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    #1

    Tick Replay

    Not sure what is happening here, but with Tick Replay set on a CL chart yesterday and reloaded, I get the following data passed to the OnMarketData(): I don't know why there are so many digits after the decimal point.

    Code:
     Arg: instrument='CL 06-15 Nymex' type=Last price=60.1699999999996 volume=1 time=5/13/2015 4:42:33 PM bid=60.1399999999996 ask=60.1699999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1699999999996 volume=1 time=5/13/2015 4:42:33 PM bid=60.1399999999996 ask=60.1699999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1699999999996 volume=1 time=5/13/2015 4:42:33 PM bid=60.1399999999996 ask=60.1699999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1699999999996 volume=1 time=5/13/2015 4:42:33 PM bid=60.1399999999996 ask=60.1699999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1399999999996 volume=1 time=5/13/2015 4:42:44 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1399999999996 volume=1 time=5/13/2015 4:42:44 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1399999999996 volume=1 time=5/13/2015 4:43:06 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1399999999996 volume=1 time=5/13/2015 4:43:06 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1399999999996 volume=1 time=5/13/2015 4:43:06 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1399999999996 volume=1 time=5/13/2015 4:43:06 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1399999999996 volume=1 time=5/13/2015 4:43:06 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1499999999996 ask=60.1599999999995 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1499999999996 ask=60.1599999999995 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1499999999996 ask=60.1599999999995 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1499999999996 ask=60.1599999999995 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1499999999996 ask=60.1599999999995 isReset=False
    Here is a code fragment of what generated the above:
    Code:
     [COLOR=#0000ff]public[/COLOR] [COLOR=#0000ff]void[/COLOR] [COLOR=#080808]ProcessDataEvent[/COLOR]([COLOR=#080808]MarketDataEventArgs[/COLOR] [COLOR=#080808]e[/COLOR], [COLOR=#0000ff]int[/COLOR] [COLOR=#080808]l_CurrentBar[/COLOR],[COLOR=#080808]State[/COLOR] [COLOR=#080808]s[/COLOR])
 {
 [COLOR=#006400]if (s==State.Historical)[/COLOR]
[COLOR=#006400]Print("Arg: "+e.ToString());[/COLOR]
 [COLOR=#006400]}[/COLOR]
    This is called in my OnMarketData() passing the Event & "State" from the indicator.
    Last edited by NJA_MC; 05-14-2015, 11:05 AM.
    Tags: None
    #2
    Originally posted by NJA_MC View Post
    Not sure what is happening here, but with Tick Replay set on a CL chart yesterday and reloaded, I get the following data passed to the OnMarketData(): I don't know why there are so many digits after the decimal point.

    Code:
     Arg: instrument='CL 06-15 Nymex' type=Last price=60.1699999999996 volume=1 time=5/13/2015 4:42:33 PM bid=60.1399999999996 ask=60.1699999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1699999999996 volume=1 time=5/13/2015 4:42:33 PM bid=60.1399999999996 ask=60.1699999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1699999999996 volume=1 time=5/13/2015 4:42:33 PM bid=60.1399999999996 ask=60.1699999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1699999999996 volume=1 time=5/13/2015 4:42:33 PM bid=60.1399999999996 ask=60.1699999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1399999999996 volume=1 time=5/13/2015 4:42:44 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1399999999996 volume=1 time=5/13/2015 4:42:44 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1399999999996 volume=1 time=5/13/2015 4:43:06 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1399999999996 volume=1 time=5/13/2015 4:43:06 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1399999999996 volume=1 time=5/13/2015 4:43:06 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1399999999996 volume=1 time=5/13/2015 4:43:06 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1399999999996 volume=1 time=5/13/2015 4:43:06 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1399999999996 ask=60.1499999999996 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1499999999996 ask=60.1599999999995 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1499999999996 ask=60.1599999999995 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1499999999996 ask=60.1599999999995 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1499999999996 ask=60.1599999999995 isReset=False
Arg: instrument='CL 06-15 Nymex' type=Last price=60.1499999999996 volume=1 time=5/13/2015 4:43:07 PM bid=60.1499999999996 ask=60.1599999999995 isReset=False
    Here is a code fragment of what generated the above:
    Code:
     [COLOR=#0000ff]public[/COLOR] [COLOR=#0000ff]void[/COLOR] [COLOR=#080808]ProcessDataEvent[/COLOR]([COLOR=#080808]MarketDataEventArgs[/COLOR] [COLOR=#080808]e[/COLOR], [COLOR=#0000ff]int[/COLOR] [COLOR=#080808]l_CurrentBar[/COLOR],[COLOR=#080808]State[/COLOR] [COLOR=#080808]s[/COLOR])
 {
 [COLOR=#006400]if (s==State.Historical)
[/COLOR][COLOR=#006400]Print("Arg: "+e.ToString());[/COLOR]
 [COLOR=#006400]}
 [/COLOR]
    This is called in my OnMarketData() passing the Event & "Sate" from the indicator.
    Looks like standard CPU floating point storage/rounding problems, which would mean that NT is returning what it stores rather than what it gets?

    Are you using an AMD CPU by any chance? I vaguely recollect that I have seen such cases before on an AMD CPU when the Intel CPU did not show the same issue. Incidentally, I still have a preference for AMD, so I often find myself automatically rounding all Prices to TickSize before I process them.

    Comment

      #3
      Originally posted by koganam View Post
      Looks like standard CPU floating point storage/rounding problems, which would mean that NT is returning what it stores rather than what it gets?

      Are you using an AMD CPU by any chance? I vaguely recollect that I have seen such cases before on an AMD CPU when the Intel CPU did not show the same issue. Incidentally, I still have a preference for AMD, so I often find myself automatically rounding all Prices to TickSize before I process them.
      Thanks,

      Nope, it is an Intel processor. Rounding is very CPU intensive for 100K+ transactions that are trying to be processed ASAP. I would be great if we didn't need to do that for the Historical data download.

      Comment

        #4
        Where did you obtain your tick data from? Is this reproducible on other instruments?

        Was this data migrated from NT7, or did you download directly from your provider?
        MatthewNinjaTrader Product Management

        Comment

          #5
          Originally posted by NinjaTrader_Matthew View Post
          Where did you obtain your tick data from? Is this reproducible on other instruments?

          Was this data migrated from NT7, or did you download directly from your provider?
          Sorry,

          This is the chart "Tick Replay", not sure where the data came from but assumed it was obtained through NTBrokerage.

          It is certainly reproducible on the CL 06-15, but check it again with the ES 06-15. It doesn't seem to do it on the ES.

          Arg: instrument='ES 06-15 Globex' type=Last price=2105 volume=10 time=5/14/2015 4:51:43 AM bid=2105 ask=2105.25 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2105 volume=10 time=5/14/2015 4:51:43 AM bid=2105 ask=2105.25 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2105 volume=1 time=5/14/2015 4:51:44 AM bid=2105 ask=2105.25 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2105 volume=1 time=5/14/2015 4:51:44 AM bid=2105 ask=2105.25 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2105 volume=59 time=5/14/2015 4:51:49 AM bid=2105 ask=2105.25 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2105 volume=59 time=5/14/2015 4:51:49 AM bid=2105 ask=2105.25 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2105 volume=2 time=5/14/2015 4:51:52 AM bid=2104.75 ask=2105 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2105 volume=2 time=5/14/2015 4:51:52 AM bid=2104.75 ask=2105 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2105 volume=1 time=5/14/2015 4:51:52 AM bid=2104.75 ask=2105 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2105 volume=1 time=5/14/2015 4:51:52 AM bid=2104.75 ask=2105 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2105 volume=5 time=5/14/2015 4:51:52 AM bid=2104.75 ask=2105 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2105 volume=5 time=5/14/2015 4:51:52 AM bid=2104.75 ask=2105 isReset=False
          Arg: instrument='CL 06-15 Nymex' type=Last price=60.9999999999992 volume=1 time=5/13/2015 11:20:37 AM bid=60.9999999999992 ask=61.0099999999992 isReset=False
          Arg: instrument='CL 06-15 Nymex' type=Last price=60.9999999999992 volume=1 time=5/13/2015 11:20:37 AM bid=60.9999999999992 ask=61.0099999999992 isReset=False
          Arg: instrument='CL 06-15 Nymex' type=Last price=61.0099999999992 volume=2 time=5/13/2015 11:20:37 AM bid=60.9999999999992 ask=61.0099999999992 isReset=False
          Arg: instrument='CL 06-15 Nymex' type=Last price=61.0099999999992 volume=2 time=5/13/2015 11:20:37 AM bid=60.9999999999992 ask=61.0099999999992 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.5 volume=1 time=5/13/2015 6:01:51 PM bid=2096.5 ask=2096.75 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.5 volume=1 time=5/13/2015 6:01:51 PM bid=2096.5 ask=2096.75 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.5 volume=8 time=5/13/2015 6:01:52 PM bid=2096.5 ask=2096.75 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.5 volume=8 time=5/13/2015 6:01:52 PM bid=2096.5 ask=2096.75 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.75 volume=1 time=5/13/2015 6:01:54 PM bid=2096.5 ask=2096.75 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.75 volume=1 time=5/13/2015 6:01:54 PM bid=2096.5 ask=2096.75 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.75 volume=9 time=5/13/2015 6:01:56 PM bid=2096.5 ask=2096.75 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.75 volume=9 time=5/13/2015 6:01:56 PM bid=2096.5 ask=2096.75 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.75 volume=2 time=5/13/2015 6:01:57 PM bid=2096.5 ask=2096.75 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.75 volume=2 time=5/13/2015 6:01:57 PM bid=2096.5 ask=2096.75 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.75 volume=1 time=5/13/2015 6:01:57 PM bid=2096.75 ask=2097 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.75 volume=1 time=5/13/2015 6:01:57 PM bid=2096.75 ask=2097 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.75 volume=1 time=5/13/2015 6:01:57 PM bid=2096.75 ask=2097 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.75 volume=1 time=5/13/2015 6:01:57 PM bid=2096.75 ask=2097 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.75 volume=1 time=5/13/2015 6:01:58 PM bid=2096.75 ask=2097 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.75 volume=1 time=5/13/2015 6:01:58 PM bid=2096.75 ask=2097 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.75 volume=2 time=5/13/2015 6:01:58 PM bid=2096.75 ask=2097 isReset=False
          Arg: instrument='ES 06-15 Globex' type=Last price=2096.75 volume=2 time=5/13/2015 6:01:58 PM bid=2096.75 ask=2097 isReset=False

          Comment

            #6
            Thanks, I can reproduce - seems to have something to do with tick sizes which are 0.01

            This issue is tracked using ID #8272
            MatthewNinjaTrader Product Management

            Comment

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