Problem retrieving real-time data for multiple stocks at exactly the same time

[marcus250]

I have tried to run an opening range strategy in Ninjatrader for around 10 stocks:

It calculates the opening range of the High and Low between 9:30:00 AM – 10:00:00 AM

Exactly at 10:00:00 AM , the strategy should calculate ( and log) the High and Low prices of the opening range.

However, I have noticed that Ninjatrader or the market data providers that I am using are unable to handle 10 request at exactly the same moment ( 10:00:00 AM).

I have tried to run the strategy with 4 market data providers ( Kinetick, Esignal, Barchart and Interactive Brokers)…..

With all 4 market data providers I have seen the same issues ( with Interactive brokers and Esignal the problem is worse than with Kinetick and Barchart)

In most cases the log showed that for 2-3 stocks the opening range was calculated exactly at 10:00:00 AM, 2 -3 stocks between 10-20 seconds late, some stocks 30-40 seconds late, often the opening range for the 10th stock was calculated between 40-100 seconds late…

However, with SIMULATED DATA in Ninjatrader the openingranges for all 10 stocks where calculated exactly at 10:00:00 AM.

Because of this, it seems to me that the problems that I am seeing are not related to the strategy code or Ninjatrader.

I would like to know if anybody knows if there is a way to have Ninjatrader calculate the opening range for all stocks the same moment that the range is finished ( 10:00:00 AM)

[NinjaTrader_Bertrand]

marcus250, thanks for the post - how do you determine when the opening range is to be calcuated? Are you going by bar time or the actual time of the PC clock when you're running live? NT is an event based environment stamping the bar with the closing time, as such a new bar would be seen if the open tick of new bar was not seen (for example because the instrument had no trade activity for a moment). So even if from a pure time perspective you would expect a new bar to form > this cannot be the case at times as the event to do did not trigger.