OnBarUpdate() not updating at specified intervals

[Idruna]

I`m trying to track down a large discrepancy between my live performance today vs performance estimated when back testing the same day. My strategy is printing a debug statement every OnBarUpdate(). QLD is set to run every second, GLD every 2 seconds. Note the gaps, looking at the whole trace OnBarUpdate() is being called every 1-4 seconds rather than every second.

QLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:05:47 AM 37.11
QLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:05:49 AM 37.1
QLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:05:50 AM 37.09
QLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:05:51 AM 37.09
GLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:05:49 AM 87.61
GLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:05:52 AM 87.6
QLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:05:52 AM 37.12
QLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:05:55 AM 37.13
QLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:05:56 AM 37.13
QLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:05:57 AM 37.13
QLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:05:58 AM 37.14
GLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:05:54 AM 87.6
QLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:05:59 AM 37.16
GLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:05:59 AM 87.62
QLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:06:00 AM 37.14
QLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:06:04 AM 37.14
GLD Default OnBarUpdate, CurrentBar: 10/9/2008 9:06:02 AM 87.63

Does this mean I`m not receiving market data every second?
If the strategy calculates a 20 period moving average, is the data used by the moving average going to be that of the previous 20 seconds, or of the previous 20 data samples received, which will be more than 20 seconds if the data samples aren't arriving every second?

I`m connected via IB (live, not paper trade account), with Barchart for historical data. I`m open to recomendations on other connections.

[NinjaTrader_JoshP]

OnBarUpdate() triggers every single time there is a new market data event. It is not based on time. When a tick comes in it will trigger. If there are no ticks for 15 seconds there will be no event for 15 seconds.

All indicators are calculated based on bars. A 20 period means 20 bars. There is no direct correlation between period and time.

A list of our supported data providers can be found here: http://www.ninjatrader-support.com/H...HistoricalData

[Idruna]

Thank you for clarifying that. I bought up a tick chart on the machine that was collecting ticks from IB, and on a machine connected to Barchart, and there were indeed no ticks for 4 seconds at 09:06. I did however notice big differences between the data, especially the last few minutes near the close.

Is there a way to use the Barchart feed for real time quotes rather than IB?

[NinjaTrader_JoshP]

Hi Idruna,

Connect to BarChart first then connect to IB.

[Idruna]

Cool, thanks. I`ll also play with NT's tick filter.