Reload All Historical Data Discrepancy

[thekreme]

I noticed today that when I reloaded all historical data that some of my indicators changed and thereby gave me either false signals in the live session or after I reloaded the chart. I have attached a 1min EURUSD chart with a RSI and RSI Extreme indicators below, one before the refresh, one after and a combined image to show what I mean. Does anyone have an explanation of how to fix this?

[NinjaTrader_ZachS]

Hello,

Thank you for writing in.

In this scenario, it is important to understand how bars are built and why a chart can look different after reloading all historical data.

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

•There is no way of knowing how the historical data provider packages their bars

The only way to ensure that data always looks the same is if every connectivity provider sent ticks with time stamps AND that all vendors synchronized on time stamps. Unfortunately, this is just not a reality nor plausible scenario.


Please let me know if I can be of any further assistance.

[thekreme]

Thank you for the comprehensive reply, Zach. Would switching to a good VPS service help mitigate this issue; or perhaps switching to Kinetec for my data feed? I have complex indicators that have been back tested with great results but when running live, they almost fall apart due to this discrepancy.

[NinjaTrader_RyanL]

Hello thekreme,


Thank you for the follow up.


Who do you currently connect to for data?


I do not believe switching to a VPS would help to mitigate this situation. Usually VPS services would be used for a more stable or faster connection to your destination server.

[thekreme]

I'm currently using FXCM with the attached settings.

[NinjaTrader_RyanL]

Hello thekreme,


Thank you for the follow up.


You can troubleshoot your current FXCM connection by changing the historical data servers to use NinjaTrader servers.


In regards to the real-time data from FXCM, I do not believe a Kinetick connection would change the behavior you have seen as the forex data from Kinetick is provided by FXCM.

[thekreme]

Thanks, Ryan. I'll give that a shot.

Would there be any difference in using demo accounts from FXCM and the free version of NT7 as opposed to the paid live trading versions? I'm still back-testing before running live. Thanks

[NinjaTrader_RyanL]

Hello thekreme,


Thank you for the follow up.


There should be no differences between the data you receive in a demo FXCM account and a live FXCM account while using the data feeds in NinjaTrader with the free edition license key or a live license key.

[thekreme]

Good deal. Thanks for the clarification, Ryan.

[alex99]

Hi Ryan,
Regarding the posts above the historical data from the supported market vendor is the correct data registered at the bid and ask prices?
So, the real-time data is time stamped based on your local PC time so prone to errors due to local PC time difference, network congestion etc?

Does a NTP server helps in this case?

Thanks,
Alex.

[NinjaTrader_RyanL]

Hello Alex,


Thank you for your forum post.


When trading Forex in NinjaTrader the PnL will be based off the current Bid when Long and the current Ask when Short.



You can check our help guide article below to see which providers provide natively time stamped data or if the data is time stamped locally on your PC.

• http://www.ninjatrader.com/support/h...rical_data.htm