assumption that someone else probably is trading somewhere in the world given the $5 Trillion in volumes, and therefore gaps do not appear on Intraday forex. It just doesn't happen. Only at the weekend, and at the 22:00GMT / 17:00EST Settlement split

Even very exotic currencies like the South African Rand vs Japanese Yen gaps do not appear:

https://uk.tradingview.com/x/sdsADIIM/

Looks very square. Liquidity is clearly low... But every candle opens at the prior close and there are no gaps at all.

So.... it sounds like this is a rendering issue as opposed to a data issue and the problem is that Ninjatrader needs to render Forex candles to open at the prior candles close? If that's the case then this is definitely a bug and needs to be resolved because as Forex traders we are not used to seeing gaps and we get freaked out.

[NinjaTrader_PatrickG]

You're correct in that forex is a huge global market. However, each data provider only supplies their own fraction of that total due to the decentralized nature of forex.

NinjaTrader behaves like a radio - it simply displays the information which it receives from the data provider. There is no data hidden or adjusted from the data feeds when loading a one tick chart. This data is displaying as it is supplied by the data provider.

The 'gaps' we see here are expected.

[reach4thelasers]

The gaps are NOT expected! Only at Ninjatrader. Show me any other Forex Trading Client that shows intraday gaps. It does NOT happen!!

You do not understand this market.

[reach4thelasers]

https://www.dailyfx.com/forex/education/trading_tips/daily_trading_lesson/2013/09/17/Trading_The_Breakaway_Gap_In_Forex.html

"In an extremely liquid market like FX, you will likely only see a gap on a weekend open when a significant event takes place that alters the underlying market that is being traded. "

[reach4thelasers]

"Figure 1: The large candlestick identified by the left arrow on this GBP/USD chart is an example of a gap found in the forex market. This does not look like a regular gap, but the lack of liquidity between the prices makes it so. "

Read more: Gaps - Forex Walkthrough | Investopedia http://www.investopedia.com/walkthro...#ixzz4XYzFcTmn
Follow us: Investopedia on Facebook

[NinjaTrader_Brandon]

Hello reach4thelasers,
Thanks for your reply.
As you quoted, it is not likely that there are intraday gaps. However, they do occur.
Most data provider do not link their close price of one bar to the open price of the next bar.
NinjaTrader takes every real-time tick received and uses that to build the bars. So if there is a price difference between the close of a bar and an open of the next bar there will be a gap. There typically is a difference, although it is small.
Attached is a screenshot from DailyFX where we can see the close of one bar does not link to the open of the next bar. The arrows point to a close of 1.07700 to a open of 1.07736 which has resulted in a gap.
We have reviewed our servers and there was nothing that prevented them from receiving real-time data at that time. Every real-time tick that was sent was received and resulted in gap you see.

[reach4thelasers]

Firstly, that's an IDC chart.... Have you ever seen IDC's data up-close? Its ugly. They're not even a broker or a market maker. Here's the 1 minute IDC chart of EURUSD at the height of the most liquid part of the day, the NY open:

https://uk.tradingview.com/x/9qPDMg9h/

see.... ugly.

Secondly, tradingview fill in the gaps. (first attachment)

And FXCM Fill in the gaps on their own platform (second attachment).

Even Forex Black Thursday... the Swissy Black Swan event that put lots of hedge funds and brokers out of business (including almost FXCM)

http://www.financemagnates.com/forex/brokers/industry-impact-swiss-black-swan-storms-through-currency-markets/

Look, no gaps: https://uk.tradingview.com/x/DmLM0FUU/

We just don't have gaps on Forex Charts..... The new candle always opens at the prior close. Dunno why... Its just how we roll in Forex.

[NinjaTrader_Brandon]

Hello reach4thelasers,
Thanks for your reply.
I see that to prevent any gaps it looks like the second and 3rd screenshots are linking the close to the open of the next bar. In the first screenshot I see the close to opens do not match. The development team will take this into consideration. If this was to be implemented, it would likely be as a custom bar type so users could chose how to have their charts display. There are also NinjaTrader Ecosystem vendors that could implement this for you in the meantime if you do not know NinjaScript or do not have the time. If you would like more information on this let me know and we will have a NinjaTrader Ecosystem representative follow up with more information. Thanks for your feedback.

[FXMIKE]

reach4thelasers,

Can you post a picture of your gaps with the date and time. please include time zone I would like to check this on my end just to see if I have the same gaps. I mostly trade 15-minute chart, and I do not notice gaps.