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Old 05-16-2018, 09:18 AM   #1
explorer101
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Default clarification on tick replay

Hello, i am trying to understand if to use the order flow+ tools if the tick replay needs to be enabled.

If it is not enabled does it mean an up down tick method is used to load the bars and create the delta for historical then new live data will use bid ask?

To have all historical load with bid ask tick replay needs to be enabled on the charts?

Im just trying to establish the difference and under what circumstances tick replay needs to be enabled.

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Old 05-16-2018, 10:18 AM   #2
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Hello explorer101,

Thank you for the note.

Tick replay will not help for the multi series OrderFlow+ tools including VWAP, Cumulative delta, and the Depth map. This is due to multiple series sharing the same timestamps.
The OrderFlow+ tools are still in beta meaning they are being improved upon each release. You may check the release notes upon future updates to see what changes have been made:
https://ninjatrader.com/support/help...ease_notes.htm

Please let us know if we may be of any further assistance.
Last edited by NinjaTrader_ChrisL; 05-17-2018 at 06:52 AM.
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Old 05-16-2018, 03:02 PM   #3
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Hello, from what you are saying if tick replay is enabled it is disregarded when using the orderflow tools ; is this the case for volumetric bars as well.

One aspect i am looking at is for example the ES and looking at the historical tick data accessed from the control panel. When i zoom into the ES today last -> tick -> and a specific time area i see of course multiple trades/ticks at same time even with the millisecond granularity.

What i am trying to assess is if there is a limitation to which tick goes into which bar ie say i have a 500 ES tick bar chart - once we get to tick 501 as per the help a new bar is added and this tick is allocated to the new bar with the volume associated with that tick. If there are multiple ticks at the same time is it random as to which goes into the next bar ; does tick replay come into this process or is it not possible for historical to handle this.

For realtime processing the ticks will be handled as they come in through the data feed.

I just want to be clear thus will not be possible to make comparisons to other tick charts on another system. One aspect i notice is that the delta for the bars will also be different as it is not known which tick and volume will be included in the bar just about to close and which goes into the new bar

does this make sense?

any clarity appreciated and i did look at the help section on tick replay and how bars are built and tick bars is shown as an example.

thanks
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Old 05-16-2018, 03:12 PM   #4
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What i am wondering in observing the historical data in milliseconds and with the volumetric bars which are set to tick charts is if ninja engine takes all the trades at the same timestamp and includes them in the bar where that timestamp initiated - ie for a 500 tick bar and we are at tick 499 if the next tick/trade has 10 ticks all with the same timestamp are they all included in this bar or is only the first off the stack used and then the next 9 at the same timestamp go into the new bar?

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Old 05-17-2018, 10:10 AM   #5
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I realise you are working through tickets submitted.

Also i understand orderflow+ is still in beta? and the cumulative delta

An observation today is looking at real time bars - those created after loading the chart.
I have a volumetric chart based on 500 ticks and below have the cumulative delta set to bar.

When i compare values for the cumulative delta close in many instances the value does not match that shown in the statistics for the volumetric bars based on 500 ticks.

What opened up this thread for me was that questioning the calculation of delta from the tick bars and comparing with the actual delta difference which in some cases seemed excessive especially for the ES.

I read and understand for historical the issue of shared timestamps is of issue not knowing which tick goes into which bar and thus the delta is actually not reliable in these instances?

But i am looking at realtime and wondering that the cumulative delta calculation which "reconstructs the bar from ticks vs the volumetric bars which have the statistics and build bar from real time ticks" (expression used by ninja support in related posting on incorrect values for delta) ... why these should be different - i would have thought/assumed that behind the scenes ninja would have ensured the the data process for the cumulative delta would match the volumetric - ie why do the calculation twice ? particularly for real time

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Old 05-17-2018, 01:33 PM   #6
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Hello explorer101,

Thanks for your patience. I will answer your questions here in the order they were posted.

If a 500 tick bar is on its 499th tick and multiple ticks with the same timestamp come in, the first tick of that stack will be selected for the 500th tick of the bar. The other ticks will be allocated to the next bar.

Volume bars can split one tick into many bars. When this issue happens, the volume is not evenly distributed between cumulative delta bars but instead all dumped into the first cumulative delta bar created by a single tick. All subsequent bars created from that tick would have no volume on cumulative delta.

The first tick from the incoming tick stack will be used to complete the 500 tick bar. The rest of the stack will be used to make the subsequent bars. This is not an issue for Tick based bars, the limitation described above affects only volume based bars in real time and historical.

Quote:
I read and understand for historical the issue of shared timestamps is of issue not knowing which tick goes into which bar and thus the delta is actually not reliable in these instances?
This is correct. The difference between Volumetric bars and the Cumulative delta building its bars is as follows:

Volumetric bars get their datums directly from the connection adapter, so the bars are built from the raw incoming data.

Cumulative delta bars are constructed after the NinjaTrader core has organized the data points according to the logic described in the "Understanding multi-series" section of the help guide. As it happens, Cumulative delta bars must construct themselves based on the organization of the data, they must "reconstruct" themselves based on the organized data from the NinjaTrader core.

https://ninjatrader.com/support/help...nstruments.htm - Multi Time Frame and Instruments section.

If I may answer any other questions please let me know.
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Old 05-18-2018, 11:02 AM   #7
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Hello, thanks for reply and i see that there will be a likely difference between historical volumetric statistics and delta info vs the cumulative delta.
However as i also indicated below there are differences also in the real time flow between the volumetric statistics and delta info vs the cumulative delta indicator.

In some instances it is a larger amount - in many cases it is off by 1 or 2 - this is indicative of it missing a tick and the volume for that tick. With ES 800 i see this - sometimes the volume for the trade is 1 and with ES it can be a larger block. Has this been noted already as i realise is in beta ?

As i mentioned before for historical one should not rely on the delta figures as the cumulative delta in general will NOT match the volumetric bar data for historical bars ?

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Old 05-18-2018, 11:18 AM   #8
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Hello explorer101,

Thanks for the reply.

The Cumulative Delta indicator will behave differently if you accumulate from historical data to real-time. In other words, if you apply it to your chart in the middle of a session and then it begins to calculate in real time, it will display ticks in a different bar than you expect because of the ordering of the ticks. If you apply it before the beginning of the session and it starts accumulating in real time at the beginning of the session it will display as expected.

Here is an example:

Primary Series: 3 Volume

Secondary Series: 1 Tick

Calculate: OnBarClose

State: Historical

Order of OnBarUpdate calls:

Primary → 10:00:00.050 → 3
Primary → 10:00:00.050 → 3
Secondary → 10:00:00.050 → 1
Secondary → 10:00:00.050 → 1
Secondary → 10:00:00.050 → 1

Secondary → 10:00:00.050 → 1
Secondary → 10:00:00.050 → 1
Secondary → 10:00:00.050 → 1


This forced tick ordering would not happen in real time; that is why running from real-time data from the beginning of the session will produce expected results.

Please let me know if you have any questions about this.
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Old 05-18-2018, 11:27 AM   #9
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Hello, yes i understand that - not sure if you misread my response - i am seeing differences in the real-time bars. I had to restart ninja earlier but i waited for some real time bars to elapse before checking again. There will always be a historical period when loading charts and starting ninja til the first real time bar - i get that - and this is in ETH mode even before RTH session.
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Old 05-18-2018, 12:13 PM   #10
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Hello explorer101,

Thanks for the reply.

For the Cumulative Delta Period setting, are you using Bar or Session cumulation? I tested the behavior on R13.1 by adding cumulative delta to the chart before the RTH session started with the instrument default session template. As expected, I was getting correct results from the cumulative delta on a session period. You are seeing a difference because NinjaTrader core does not know where to place the similar time-stamped ticks, so some of the ticks can be in a different bar.

Could you please provide more detail as to what issue you are seeing?

I look forward to your reply.
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Old 05-18-2018, 01:05 PM   #11
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Hello, currently i am looking at the Bar mode setting. And again i am only looking at real time bars that appeared after loading the chart. I am a bit confused with what you are saying and the context ; i am referring to the real time bars not the history. Are you now also saying that for real time bars for volumetric set to tick charts that similar timestamped ticks can be in a different bar ? I thought this was not an issue with real-time processing for both the volumetric and cumulative delta and they are received in order received from the data feed which is continuum. If you trying running this in bar mode and compare the delta close value with the volumetric statistic for the delta - they are not always the same ; even for realtime - albeit they are not significantly off.

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Old 05-18-2018, 01:23 PM   #12
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Hello explorer101,

Thanks for the reply.

I do see the discrepancy here on the current release. I tested the internal continuous build and this issue has been fixed.

Please stand by for future updates.
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Old 05-18-2018, 02:06 PM   #13
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OK thanks for checking - as i said i realise is in beta but didnt see other support tickets on this instance.
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