NT7 tick data buffering

[pstrusi]

I have the following situation for a question:

As you know, when markets are a little illiquid, sometimes can experience radical or abrupt price changes, easily in more than one of the instruments TickSize. So, imagine you have an Algo that works with tick data, I mean tick by tick, then suddenly, you receive a new tick that is actually, let's say, 10x the normal TickSize; so if you had an Algo that needs to process one TickSize change, what if:
- I set a "while Loop" to process all ticks between the abrupt change.....What would it happen with all new Tick data, is there any kind of buffer to wait when the While-Loop is finished?

I'm trying to test it, but I must be missing something.

Thanks

[NinjaTrader_ChelseaB]

Hello pstrusi,

Your logic would loop from the price of the last received tick price up to the price of the new tick incrementing by the TickSize?
I would suggest a for loop, but you could do this in your logic.
This wouldn't change the real-time or historical data, but you can change your calculations for every tick size increment between the tick prices..
Running the for loop (or while loop) would be thread blocking so everything would wait until your loop is complete.

[pstrusi]

Thank you ChelseaB for your suggestion and for confirming that the real-time tick data would be supported by some buffer, so I can set my loop and do all calculations before processing new real-time data.

Kind regards!