MultiTimeSeries History question

[rt-trader]

Hi,

When loading tick history from multi time series into an indicator using
( Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Last ) I have noticed that on any Period type except Minute the volume total summed from Bars 1 is in many cases substantially different from Bars 0 total. Minute matches exactly.

Via Print I can see that the Bar 1 data loaded matches the Historical Data Manager records perfectly.

So, either I am using this incorrectly (possible), or there is an issue that I am unable to identify beyond that it is occurring.

Are there any known problems in this area?

If not I have a simple script which illustrates the problem - I can email this if required.

I am using b3.

Thanks

[NinjaTrader_JoshP]

Would be nice if you could just attach it here on the thread. Thank you.

[rt-trader]

Hi Josh,

I have emailed this to you - along with some additional explanation..

Thanks

[NinjaTrader_JoshP]

Thanks. I saw it and will get back to you some time tomorrow.

[NinjaTrader_JoshP]

rt-trader,

Here is the deal. You are checking timestamps assuming that once a timestamp is reached that signifies the end of the bar, but this is not the case for tick charts. Tick charts can have many bars of the exact same time stamp. This results in differences in which ticks you are actually adding. On time based charts it is fine to check against time. When you check against others you need to check with a logic style relative to that period type. (i.e. 100T charts, to compare volume, you should add 100T from the 1T series instead of checking time).