6.5 vs 7.0 Tick charts

[philli4093]

I wrote several systems that work on tick charts. I have not spent anytime working with NT7 until it went live not beta. I now have loaded my code into NT7 and it appears the tick data is different even though, I am using the same routines and same settings for time values on the charts.

I am using a 24 hr chart in both 6.5 and nt 7

I am using default 24/7 in nt7
and 12:00am 12:00 am in nt6.5

see attached charts and you will see the differences in the bars, although slight, it is enough to change the calculations

if you pay close attention around 10:05 bars u will see on one chart the bars are equal highs and the other its not, looking closer you will see additional different bars.

Both sets of data came from exact same zenfire account, and are histortical data which is loaded when I run nt.

Any thoughts on this. Only thing I can think is that the 12:00 - 12:00 in 6.5 is not the same as defualt 24/7 in nt 7 for time templates. I couldnt find more on this, any thoughts?

[NinjaTrader_Austin]

philli4093, can you please zoom in on the differences so we can get a better look at how the bars are be different?

[philli4093]

Here are 2 additional charts that are zoomed in on.
I also denoted on the 6.5 chart where some of the differences are in the bars.

It appears the close of the bars are different, and this would cause the takeprofit routine
to calc different as well.

Again I am using zen fire, this data was loaded sunday morning 12/5

let me know your thoughts. I am happy to help debug more..

both are 24hr charts

[NinjaTrader_Austin]

philli4093, does this occur on other instruments as well? Is the beginning of the chart set to the same date/time for both NT6.5 and NT7?

[philli4093]

I just set them both to 500 bar look back

I will double check and get back to you on your questions

[philli4093]

ok I checked the charts again

I set 6.5 to read 500 bars
and 7 to read 500 bars

6.5 has a start time on the bar of 7:30 and the bars are much higher
7.0 has a start time on the bar of 7:32:14

I've attached a pic that shows both charts.

So this explains why the bars are built different obviously, so it beckons the question
if I am looking back 500 bars in 7 and it's not going back as far, what ticks have been dropped in 6.5?

Any thoughts on this?

I am going to go back and change the look back to a fixed number of days, to see if this might make a difference and I'll post my results..

[philli4093]

I set the fomat data series settings to look back 5 days on es 12-1.

this time the starting bars are still different but 6.5 has 2 additional bars displayed before we get to the first bar of nt 7.

it seems as if the way data is sequenced is different in the 2 platforms.

I assume all is the same for minute charts and this just affects tick charts.

Are you able to see the same thing I am seeing on a 700 tick chart?

[NinjaTrader_JoshP]

philli4093,

What needs to be ensured is that you have the exact same data set on both versions of NT. Please export from one NT and import it into the other to ensure 100% identical data.

After that you will then need to ensure exact same start times based on NT7's session template and NT6.5's chart's session begin and end times. These need to be exactly the same. Your initial thoughts of 12:00 in 6.5 does not necessarily match NT7's "Default 24/7". NT7's "Default 24/7" is 12:00 - 12:00 based on being in the Eastern Time Zone. If your PC is not in Eastern time zone then it will be converted. For instance, if you are in Pacific, that 12:00 - 12:00 is actually really 9PM - 9PM while 6.5's 12:00 - 12:00 is truly 12:00 as of the local PC time clock.

[philli4093]

Josh,

Yea, I assumed this was the case, so here is the question.

If I want to show all bars from all market hours(sun-fri), in the past I set 12:00-12:00 in 6.5.
So I assumed default 24/7 would be the same in NT7. Thanks for the clarification about it changing the 12:00est-12:00est to 11:00cst-11:00cst.

So again if you look at the last charts I sent using 700 tick chart, if I ask for 700 ticks of 500 bars back, they should be the same because I am telling NT to load 24hr worth of bars correct? I will go and update my 6.5 to be 11:00-11:00 and see if that makes a difference.

[NinjaTrader_JoshP]

philli4093,

Now that we have that basis outlined there are further considerations to note. The first being does 500 bars back cross a session day? This is very important because if it does, then you will not see the same thing from 6.5 vs 7. Reason being, 7 "resets" the charts on every session break and does not "roll" data from prior sessions into the current one for building bars. This introduces consistency in viewing charts across multiple days while in 6.5 it was up in the air with a tick chart looking one way today and different tomorrow when the old data used to build it was kicked off the chart.

[philli4093]

I think that explains the difference.

I will play around a bit, but if each session break the bar counter is reset then yea that would through everything off as I am seeing.

Just FYI where is all this explained? I have reviewed the code breaking changes, but was unaware of this change in how data is processed, were these things posted anywhere?

[NinjaTrader_JoshP]

philli4093,

You can find more information on this here: http://www.ninjatrader.com/support/h.../bar_types.htm