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**NinjaTrader_Matthew** · 08-09-2013, 08:59 AM

NutFlush,

Thanks for posting. We're working on this internally and have our own tests setup which look for the behavior you brought to our attention. We can confirm there is something odd occurring here and are working with the the backend.

**sledge** · 08-15-2013, 05:59 PM

I would say SPY could be normal.

The after hour "spike" bars that are crazy - those are supposedly earlier trades in the day that are just being reported or something. I wonder what time stamp those have. You might be 6 hours behind?!

I wouldn't find it strange that it would happen during the day to SPY. Sometimes TDA reports some odd ball spikes in SPY, and unless you have a tight filter to filter out "bad trades" above xx%, you'll probably see them.

UVXY and SVXY are my other poisons, so I don't watch much of xiv/vxx.

Originally posted by NutFlush View Post

Hi all,

would you be surprised to see ticks for a 1-minute bar coming in over a real-time period of 80 seconds or more? I certainly was and now I try to find out what might be the cause.

If I assume that the ticks are sent and time stamped correctly by Kinetick/DTN IQFeed then there is either a delay in my internet connection (I have a fast provider) or a delay/error in the way NT processes the data.

In order to rule out the internet lag I am looking for fellow traders who will test if they experience the same issue as I do.

Attached there is my small testing strategy that runs on every tick (COBC = false). Whenever FirstTickInBar is true it stores the current time from your PC clock, adds 60 seconds plus a buffer that you can set (default is 5 seconds). Any ticks that arrive later than that time and are still sorted into the same bar will cause a message to appear in the output window (and in a log if you choose to save on disk). I call those ticks "follow-up" ticks.

I tried it on the following symbols: SPY, VXX, XIV and had "follow-up" ticks on each within half an hour (using Kinetick as the data provider).

To give you an idea how the output (I added a few comments & color) would look like (my PC is 6 hours ahead of the NYSE):

Code:

#FFF# First tick in bar for symbol: XIV; BarEndTime: 09.08.2013 [B][COLOR=Blue]15:51[/COLOR][/B]:00; PC-Time: 09.08.2013 [B][COLOR=SeaGreen]15:50:00.337[/COLOR][/B]; price: 28,37$; Volume: 100

// now all ticks go into bar ending at [B][COLOR=Blue]15:51[/COLOR][/B]

#???# Follow-up tick after time for bar expired for symbol: XIV; BarEndTime: 09.08.2013 [COLOR=Blue][B]15:51[/B][/COLOR]:00; PC-Time: 09.08.2013 15:51:16.336; tick came in 76 seconds after first tick (recorded at: 09.08.2013 15:50:00.337)!; price: 28,35$; Volume: 164
#???# Follow-up tick after time for bar expired for symbol: XIV; BarEndTime: 09.08.2013 [B][COLOR=Blue]15:51[/COLOR][/B]:00; PC-Time: 09.08.2013 15:51:16.339; tick came in 76 seconds after first tick (recorded at: 09.08.2013 15:50:00.337)!; price: 28,35$; Volume: 100
#???# Follow-up tick after time for bar expired for symbol: XIV; BarEndTime: 09.08.2013 [B][COLOR=Blue]15:51[/COLOR][/B]:00; PC-Time: 09.08.2013 [B][COLOR=Red]15:51:16.342[/COLOR][/B]; tick came in [B][COLOR=Red]76 seconds[/COLOR][/B] after first tick (recorded at: 09.08.2013 [B][COLOR=SeaGreen]15:50:00.337[/COLOR][/B])!; price: 28,35$; Volume: 100

#FFF# First tick in bar for symbol: XIV; BarEndTime: 09.08.2013 [COLOR=Blue][B]15:52[/B][/COLOR]:00; PC-Time: 09.08.2013 15:51:16.344; price: 28,35$; Volume: 500

// now all ticks go into bar ending at [B][COLOR=Blue]15:52[/COLOR][/B]

If you find any errors in my code or my assumptions, please let me know!

If you choose to leave feedback on your test results, please include:
- symbol
- bar interval (1 or more minutes are possible)
- data provider
- how much was the bar time span exceeded
- date, time and price of those ticks (please use either the time at the exchange or state the time zone difference to your PC time)

Thanks for your feedback,
NutFlush

**NutFlush** · 08-16-2013, 12:29 AM

Originally posted by sledge View Post

I would say SPY could be normal.

The after hour "spike" bars that are crazy - those are supposedly earlier trades in the day that are just being reported or something. I wonder what time stamp those have. You might be 6 hours behind?!

I wouldn't find it strange that it would happen during the day to SPY. Sometimes TDA reports some odd ball spikes in SPY, and unless you have a tight filter to filter out "bad trades" above xx%, you'll probably see them.

UVXY and SVXY are my other poisons, so I don't watch much of xiv/vxx.

Hi sledge,

I'm not sure were are talking about the same thing here. Don't get confused by the time stamps as that is my local time and I am 6 hours ahead - I am talking about the ticks during regular trading hours! This also has nothing to do with "spikes".

The issue is that ticks for the same 1 minute bar come in over a time period of a lot more than 60 seconds. So if one tick happens at the exchange 80 seconds after the first tick of a 1-minute bar how can it still belong to the same bar? It is already 20 seconds into the next 1 minute bar and therefore it should end up in the following bar, right?

Would you mind running my script as a strategy on a 1 minute chart on UVXY, SVXY and SPY - and report back as described in my first post? That would be really helpful.

Thanks,
NutFlush

**sledge** · 08-16-2013, 09:44 AM

Hi

I can try to check it out next week.

I do also see spy trades come in .10 off last outside bid/ask from what I can tell in tda feed outside NT. I have no way of checking those time stamps.
So not sure if they are late or actual.

Originally posted by NutFlush View Post

Hi sledge,

I'm not sure were are talking about the same thing here. Don't get confused by the time stamps as that is my local time and I am 6 hours ahead - I am talking about the ticks during regular trading hours! This also has nothing to do with "spikes".

The issue is that ticks for the same 1 minute bar come in over a time period of a lot more than 60 seconds. So if one tick happens at the exchange 80 seconds after the first tick of a 1-minute bar how can it still belong to the same bar? It is already 20 seconds into the next 1 minute bar and therefore it should end up in the following bar, right?

Would you mind running my script as a strategy on a 1 minute chart on UVXY, SVXY and SPY - and report back as described in my first post? That would be really helpful.

Thanks,
NutFlush

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