Difference between tick, range versus min bars

[NinjaTrader_AdamP]

michi,

1 second is the smallest resolution for all intervals, including time stamps in the historical data manager. NT does not have a clock, but uses frequently your computer date/time. Syncing your computer clock with the built in Windows utility is a good way to get it as accurate as possible and IB likely uses a heavier duty version of this. There's no way in NinjaTrader to poll IB's time. Best is to ask them if they have any approaches for this.

We are currently tracking a suggestion to offer millisecond resolution. This suggestion is assigned ID # 1126. Thank you for the feedback.

Please let us know if you require additional assistance.

[michi08]

michi08,

Ok, my colleagues and I tested this. We only support the real time IB connection as they don't even offer historical tick data. If you check your "orders" tab and select the AUDUSD, you will see accurate Last data is coming in. Using the historical data manager doesn't really lend itself well for comparisons of tick data because you are losing some intra-bar granularity. It will only be accurate for historical data that IB offers, which is minute or higher.

1. IB does not offer historical data, yes, thats why I record them.
2. Last data comes in correct, yes, but NT does not record it properly (see screen shots and yes tick data are not 100% but difference of 30 ticks?) see screen shot, there are absolut different to the Bid and Ask data
3. I have only 1 issue and not 2. I think that (my) NT does not save or calculate the Last data correctly and for that reason the chart looks not alright, with Bid and Ask data the chart looks alright.
4. I have upgraded NT to 7.0.1000.8 and it is the same. I have to say that I only upgraded it and that I had a lot of problem in other times, normaly I do install NT from 0.

But you know what drives me crazy about everything, why the he!! I have only problem with AUSUSD and USDCHF and all other instruments are alright??????

[NinjaTrader_AdamP]

michi08,

Ok, my colleagues and I tested this. We only support the real time IB connection as they don't even offer historical tick data. If you check your "orders" tab and select the AUDUSD, you will see accurate Last data is coming in. Using the historical data manager doesn't really lend itself well for comparisons of tick data because you are losing some intra-bar granularity. It will only be accurate for historical data that IB offers, which is minute or higher.

If you need tick data for testing such as in Market Replay, I would suggest getting it through the File > Utilities > Download Replay Data.

In conclusion, I would read my former post, as well as upgrade to NT 7.0.1000.8.

[NinjaTrader_AdamP]

michi08,

As far as your first issue, I think I misuderstood what it is your issue actually was. Tick charts and minute charts wont match up exactly because there are a variable number of ticks per minute. Tick charts are time independent whereas minute charts are time dependant. The bars won't match up or overlay necessarily. This is an answer to post #5.

From post #7, I can see that the chart is changing however am unable to replicate. I have 1 chart open with 50 tick on the AUDUSD so I keep receiving tick data. Then, I open a second chart with 50 tick AUDUSD, and add a 1 minute time series to it. After this, I change to EURUSD and back to AUDUSD and see the same thing as before.

Please also keep in mind I am using NinjaTrader 7.0.1000.8, and you are using .7 so this may explain why I am not getting these results. I would suggest upgrading.

The second issue you noticed is that the last tick data is not correct. I am currently trying to find out why this may be.

[michi08]

michi,

As far as your chart issue, keep in mind when you switch instruments on the chart, and don't have a chart open for that instrument it will stop recording tick data. Please try to keep two charts open with the same instrument, and switch one of them between instruments and see if it replicates the issue. Please let your tick data build up for awhile before attempting.

Thats what I do. In the backround are always a chart with the 4 instruments wich I'm trading, open to record historical data.

[NinjaTrader_AdamP]

michi,

As far as your chart issue, keep in mind when you switch instruments on the chart, and don't have a chart open for that instrument it will stop recording tick data. Please try to keep two charts open with the same instrument, and switch one of them between instruments and see if it replicates the issue. Please let your tick data build up for awhile before attempting.

As far as your second issue with last tick data, I am still looking into it.

[michi08]

The issue with the IB tick data (0.2-0.3 second snapshots) I knew, but I think thats not the problem.

Like I wrote in Post 15, I think the issue are by NT. Take a look at the screen shots.

"Last" tick data, there we have 0.9950 (wrong)
"Bid" tick data, there we have 0.9929 (ok)
"Ask" tick data, there we have 0.9930 (ok)

When I change the Data Series in the chart from "Last" to "Bid" or "Ask" the problem are gone.

As far as replication steps, for now I understand when you have a chart open and are receiving tick data from IB with "save chart data as historical" enabled, then when you switch to a different instrument and back its causes your issue. Is there anything else you are doing?

Thats excatly what I'm doing and nothing else.

What version of NinjaTrader do you have? What version of TWS do you have?

I would recommend using the latest version of NinjaTrader, and ensuring that you have the supported version of TWS which is 917.

I'm using TWS 917.8 and NT 7.0.1000.7 (Right now I'm preparing me to upgrade NT)

[NinjaTrader_AdamP]

dvercher,

From a colleague of mine : "Tick data from IB is not real tick data, its only a market snap-shot of multiple trades". I also found the following "IB TWS streaming data are NOT tick-by-tick, but rather 0.2-0.3 second snapshots".

Here is a forum thread on this : http://www.ninjatrader.com/support/f...ad.php?t=32712

As far as replication steps, for now I understand when you have a chart open and are receiving tick data from IB with "save chart data as historical" enabled, then when you switch to a different instrument and back its causes your issue. Is there anything else you are doing? What version of NinjaTrader do you have? What version of TWS do you have?

I would recommend using the latest version of NinjaTrader, and ensuring that you have the supported version of TWS which is 917.

[michi08]

I'm searching for something in the NT Historical Data and found out that the "Last" tick data are not right. "Bid" and "Ask" data are right.
Maybe thats helping you.


"I am trying to replicate your charting issue by getting and saving tick data for IB. So far the tick data looks fine, however if you have some steps you can do to replicate your charting issue it would be immensely helpful in getting a resolution on this."

What excatly you need to know?

Edit: In the Data Series I changed now the "Price based on" from Last to Bid and now I have finaly a great looking chart. Question now: Whats going on with the "Last" data recording?

[NinjaTrader_AdamP]

Michi,

NT does use IB's same tick data for recording and for charting or not?

Yes. However you will run into volume-spike issues as I mentioned using IB. This will affect tick charts as well, so you will have some data that isn't correct. This is something we have no control over as I mentioned. IB is aware of this issue and we are working with them closely on resolutions.

I am trying to replicate your charting issue by getting and saving tick data for IB. So far the tick data looks fine, however if you have some steps you can do to replicate your charting issue it would be immensely helpful in getting a resolution on this.

[michi08]

In this 2 screen shots

1. Historical tick data FALSE, chart ok
2. Historical minute date ok, chart ok

NT does use IB's same tick data for recording and for charting or not?


Edit: I use NT 7.0.1000.7

[NinjaTrader_AdamP]

Michi,

Im running tests on IB right now with Tick data incoming. If you can post all information step-by-step to reproduce this issue it would be helpful in resolving your issue.

Also, what is your version of NT? You can check in help > About.

[michi08]

I took a look at the historical data under:
Historical Data Manager - Edit - AUDUSD - Last - Tick - Today
and I found out that the data there are not the same like in the chart??

But NT does record data from the chart? I don't get it

[michi08]

Now I do not understand that.

1. IB does not give historical TICK data
2. NT does save historical data. Under: Options - Data - "Save chart data as historical"
3. We can se in the chart that IB send NT good tick data.

When I reload historical tick data, that means that NT reload the historical tick data that NT saved!?

And why I have only problem with AUSUSD and USDCHF?

thanks
michael

[NinjaTrader_AdamP]

michi,

This is partially an issue with the TWS API that NinjaTrader connects to as I have explained in my prior post, as well as the fact that many brokers do not report live volume/ticks for any number of "non-last qualifying" trades. When you reload historical data, the broker will then report this information. "non last-qualifying" trades are trades such as :

a = acquisition

b = bunched trade - average price

c = cash trade

d = distribution

e = automatic execution

f = intermarket sweep

g = bunched sold trade - opening/reopening trade detail

h = intraday trade detail

i = basket index on close transaction

j = rule 127 trade

k = rule 155 trade

l = sold last

n= next day

o = opened

p = prior reference price

r = seller

s = split trade

t = form t trade - pre/post market trade

u = extended hours trade - reported late or out of sequence

w = average price trade

y = yellow flagged regular trade

z = sold - out of sequence

Please let me know if I may assist further.