Tick data and Minute data out of sync

[waynewright33]

I'm testing a multi time frame strat. I've gathered my data from Kinetic by loading charts for the time frames I need.

This crap is infuriating... everytime I try to test something with NT there's always something F-ing up.

It's like one data set is back adjusted and the other isn't. Again, I loaded one chart with tick data, then closed it and loaded the next with minute. I've been doing this for almost a years worth of tick data.... I need to fix this.

[NinjaTrader_PatrickH]

Hello waynewright33,

Thank you for your post.

What instrument(s) are you testing? Any specific Minute or Tick? And please advise what Merge Policy you are using when testing these.

[waynewright33]

5 min, 1 tick

I've tried all the merge policies settings but I don't think that will matter seeing as the instrument is 6C ##-##

[NinjaTrader_PatrickH]

Hello waynewright33,

Thank you for your response.

Are you referring to the executions and/or the gaps?

[NinjaTrader_PatrickH]

Hello waynewright33,

If you are referring to the data/gaps please shut down NinjaTrader --> go to (My) Documents\NinjaTrader 7\db --> delete the 'cache' folder --> restart and test the chart again with your strategy.

[waynewright33]

I'm talking bout the fact that my orders aren't at the price on the charts!?!

I'm submitting to the tick series and the prices aren't even close .

[waynewright33]

Ok I'll try that.

[waynewright33]

Did not fix problem.

[Calonious]

Try deleting the data from both Minute and Tick folder in that same file location Patrick pointed out and the cache folder.

I've seen this issue before but only due to how the Merge policy is being used to back adjust the data.

My bet is that those "off" prices you are seeing are correct prices but for a different contract at that time. say 03-15 for the 6C

I.E.
ES 06-15 has an offset of say .75

Any data looking back at 03-15 may not be applying that offset correctly as needed thus giving the "off" fill prices

[waynewright33]

Thanks for the suggestion but I'm not about to do that. Deleteing those folders will delete all the data I've collected for the last year. Also, from what I understand the ##-## continuous contracts are supported directly from kinetick and do not contain individual contract date as you suggest.

Of course I could be wrong,

[NinjaTrader_Brandon]

Hello waynewright33,

Thanks for your reply.

The trades from your screen shot, were these plotted as historical strategy information or are the real time executions?

[waynewright33]

Those are from the chart tab of an optimization in strategy analyzer.

[NinjaTrader_Brandon]

Hello,

Thanks for your reply.

Can you replicate this with the SampleMACrossover strategy?
Is your strategy a multi instrument or muti time frame strategy?

[waynewright33]

First line of the thread.

I'm testing a multi time frame strat.

To save you time reading the thread the time series are 5 min and 1 tick. MAcrossover doesn't submit orders to a tick series.

For some reason my tick data is different than my minute data from almost a year ago, but not consistently... this is so frustrating.

Why can't there just be a service to download tick data a year back or more? Backtesting is useless without it. Paying 100 bucks a month for Kinetick... bout to drop that.

[waynewright33]

I've found the erroneous data by sorting the tick data by date modified, and can see right where a certain chunk of data loaded from a certain date is bad...

Could I have loaded that data without selecting "use back adjusted data" in my connection options for Kinetick? Maybe..... That's the most likely culprit here I suspect?