if () bug? 8.0.5.2 64-bit (Multi-Broker)

[Stefan_1982]

Hi,

I'am trying to compare a bid and ask sorted list.

i clear the list after each candle.

My problem is i would like to find out a big imbalance and so i compare the list key value from 1 list with the second list -1*ticksize to get the right price.

looks like this
AskList:
1,06120 -> look at sell list 1,0615 (1,06120-1Ticksize)
i would like to use this but this is also not working

if (sellList.TryGetValue(kvp.Key, out lookSellPriceVolTmp))
{
Print();
}

Here is a Print
Every Ask i get through the complete Sell List and here you can see follow problem.

Green = OK
Red = Wrong

Thats OK there is no 1,06225 in sell List
10.04.2017 15:25:00 Buylist 1,0623 7 1,06225
10.04.2017 15:25:00 SelllistinBuy 1,0623 47
10.04.2017 15:25:00 SelllistinBuy 1,06235 23
10.04.2017 15:25:00 SelllistinBuy 1,06245 20
10.04.2017 15:25:00 SelllistinBuy 1,0625 63
10.04.2017 15:25:00 SelllistinBuy 1,06255 48

Thats Wrong 1,0623 is in sell List
10.04.2017 15:25:00 Buylist 1,06235 37 1,0623
10.04.2017 15:25:00 SelllistinBuy 1,0623 47
10.04.2017 15:25:00 SelllistinBuy 1,06235 23
10.04.2017 15:25:00 SelllistinBuy 1,06245 20
10.04.2017 15:25:00 SelllistinBuy 1,0625 63
10.04.2017 15:25:00 SelllistinBuy 1,06255 48

Thats OK 1,06235 is in selllist and it show my match
10.04.2017 15:25:00 Buylist 1,0624 62 1,06235
10.04.2017 15:25:00 SelllistinBuy 1,0623 47
10.04.2017 15:25:00 SelllistinBuy 1,06235 23
10.04.2017 15:25:00 Match 1,0624 62 1,06235 23
10.04.2017 15:25:00 SelllistinBuy 1,06245 20
10.04.2017 15:25:00 SelllistinBuy 1,0625 63
10.04.2017 15:25:00 SelllistinBuy 1,06255 48

Thats OK there is no 1,0624 in sell List
10.04.2017 15:25:00 Buylist 1,06245 45 1,0624
10.04.2017 15:25:00 SelllistinBuy 1,0623 47
10.04.2017 15:25:00 SelllistinBuy 1,06235 23
10.04.2017 15:25:00 SelllistinBuy 1,06245 20
10.04.2017 15:25:00 SelllistinBuy 1,0625 63
10.04.2017 15:25:00 SelllistinBuy 1,06255 48

Thats OK 1,06245 is in selllist and it show my match
10.04.2017 15:25:00 Buylist 1,0625 114 1,06245
10.04.2017 15:25:00 SelllistinBuy 1,0623 47
10.04.2017 15:25:00 SelllistinBuy 1,06235 23
10.04.2017 15:25:00 SelllistinBuy 1,06245 20
10.04.2017 15:25:00 Match 1,0625 114 1,06245 20
10.04.2017 15:25:00 SelllistinBuy 1,0625 63
10.04.2017 15:25:00 SelllistinBuy 1,06255 48

Thats OK 1,0625 is in selllist and it show my match
10.04.2017 15:25:00 Buylist 1,06255 97 1,0625
10.04.2017 15:25:00 SelllistinBuy 1,0623 47
10.04.2017 15:25:00 SelllistinBuy 1,06235 23
10.04.2017 15:25:00 SelllistinBuy 1,06245 20
10.04.2017 15:25:00 SelllistinBuy 1,0625 63
10.04.2017 15:25:00 Match 1,06255 97 1,0625 63
10.04.2017 15:25:00 SelllistinBuy 1,06255 48

Thats Wrong 1,06255 is in sell List
10.04.2017 15:25:00 Buylist 1,0626 8 1,06255
10.04.2017 15:25:00 SelllistinBuy 1,0623 47
10.04.2017 15:25:00 SelllistinBuy 1,06235 23
10.04.2017 15:25:00 SelllistinBuy 1,06245 20
10.04.2017 15:25:00 SelllistinBuy 1,0625 63
10.04.2017 15:25:00 SelllistinBuy 1,06255 48


Here are the two for commands where i compare the values.

foreach (KeyValuePair<double, long> kvpbuy in buyList) /// Go through all Buy Values
{
Print(Time[0] + " Buylist " + kvpbuy.Key + " " + kvpbuy.Value + " " + (kvpbuy.Key-1*TickSize));

foreach (KeyValuePair<double, long> kvpsell in sellList) /// Go through all Sell Values at each Buy Value
{
Print(Time[0] + " SelllistinBuy " + kvpsell.Key + " " + kvpsell.Value);

if (kvpbuy.Key == kvpsell.Key+1*TickSize) ///!!!Compare the Value!!!
{
Print(Time[0] + " Match " + kvpbuy.Key + " " + kvpbuy.Value + " " + kvpsell.Key + " " + kvpsell.Value);
}
}
}

I cannot find a wrong code so i need help.
Please let me know if i made a mistake or if it is a bug.

Thanks
Stefan

[NinjaTrader_AlanP]

Hello Stefan_1982,

Thank you for writing in.

Are you using a lock statement to make sure the collection is not modified in the middle of collecting the values?

This is demonstrating in the following reference example,

http://ninjatrader.com/support/forum/showthread.php?t=3478

I look forward to your reply.

[Stefan_1982]

Hi Alan,

Thanks for the information.
So you think the kvpbuy in buylist is changing before the it will trigger.

ok here is what i have testes now

i use historical tick date and only isfirsttickofbar to test it now, before it was realtime data
(i check data 1 minute before because first tick will at the next minute and reset is after the test)

protected override void OnMarketData(MarketDataEventArgs e)
{
lock (e.Instrument.SyncMarketDepth)
{
if (State==State.Historical)
{
try{
if (IsFirstTickOfBar)
{
for...

}
}
}
but i get the same result

0.04.2017 15:39:00 Buylist1,0622 26 1,06215
10.04.2017 15:39:00 SelllistinBuy 1,0622 31
10.04.2017 15:39:00 SelllistinBuy 1,06225 31
10.04.2017 15:39:00 SelllistinBuy 1,0623 2

10.04.2017 15:39:00 Buylist 1,06225 72 1,0622
10.04.2017 15:39:00 SelllistinBuy 1,0622 31
10.04.2017 15:39:00 SelllistinBuy 1,06225 31
10.04.2017 15:39:00 SelllistinBuy 1,0623 2

10.04.2017 15:39:00 Buylist 1,0623 27 1,06225
10.04.2017 15:39:00 SelllistinBuy 1,0622 31
10.04.2017 15:39:00 SelllistinBuy 1,06225 31
10.04.2017 15:39:00 Match 1,0623 27 1,06225 31
10.04.2017 15:39:00 SelllistinBuy 1,0623 2

10.04.2017 15:39:00 Buylist 1,06235 18 1,0623
10.04.2017 15:39:00 SelllistinBuy 1,0622 31
10.04.2017 15:39:00 SelllistinBuy 1,06225 31
10.04.2017 15:39:00 SelllistinBuy 1,0623 2

[Stefan_1982]

Update:

i found that the problem is only if i i add the +1*TickSize or -1*TickSize to get the bid and the ask.
if i compare the same price it is always working.
i get all Matches

if (kvpBuy.Key == kvpSell.Key)
{
Print(Time[0] + " Match " + kvpBuy + " " +kvpSell);
}
OK Match found
11.04.2017 11:35:00 BuyList [1,0641, 38]
11.04.2017 11:35:00 SellList [1,06405, 5]
11.04.2017 11:35:00 SellList [1,0641, 10]
11.04.2017 11:35:00 Match [1,0641, 38] [1,0641, 10]
11.04.2017 11:35:00 SellList [1,06415, 1]

OK Match found
11.04.2017 11:35:00 BuyList [1,06415, 18]
11.04.2017 11:35:00 SellList [1,06405, 5]
11.04.2017 11:35:00 SellList [1,0641, 10]
11.04.2017 11:35:00 SellList [1,06415, 1]
11.04.2017 11:35:00 Match [1,06415, 18] [1,06415, 1]



i do not get all Matches
if (kvpBuy.Key == kvpSell.Key+1*TickSize)
{
Print(Time[0] + " Match2 " + kvpBuy + " " + kvpSell.Key+1*TickSize);
}
So that is the question why is this not working.

11.04.2017 11:35:00 BuyList2 [1,0641, 38] 1,06405
11.04.2017 11:35:00 SellList2 [1,06405, 5]
11.04.2017 11:35:00 Match2 [1,0641, 38] [1,06405, 5]
11.04.2017 11:35:00 SellList2 [1,0641, 10]
11.04.2017 11:35:00 SellList2 [1,06415, 1]

11.04.2017 11:35:00 BuyList2 [1,06415, 18] 1,0641
11.04.2017 11:35:00 SellList2 [1,06405, 5]
11.04.2017 11:35:00 SellList2 [1,0641, 10]
11.04.2017 11:35:00 SellList2 [1,06415, 1]

#########no Match2 found [1,06415, 18] [1,0641, 10]#########

[NinjaTrader_AlanP]

Hello Stefan_1982,

Have you considered using the following format to populate a list with the bids/offers?

http://ninjatrader.com/support/forum/showthread.php?t=3478

I look forward to your reply.

[Stefan_1982]

Hi Alan,

no i use a simple sorted list, i will look at LadderRow, but a simple list if condition should also work i think.
i send you a pm with the code
if (e.Price >= e.Ask)
{
long buyVolTmp;
if (buyList.TryGetValue(e.Price, out buyVolTmp))
{
buyList[e.Price] = (e.Volume + buyVolTmp);
}
else
{
buyList.Add(e.Price , e.Volume);
}
}
if(e.Price <= e.Bid)
{
long sellVolTmp;
if (sellList.TryGetValue(e.Price, out sellVolTmp))
{
sellList[e.Price] = (e.Volume + sellVolTmp);
}
else
{
sellList.Add(e.Price , e.Volume);
}
}

[Stefan_1982]

Will List<LadderRow> also work on OnMarketData(MarketDataEventArgs e)?
i to not get 20 values at once like at OnMarketDepth(MarketDepthEventArgs e)!

i'am counting every volume of the filled orders.

[Stefan_1982]

Hi Alan,
i see it is not a Ninjatrader problem it is a c# problem i need to check this at a few c# forums.
i have the same problem @ visual studio.
Thanks for your Help

[Stefan_1982]

Dear Alan,

i found my Problem.
datatyp double is very bad to compare.
Please have a look at this site.

https://scottlilly.com/c-tip-how-to-check-if-two-double-values-are-equal/

is there a special reason why ninjatrader use double? decimal dose not have this problem!

my solution is to convert all values to decimal compare it and convert it back to double to use it with draw.text ...

[sledge]

Trades don't always happen at TickSize.
Some are .99999999999 etc.

Look up RoundToTickSize in ninjatrader help.

[Stefan_1982]

Hi sledge,

that is not the problem!
i tested this with fix numbers in Visual Studio and there i have the same results!
so it is a "double" problem if you make a google search "double compare" you will get 100 sites.
java c+ c++ c# vb ... all have this problem.

you need a few steps to get it working but i think convert to decimal is the best solution.

[Stefan_1982]

Hi there would be a other solution as well but that is not an option for me.
the problem happens if you have a number like this 1,0623
if you multiply that value 1,0623 * 10 or 1,06235 * 100 everything is working to.

very easy test, try this on bar update,

if (1.06235 == 1.0623+0.00005)
{
Print("Double Working - 1.0623+0.00005 =" + (1.0623+0.00005));
}
else
{
Print("Double Not Working - 1.0623+0.00005 = " + (1.0623+0.00005));
}

if (Convert.ToDecimal(1.06235) == Convert.ToDecimal(1.0623)+Convert.ToDecimal(0.0000 5))
{
Print("Decimal Working - 1.0623+0.00005 =" + (Convert.ToDecimal(1.0623)+Convert.ToDecimal(0.000 05)));
}
else
{
Print("Decimal Not Working - 1.0623+0.00005 = " + (Convert.ToDecimal(1.0623)+Convert.ToDecimal(0.000 05)));
}

Here is the result!
Double Not Working - 1.0623+0.00005 = 1,06235
Decimal Working - 1.0623+0.00005 =1,06235
Double Not Working - 1.0623+0.00005 = 1,06235
Decimal Working - 1.0623+0.00005 =1,06235

Please have a look at: (it is the same with double)

http://www.cygnus-software.com/papers/comparingfloats/Comparing%20floating%20point%20numbers.htm

Comparing for equality
Floating point math is not exact. Simple values like 0.2 cannot be precisely represented using binary floating point numbers, and the limited precision of floating point numbers means that slight changes in the order of operations can change the result. Different compilers and CPU architectures store temporary results at different precisions, so results will differ depending on the details of your environment. If you do a calculation and then compare the results against some expected value it is highly unlikely that you will get exactly the result you intended.

[JohnSteinberg]

Double CompareTo method

Yep, known problem with doubles in general, does not matter the programming language. You might get more accurate results using the double.CompareTo method in C#.

https://msdn.microsoft.com/en-us/lib...v=vs.110).aspx

[Stefan_1982]

So here is my question to Ninjatrader why are you using double?
is there a special reason?
Please let me know.
Thanks

[NinjaTrader_AlanP]

Hello Stefan_1982,

I would not be able to comment on why NT uses double however I would suggest seeing the following reference example, Floating-Point Arithmetic,

http://ninjatrader.com/support/forum/showthread.php?t=3929

Please let us know if you need further assistance.