why CL 12/10 chart has big gap compared with IB TWS

[snowbig]

Hi, experts

I am using NT to connect IB TWS. I found if I tried to show CL12/10 chart there is a big difference with IB TWS. I attached a snapshot for your reference.

could anyone share some experiences on this?

[NinjaTrader_ChristopherJ]

Hello,

Thank you for your post.


This is because the CL 09-12 contract is not scheduled to rollover until 8/20/2012. If you would like to view the CL 10-12 contract prior to rollover please use the steps I have provided below to change the rollover date manually:

• Tools
• Instrument Manager
• Select CL
• Edit
• Misc tab
• Scroll to the bottom and left mouse click on the ... box next to 52 contract months defined
• Select 10-12
• Change the Rollover date to 8/7/2012
• Click Ok
• Right mouse click wiithin your chart and select "Reload all historical data"

Please let me know if I may be of further assistance.

[snowbig]

thanks for your quick reply.

I have followed your instructions and seems the big gap is disppear.

but I still have two questions:
1) there are still some trivial difference, such as the high/low prices in the same time slot is difference. please see my 2nd pic.
2) I know the rollover value of each contract is meaningful, but why don't we provide a better chart for user? forcing user to manually update this field does not make sense.

[NinjaTrader_ChristopherJ]

1. When connected to IB there is a X millisecond update therefore you may see different data real time due to the update interval within NinjaTrader however this updated interval is not seen within TWS charts.

The IB charts use a special function that also includes the high and low data and NinjaTrader relies on the pure live data stream.

I have submitted your request the NT do this into development team as a suggestion on how we can improve the NinjaTrader platform and has been assigned ID #1822 for tracking.

The only workaround is to connect to a data provider updates real time. If you are looking for a data provider only for real time and historical data I recommend using Kinetick: (Our Preferred Data Feed Service Built Specifically for NinjaTrader 7) which provides historical Tick, Minute and Daily data for Equities, Futures and Forex.
www.kinetick.com


2. The rollover date is usually the same outlined by the Exchange however with this specific rollover there was an issue with the date used therefore it needed to be changed manually.

[Harry]

thanks for your quick reply.

I have followed your instructions and seems the big gap is disppear.

but I still have two questions:
1) there are still some trivial difference, such as the high/low prices in the same time slot is difference. please see my 2nd pic.
2) I know the rollover value of each contract is meaningful, but why don't we provide a better chart for user? forcing user to manually update this field does not make sense.

You are comparing apples with tomatoes.

The price displayed by your NinjaTrader chart is based on transactions. Your Interactive Brokers chart uses the midpoint between the current best bid and the current best ask. If no transaction takes place this is just fantasy data.

Please deactivate the "MidPoint" setting under chart properties in TWS.

The midpoint setting is only required for IdealPro FOREX data. If you open a FOREX chart "MidPoint" will automatically be activated. If afterwards you open a futures chart, the "MidPoint" setting will be maintained, although it is useless.

Charts attached for comparison, the values displayed are identical.

[snowbig]

You are comparing apples with tomatoes.

The price displayed by your NinjaTrader chart is based on transactions. Your Interactive Brokers chart uses the midpoint between the current best bid and the current best ask. If no transaction takes place this is just fantasy data.

Please deactivate the "MidPoint" setting under chart properties in TWS.

The midpoint setting is only required for IdealPro FOREX data. If you open a FOREX chart "MidPoint" will automatically be activated. If afterwards you open a futures chart, the "MidPoint" setting will be maintained, although it is useless.

Charts attached for comparison, the values displayed are identical.

sorry, I couldn't catch what you mean. I have checked my "chart parameter" setting in TWS, it's using "trades" rather than "Midpoint" as the value of "what to show" option.

even if it's set as MidPoint, the High/Low/Open/Close price of a historical bar should be identical between TWS and NT? right?

if they are different and I make a order according to NT's chart. it may be not filled at TWS as the price is not existing at all. so I am very confused on this.

Does my concern make sense?

[snowbig]

1. When connected to IB there is a X millisecond update therefore you may see different data real time due to the update interval within NinjaTrader however this updated interval is not seen within TWS charts.

The IB charts use a special function that also includes the high and low data and NinjaTrader relies on the pure live data stream.

I have submitted your request the NT do this into development team as a suggestion on how we can improve the NinjaTrader platform and has been assigned ID #1822 for tracking.

The only workaround is to connect to a data provider updates real time. If you are looking for a data provider only for real time and historical data I recommend using Kinetick: (Our Preferred Data Feed Service Built Specifically for NinjaTrader 7) which provides historical Tick, Minute and Daily data for Equities, Futures and Forex.
www.kinetick.com


2. The rollover date is usually the same outlined by the Exchange however with this specific rollover there was an issue with the date used therefore it needed to be changed manually.

what I mean is not about real-time price, I could understand that the real-time price between TWS and NT may have x-milliseconds delay. but the historical price shouldn't. right? the pic I attached is showing the historical bar in TWS and NT is different. it may impact our strategy which depends on histroical data.

[Harry]

sorry, I couldn't catch what you mean. I have checked my "chart parameter" setting in TWS, it's using "trades" rather than "Midpoint" as the value of "what to show" option.

Your screenshot below clearly shows Midpoint values. It even reads "Midpoint".

even if it's set as MidPoint, the High/Low/Open/Close price of a historical bar should be identical between TWS and NT? right?

No. The highest trade price typically prints at the ask and not at the midpoint, the lowest may print at the bid.

if they are different and I make a order according to NT's chart. it may be not filled at TWS as the price is not existing at all. so I am very confused on this.

The chart shows the last price at which the security was traded. If you want to know the current ask and the current bid, you would need to use the DOM. There are also free indicators available - for example jtRealStats - that display the current state of the order book on your chart.

Does my concern make sense?

I have never met a trader who uses midpoint charts.

[NinjaTrader_ChristopherJ]

what I mean is not about real-time price, I could understand that the real-time price between TWS and NT may have x-milliseconds delay. but the historical price shouldn't. right? the pic I attached is showing the historical bar in TWS and NT is different. it may impact our strategy which depends on histroical data.

That is correct this will only come into play with real time data. To have historical data match within both NinjaTrader and TWS please set your IB chart to be based off "Trades" as opposed to "Midpoint".

Please let me know if the issue persists after applying this setting.

[snowbig]

Hi, Harry

sorry, the 2nd pic I attached was a wrong chart. Here is the right one in which I set TWS chart parameter to use "trade" as "what to show".

[snowbig]

I have attached a latest snaphot at below, please have a look. I used pen to highlight the difference.
I have set the IB TWS chart to show "trades" rather than "midpoint".

[Harry]

Hi, Harry

sorry, the 2nd pic I attached was a wrong chart. Here is the right one in which I set TWS chart parameter to use "trade" as "what to show".

But for these charts the differences are smaller. Unfortunately, the datafeed supplied by Interactive Brokers is not a professional grade datafeed. You will notice

-> a considerable difference between real-time ticks supplied by IB and their historical backfill
-> that the real-time data feed comes without timestamps

The differences that you have detected on your charts can only be experienced with real-time datafeed, not with historical backfill. This is what may explain the difference:

(1) NinjaTrader gets the real-time data feed from IB and adds a timestamp. The timestamp is added by using your system time. Depending on your geographical location and the accuracy of your system clock that timestamp can be off the correct time between several 100 msec and a second. This can easily make up for a few ticks for each of open, high, low and close of bar.

(2) The historical back fill from IB is timestamped, therefore it is accurate. But you will only get minute data.

If you open a new chart with NinjaTrader and Interactive Brokers simulataneously, both charts will show historical backfill and they will be identical. I have done this below to demonstrate it. However, if one or both of the charts use real-time data, then there can be a difference.

The only way out of this dilemma is to use a quality data feed, where each real-time tick carries its own timestamp. In that case there will not be any differences. Quality datafeeds compatible with NinjaTrader are available from DTN/IQ, Kinetick or eSignal.

Brokerfeeds like the IB feed are cheaper but have some disadvantages

-> the real-time ticks are snapshot ticks (let us say bundled ticks), they are not real
-> these fake ticks do not carry time stamps
-> the real-time volume is just an estimate and can be over 50% off the real value, in my opinion the volume supplied by IB real-time should not be used at all
-> there is no historical tick data available

Just for entertainment, open a 1-minute chart with NinjaTrader with the volume added for any instrument and let it run for 1 hour. Then take a screenshot of that chart. Now refresh the chart via F5 to load historical data. Take a second screenshot and compare it to the first one.