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Market replay wrong charts

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    Market replay wrong charts

    Dear Sirs,

    I have downloaded replay data for BUND from your servers and I have collected
    historical tick data having PatSystem as data provider.

    When I replay your tick data on a 150 TICK chart (image : wrong_replay.png) I see a chart different from
    the 150 tick chart built on patsystem using collected ticks (image right.png).
    (please compare charts after the opening gap)

    Can you please help me to understand this issue?

    TX
    GB
    NT 7.0.1000.5
    Attached Files
    Last edited by gbulle; 12-06-2011, 03:09 AM.

    #2
    Hello gbulle,

    Please note that Market Replay data is not recorded from the Patsystems data feed. You are comparing data from different sources, so you can experience difference in data. Please see the link below under 'Understanding the variables involved in building chart bars'.


    Discrepancies Between Different Data Feeds
    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, it is highly likely that two traders using NinjaTrader on different data feeds will have minor differences when plotting the same market and time interval.


    In addition, I recomend to install our latest version (7.0.1000.7). It contains fixes and enhancements compared to the old version. You can download and install the latest version from the link below on top of your current version. Make sure NinjaTrader is closed when you install the new version.
    JasonNinjaTrader Customer Service

    Comment


      #3
      Thank you for your answer.
      I agree with you if we are speaking of time based bars (1 minute, 5 minute bars etc).
      But I am speaking of TICK based charts where the first 150 ticks enter in one bar, then again other 150 ticks enter into a second bar etc.; in my opinion the sequence of the ticks (forget the time stamp) must be the same regardless the data provider and conseguently the time differences between adiacent bars must be almost equal and the graphs' shapes must be the same.
      Am I wrong?
      Regards
      GB

      Comment


        #4
        Unfortunately this is not the case. Data feed providers each use different methods to filter ticks. I am not sure what method Patsystems uses, however it differs from the data feed that is used to record Market Replay data which you can download.
        JasonNinjaTrader Customer Service

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