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Incorrect Tick Data

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    Incorrect Tick Data

    NinjaTrader_Jim,

    Continuing in a new thread at your request (please reference http://ninjatrader.com/support/forum...519#post507519 for background).

    Thank you for your reply. I just made an interesting observation regarding tick data, and wonder if you can comment. (555 Tick ES 06-17 Continuum data).

    As a last-ditch effort, I started NT8 in safe mode, then loaded my chart containing 555 tick ES 06-17 bars (no indicators, still in safe mode). Next I immediately closed NT8, then restarted NT8 as normal.

    My ES tick chart loaded with the usual indicators, and for the last 2 hours has been performing exactly the same as the identical chart on a different broker platform (my reference for comparison). This is the first time ever that the two have not only looked exactly alike w.r.t. the formation of bars, but that the actual tick counter on the last bar was also the same tick-for-tick.

    Now for my question -- What does starting in safe-mode do to data that would account for the sudden (though temporary) improvement in tick data quality?

    Addendum (later the same day): Tried normal restart of NT8 a second time, after which tick bars quickly began looking different in both shape and number than my other broker's reference chart. Starting in safe mode temporarily made everything look alike for only about 10 minutes this time, then the NT8 tick chart threw in an extra tick bar and quickly diverged in appearance.

    FYI - when I count total ticks since midnight using a simple indicator, the total end-of-day tick count for NT8 is always higher than the identical chart on my other broker's platform. Consistently adding extra bars / ticks apparently.

    Thank you.

    #2
    Hello D Trader,

    Thanks for opening the new thread.

    I'm just touching base to let you know I've seen the thread. I will post again tomorrow after I have been able to review the issue fully.

    If you have any other information to share in the mean time, please feel free to add it to your post.

    Thanks!
    JimNinjaTrader Customer Service

    Comment


      #3
      NinjaTrader_Jim,

      As it turns out, any activity (including restart) that causes a reload of historical data will clean up the tick chart through that moment in time.

      Attached are screen shots illustrating a small sample of the data discrepancy described in my prior post. Please focus on everything to the right of the dotted vertical line which is the 6:00 PM EST session open of the ES. That was when the chart was last re-loaded, and began running forward again in real-time.

      The first image shows a ~5 hour period of time where there were more ticks / bars recorded than actually occurred. The second image shows the same chart 30 seconds later, after reloading historical data. The reloaded chart in the second image now matches the identical chart on another broker's platform which I am using as a reference for comparison. [Note: I chose the evening session as the tick count is very low and should be easy to process / diagnose. Obviously, during the daytime this issue is greatly exacerbated, with volume of 1000s of contracts / ticks per minute.]

      So clearly the tick data is being made available to NT8. The issue seems to be in rendering the tick bars correctly in real-time. As stated previously, the number of bars / ticks / volume are all higher in real time drawing of the bars than what is actually occurring in the market. Obviously, if extra "bogus" bars are thrown into the mix, any indicators or strategies will be skewed and totally useless.

      Any suggestions on how to resolve the underlying issue? FYI - this occurs with the most recent release of NT8 64-bit Multibroker. The problem does not seem to occur with time data bars.
      Attached Files
      Last edited by D Trader; 05-15-2017, 09:22 PM.

      Comment


        #4
        More Incorrect Tick Data

        NinjaTrader_Jim,

        Here is another set of screen shots from this morning's first 45 minutes of the ES. The chart was opened just before the 9:30 AM EST open.

        The first photo is the tick chart as it was drawn prior to reloading data, through about 10:15 AM EST. The second photo was taken about 30 seconds later, after reloading the data using the "Reload all Historical Data" right-click menu option.

        Notice the nearly double number of bars that were drawn before reload. Totally inaccurate!

        Hope this helps.
        Attached Files

        Comment


          #5
          Hello D Trader,

          It sounds like you have some consistent ways to keep coming across this.

          I would like to get connected with you via a remote support session to look into this matter further so we can correct this on your end or reproduce the issue on our end.

          Could you write in to platformsupport [at] ninjatrader [dot] com with the thread URL and the text "Attention Jim?" Please also include a good time we can get connected during our support hours and a number where we may reach you. Our regular support hours are 8:30am to 6pm US Eastern, Monday through Friday.

          I look forward to being of further assistance.
          Last edited by NinjaTrader_Jim; 05-17-2017, 02:24 PM.
          JimNinjaTrader Customer Service

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