Historical Tick Data Limitation on Multiple Timeframes

[simmen]

I'm attempting to develop a multi-timeframe indicator that's based on Tick data. I have the following code in my Initialize routine

Add(PeriodType.Tick, 1);

In OnBarUpdate I'm checking for BarsInProgress == 1 and performing calculations on the tick data.

The issue I'm having is my indicator is only loading a few hundred ticks even though I have a full day's worth of 5 minute data on the chart. Is there a limitation on the number of ticks ninjatrader will load? I've even tried setting Maximum bars look back = Infinite.

[NinjaTrader_Bertrand]

Welcome here to our forums simmen: there's no NT imposed tick limitation at play here - what data provider are you working with? Are you able to create a longer lookback tick chart manually that populates as you wish?

The # of bars loaded for the added series would depend on the primary series on your chart that the indicator is then loaded on, once the BarsRequired is fulfilled for all series the OnBarUpdate() would be started to get called in the script.

[simmen]

I'm using eSignal and I am able to load over a full day's worth of tick data. It seems the OnBarUpdate method is being called for the 5 minute bar first and for the tick data second. I've placed a print method in the OnBarUpdate routine and I receive the following.

5 Min: 1296.25
5 Min: 1295.5
5 Min: 1295.5
5 Min: 1294.25
5 Min: 1294.75
5 Min: 1294.75
5 Min: 1295.25
5 Min: 1295
5 Min: 1294.5
5 Min: 1294.5
5 Min: 1295
5 Min: 1294.75
5 Min: 1294.25
5 Min: 1294.25
5 Min: 1294
5 Min: 1294.5
5 Min: 1294
5 Min: 1295
5 Min: 1294.75
5 Min: 1295.75
5 Min: 1296
5 Min: 1297
5 Min: 1297.25
5 Min: 1296.5
5 Min: 1297.25
5 Min: 1298
5 Min: 1297.5
5 Min: 1298
5 Min: 1297.5
5 Min: 1297.75
5 Min: 1299.75
5 Min: 1300
5 Min: 1300.75
5 Min: 1300.5
5 Min: 1301
5 Min: 1300.25
5 Min: 1298.75
5 Min: 1299.75
5 Min: 1302.75
5 Min: 1302
5 Min: 1301.75
5 Min: 1302.25
5 Min: 1300.75
5 Min: 1299.5
5 Min: 1300
5 Min: 1299.75
5 Min: 1301
5 Min: 1300.25
5 Min: 1301.5
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1300.75
1 Tick: 1301.25
1 Tick: 1301.25
1 Tick: 1301.25
1 Tick: 1300.75
1 Tick: 1301
1 Tick: 1300.75
1 Tick: 1301.25
1 Tick: 1301.5
1 Tick: 1301.5
1 Tick: 1301.5
1 Tick: 1301.5
1 Tick: 1301.5
1 Tick: 1301.25
1 Tick: 1301.25
1 Tick: 1301.5
1 Tick: 1301.5
1 Tick: 1301.25
1 Tick: 1301.25
1 Tick: 1301.25
1 Tick: 1301.25
1 Tick: 1301.25
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1300.75
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301
1 Tick: 1301

Notice that all the tick data comes from the last bar. Then my Plot method outputs the tick volume values aggregated by the OnBarUpdate method.

1300.75 = 13
1301 = 130
1301.25 = 50
1301.5 = 26

I have CalculateOnBarClose = true;

[simmen]

I figured it out. I had BarsToLoad = 50 and I didn't realize this applies to both series. You'd think the Tick data would load for all 5 minute bars on the chart, but this is not the case.

[NinjaTrader_Bertrand]

Glad to hear you got it figured out - correct BarsToLoad would apply to each series.