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Bug report - tick data and minute bars not in sync after reload all historical data

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    Bug report - tick data and minute bars not in sync after reload all historical data

    Use case, where I found a leak / problem:
    1. import 4years tick data and build minute bars from them. (-> as a result, you have a valid M1 bars, that are in sync with tick data)
    2. Reload all minute bars from chart
    3. Tick data and minute bars are often desynchronized.


    (After reload of all historical data, minute bars are reloaded with new bars from some data-feed.. Source of the data is different and some minute bars are a little bit different. Tick data and minute bars are no more in sync = different OHLC prices on many candles.

    This causes many hidden problem when algo-strategy uses both dataseries - tick bars and also minute bars. It is really pain to debug things in such a desynchronized environment.)


    Principle driving the solution:
    When importing tick data - if the user wanted to build the minute/daily bars from them,
    he never wants to throw them away when reloading historical data.
    If user generated minute/daily bars from tick-data, he wants them to have in sync.
    That's why, he generated them from tick.


    Solution proposal:
    1. You should mark the minute / daily bars, which were built from tick-data. It just one bool value, that is very meaningful and important.
    2. When user requests to Reload all historical data from chart, then all minute/daily bars marked as TRUE (= built from tick data) should remain untouched.
    3. In Options this could be overriden for occasional case, when replacing generated bars would be intention of the user. We could have 1 checkbox named "Generated barscan be replaced by Reloading historical data". This checkbox has to be unchecked by default.


    Best regards
    Misova
    Last edited by misova; 05-27-2014, 04:05 AM.

    #2
    Hello Misova,

    I will forward your suggestion to development to put it on the list of possible future enhancements. Thank you for your feedback.
    JasonNinjaTrader Customer Service

    Comment


      #3
      Hello Misova,

      We added the suggestion to our list. It is assigned to ID# 2854.
      JasonNinjaTrader Customer Service

      Comment

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