Uncorrect RT Volume Data

[makhmout]

Hello!

I have found specific trouble with RT volume data in NT with Zen-Fire datafeed.

At 150 tick chart I'm looking on OBV indicator and see that it is work and draw
new value on each new bar.

BUT! Then I'm doing Reloading ALL Hist Data, previous OBV values are changing!
It means, as I understand, that realtime data and historical are different. I'm fully
not understand it.

Moreover, such difference doen't appear all time. For example it can be no difference
for few hours, but may be difference in every bar at other hours.

Please, explain how to avoid such problem?

Regards, Makhmout

[NinjaTrader_Kyle]

Hello,

Thanks for writing in.

As ticks come into NinjaTrader in real-time, they are time stamped based on your local PC time if they do not already have an associated time stamp that is provided from the real-time data source. The majority of our supported brokerage feeds DO NOT time stamp ticks, where most of our supported market data vendor feeds do provide time stamped ticks. NinjaTrader then builds bars based on the time stamp of the incoming tick and displays these bars in your chart in real-time.

Let's say you have a tick (tick "A") with a time stamp of 10:31:00 AM which gets packaged into the 10:32:00 AM bar and happens to be the high of that bar. An hour later, you reload historical data from your historical data provider into NinjaTrader. This process will overwrite the existing data. The 10:32:00 AM bar now looks different since the high made by TICK "A" is now part of the prior bar, 10:31:00 AM. How is this possible?

•Your PC clock could have been off so the time stamp is delayed

•Your internet may have been lagging so the tick came in slightly delayed and therefore the time stamp is delayed

•Due to standard latency, even 50ms delay (which is normal) could be the difference between a 10:30:59 and 10:31:00 time stamp

Syncing the PC's clock should help to minimize the impact of this:
Please use the steps below to change your Time Zone and sync the PC clock, note to set the server to time.nist.gov.
You can sync your PC clock by double clicking on the clock in the lower right corner of your desktop. Press 'Change time zone...' Set the Time zone and press 'OK'.
Once you have done that, click on Internet Time tab set the server to time.nist.gov and then click Update. Your PC clock should now be updated.

[makhmout]

Thank you!

But time.nist.gov is not available and no ping to it

[NinjaTrader_Kyle]

Hi.

Does the Windows server answer your request to sync?

[makhmout]

no, it does't answer.
just time.windows.com and time-b.nist.gov
What is better for syncing?

[NinjaTrader_Kyle]

Hi,

The time.windows server should be just fine.

[makhmout]

but it was syncing with it before.

What market data vendors provide time stamped ticks?

[NinjaTrader_Jason]

Hello makhmout,

Please see the link below under 'Understanding the data provided by your connectivity provider' which will list all supported data feed providers and what data they support.

http://www.ninjatrader.com/support/helpGuides/nt7/historical_data.htm

The providers that have Native in the Real-Time Timestamp column provide timestamps on real-time data. Providers that list Local will use the PC clock to timestamp real-time data.

What instrument (+ expiry month) do you have selected in the chart?

[makhmout]

Oil (CL 12-12)

As I see by link ZF has a native timestamp.
But charts are wrong again

[NinjaTrader_Jason]

Can you please clarify what exactly is wrong with the chart. What values do you expect and what values are actually plotted?

[makhmout]

For example.
I started NT at 10-00 AM. I work for several minutes,
datafeed is working, chart is drawing, OBV too.
So I have got some OBV values from 10-00.
Then I do Reloading All Historical Data.
All charts are resreshed, indicators too.
But new OBV values are, sometimes, extremely different.
It is a problem, because of testing with one data and trading with another.

[NinjaTrader_Jason]

I cannot reproduce it on my end so far. You mentioned it occurs inconsistently - it does not occur all the time. Do you notice any consistency between the occurrences you experienced?

Does it only occur for the CL or other instruments as well?

[makhmout]

No consistency between the occurrences.
All instruments.

[NinjaTrader_Jason]

Hello makhmout,

Can you please send me your log and trace files. Go to Control Center-->Help-->Mail to Support in NinjaTrader. Put 'Att Jason, Uncorrect RT Volume Data' in the subject field and enable 'Log and trace files'.

[makhmout]

Done.

Regards, Makhmout