Connection + Receiving data

[MasterSepp]

Hi

I got a really misterious problem. My broker is Interactive Brokers. Since I don't receive realtime data correctly for NT, I subscribed to a trial version of Zenfire. I've tested it now for more than a week. Everything went well - up to yesterday. There are still some issues with the trading system and realtime data, but this isn't my problem. It's normal, that I first have to reconnect to Zenfire after session close when I want to backtest my strategy (reloading data doesn't help, I really have to dis- and then reconnect...). This wouldn't be too bad. But yesterday the data was still wrong, even after several reconnections. I thought it was a temporal problem and waited for today. Now I connected again - still the same wrong data. Ok, no problem, so I check the connection with IB, where the historical data was ALWAYS right - up to now. Again, the data was wrong, although the chart in TWS showed the right data.
Can you tell me what the problem is? I have really no idea, especially because the data in IB's TWS is shown right, where it is displayed wrong in the System Analyzer of NinjaTrader...

Regards,

Sepp

[NinjaTrader_Kyle]

Hello Sepp,

Thank you for your post.

Sorry, I'm not sure that I follow.

The historical data of IB does not match with NinjaTrader when NT is connected to IB or Zen-Fire?

[MasterSepp]

Sorry, it was explained a bit unfocused.
The historical data of IB's TWS (which is correct) doesn't match with the data of NT neither while connected to Zenfire nor while connected to IB itself, which is very confusing, because it worked every single day for the last several months.

Regards,

Sepp

[NinjaTrader_Kyle]

Hi Sepp,

Thank you for your reply and the clarification.

What version of NinjaTrader are you running? (Help > About)

What version of TWS are you running? (Help > About Trader Workstation)

[MasterSepp]

I don't know exactly, but this is what stands in TWS:


Build 897.6, Aug 4, 2009 9:23:37 AM
Jolt Build 1.1.1, Apr 8, 2009 08:53:54 AM
Nia Build 1.5.0, May 29, 2009 06:01:31 PM
ModelNav Build 1.1.23, Jun 3, 2009 12:59:46 PM

Java Version: 1.6.0_13
OS: Windows XP (x86, 5.1)

NinjaTrader is version 6.5.1000.8

I can't think, that it is because of the version, because it worked up to 2 days ago (with already one wrong day, every other days were perfect) and I didn't change anything in the meantime.
Nevertheless hoping, this can help you.

Regards,

Sepp

[NinjaTrader_Kyle]

Hi Sepp,

Thank you for your reply.

Please take the following steps:

1.) Upgrade to the current version of NinjaTrader (6.5.1000.14) via the following link: http://www.ninjatrader.com/webnew/download_download.htm

2.) Next, upgrade your TWS installation to the currently supported version (898.4) via this link: http://www.ninjatrader-support2.com/...nstall_898.exe

3.) After installing these versions, repair the NinjaTrader database by clicking Tools > Options > Misc Tab > Repair DB.

After taking the above steps, reconnect then right click in a chart, select Reload Historical Data and let me know if the issue persists.

[MasterSepp]

Ok, now the data matches as long as I'm connected to IB. But when I connect to Zenfire, it still gets the old wrong data. How can I change this? I need Zenfire because Interactive Brokers doesn't offer tick-by-tick data and therefore I get wrong realtime data in my 5 min chart.

Regards,

Sepp

[NinjaTrader_Kyle]

Hi Sepp,

Thank you for your reply.

Unfortunately, data provided by different feeds will not match. This can be expected.
For more information, please see this link: http://www.ninjatrader-support.com/H...ChartBars.html

[MasterSepp]

This can't be, because I compared the data with the official data from the exchange. Interactive Brokers shows the same data, as well as Zenfire did up to 2 days ago. Now it suddenly changed and shows wrong data although I didn't do anything at all.

Regards,

Sepp

[NinjaTrader_Kyle]

Hi Sepp,

Thank you for your reply.

Unfortunately, this is the case.

From the Help Guide:

"Different data feeds produce different charts especially when using tick based intervals vs time based intervals. Market data vendors each employ various methods for tick filtering, throttling and time stamping. As a result, no data stream is 100% identical and thus can cause subtle differences in charts. Since NinjaTrader supports many of the leading brokerage and data feed technologies, its guaranteed that two traders using NinjaTrader on different data feeds will have minor differences when plotting the same market and time interval."

[MasterSepp]

But there has to be a data feed which provides the exact data which is shown on the exchange. Additionally, I find it very confusing, that IB displays in TWS the right realtime data, but in NT it doesn't match. And if there a data feed, which is "correct", can you tell me which it is?

Regards,

Sepp

By the way: why isn't it possible that a data feed can't show the correct, which means the normal, data feed? Is this because of the programming or what? Because I find it quite surprising, that it is hardly possible to get the exact data for trading with it...

[NinjaTrader_Kyle]

Hi Sepp,

Thank you for your reply.

1.) You had indicated previously that after taking the steps listed in post #6 that the IB and NinjaTrader data was back in line when NT was connected to IB. Is this not the case?

2.) NinjaTrader acts as a radio receiver in that it receives signals from your data provider and reports them back to you. If you believe the data itself is incorrect, you would need to contact the data provider.

[MasterSepp]

To 1.):

It is indeed, that the historical data works without problems. But when I'm connected to IB and run a strategy, the bars don't match with each other and I first have to reload the historical data in order to get the same chart in NT like in IB.

To 2.):

you say, NT acts as a radio receiver. But you also say, different data feeds can vary. But how can this be? I guess, all data feed vendors and brokers receive their data from the exchange, so it should be more or less the same, no matter which data feed I have. But this is not the case. So could you tell me a data feed, from which you know, that it displays the exact data from the exchange? I bet, you have more experience with this than me.

Additionally, I just don't understand why Zenfire changed from one day to another in providing the right data. Do you have an explanation for this? Since I didn't change anything in Zenfire, I guess it has to be an issue in NT, and that's why I was asking here.

Regards,

Sepp

[NinjaTrader_Kyle]

Hi Sepp,

Thank you for your reply.

1.) Without the strategy applied, do you see the same?

2.) Unfortunately, I do not have any recommendations on this matter. Perhaps another forum user could make a data recommendation?

I do not have any thoughts on why the Zen-Fire data is no longer in alignment with IB. You would need to contact Zen-Fire for more information about possible causes.

[MasterSepp]

To 1.):

yes it is still the same.

To 2.):

surprisingly, the data now seems to match. I'll observ it now again and will contact you again when the data doesn't match.

Regards,

Sepp