Connection + Receiving data

[NinjaTrader_Kyle]

Hi Sepp,

Thank you for your reply.

I am seeing the same on my 5 minute YM chart when using Zen-Fire data.
As such, we can be confident that this is the data that Zen-Fire is providing and there is not anything occurring specific to your machine which is skewing the results.

[MasterSepp]

Hi

good news: I still see hope for the IB connection. I connected now again NT with IB and observed the price in the price window on the "start page" of NT. Result: it changes immediately when the price in IB changes too. So there is practically no delay. Which has to say, that there shouldn't be any reason, why the chart still shows wrong data (before reloading data). I'm now trying to sync my computer clock manually as good as possible to the IB clock, but it is very tough and there will always be a offset of some milliseconds which could be a chart displayed 1 point too high or low in NT... I already asked at the IB support, but they don't have a clock, which I could sync my computer clock with... Do you know by accident anything I could do against this?

Regards,

Sepp

[NinjaTrader_Kyle]

Hi Sepp,

Thank you for your reply.

Unfortunately, I'm not sure that it would be possible to sync two PC clocks down to exact fractions of a second. Your best bet, likely, would be to find a piece of software that automatically syncs your PC clock on a scheduled basis.

[MasterSepp]

The problem is, that it seems, that the new bars don't get opened on exactely the same time. There are differences up to several seconds in TWS, which makes it impossible - even with synced clock - to get the right data... Zenfire did better, regarding that it "saved" the data, although the bar wasn't opened yet in NT.
Do you have any advice for me for this?

Regards,

Sepp

[NinjaTrader_Kyle]

Hi Sepp,

Thank you for your reply.

Making sure the PC's clock is in sync (as best as possible) is my only recommendation. Unfortunately, this will only serve to minimize the impact with your current data providers.

The only way to ensure that data always looks the same is if every connectivity provider sent ticks with time stamps AND that all vendors synchronized on time stamps and also your PC's clock was perfectly synced. Unfortunately, this is just not a reality nor plausible.

[MasterSepp]

So this would mean, that there is almost no one, who trades with NinjaTrader and the exact data? Just to make sure, that I'm not the only one.

Regards,

Sepp

[NinjaTrader_Kyle]

Hi Sepp,

Thank you for your reply.

This means only that differences between data from different providers can be expected and that since the live data is stamped on your local PC's clock close/open values may differ between live and historical data.

[MasterSepp]

Did you hear of that problems before from other sources? And yes, is there a data feed vendor, which wasn't claimed yet?

Regards,

Sepp

[NinjaTrader_Kyle]

Hi Sepp,

Thank you for your reply.

Yes, we have encountered this before.

Unfortunately, I do not understand your second question. Can you clarify?

[MasterSepp]

Sorry, for confusing you. After knowing the answer, I can specify it:

Is there any data feed vendor / broker you didn't have problems with yet?

Regards,

Sepp

[NinjaTrader_Kyle]

Hi Sepp,

Thank you for your reply.

Any provider that uses native timestamps on their live data (i.e.: data is timestamped at the servers) would not show this issue. The following providers offer native time stamping:

• BarChart
• eSignal
• DTN.IQ
• Zen-Fire

I am not sure which of these providers would match the exchange data exactly.

[MasterSepp]

I'm using now the data feed from Velocity Futures and everything works fine.
But I've got a problem regarding the realtime testing of my strategy. Although my profit target even got penetrated, the order sometimes doesn't get filled. I've set the fill algorithm to "Liberal". How can this be? Why didn't got my order filled? In backtesting there were no problems, only during live simulating.

Regards,

Sepp

[NinjaTrader_JoshP]

Sepp,

Profit Targets are limit orders. Limit orders are not guaranteed to fill.

[MasterSepp]

But why not? Penetrating a price means that every orders at this price got filled. Only then the price can get lower. Am I missing something?

Regards,

Sepp

[NinjaTrader_Ben]

Hello,

Sorry, jumping in here...

Not exactly. The "price" is just the last traded price in the market. Limit orders depend on how liquid the market is and whether your order was filled.

I suggest researching limit orders online for a full understanding, but in short limit orders fill at a certain price or better. However if the price just peeks above/below the limit price then goes back up/down and the market did not fill you yet (because of low liquidity in the market), your order will not fill.
Hope that helps...