different close in ninjatrader

[michaelbb]

Did some research on error from yesterday 10:14 bar:

- on tick base there are 4 tick records with timestamp 10:13:59 / all of this records have a price of 12930
- i see 9 records with timestamp 10:14:00 / one with price 12929 / all others with 12930

My Questions on this:

- to my understanding a tick record with timestamp 10:14:00 belongs to next minute bar (10:15 bar for 1 min chart / 10:18 bar for 4 min chart)?
- if this is correct I dont understand how NinjaTrader calculated a close value of 12929 for the 10:14 bar?

[NinjaTrader_Dierk]

>> one with price 12929 / all others with 12930
That exact sequence? Meaning the 12929 comes after the 4* 12930 from the 10:13:59 timestamp but before the 8* 12930 from the 10:14:00 timestamp?

>> to my understanding a tick record with timestamp 10:14:00 belongs to next minute bar (10:15 bar for 1 min chart / 10:18 bar for 4 min chart)?
correct

Could be the case that the eSignal API sent the 12929 with 10:13:59 timestamp. Hmmm...

[michaelbb]

>>That exact sequence?

That is the sequence I have in a export made from Neoticker Tick data (datasource eSignal). But I dont know whether there is a sub-second sequence in tick data - ok in real-time there is a sequence based on incoming data. Is there any index or something for sequence of data with same timestamp in esignal data stream?

Cannot believe that eSignal API send a wrong timestamp to NinjaTrader only.

I guess this is a problem of NinjaTrader.

Do you agree that a tick record with timestamp 10:14:00 does not belong to the 10:14 minute bar?

I tried to export tickdata from NinjaTrader - result is "No historical data found". No data is stored because of "Store real-time bar data" is not set?

[NinjaTrader_Dierk]

>> Do you agree that a tick record with timestamp 10:14:00 does not belong to the 10:14 minute bar?
See below, correct

Please do this: AFAIK eSignal has a tick download tool (try: eSignal app->Tools->Tick replay->Tick download). Download the trade data for that day (no bid/ask, trades only) to a file and copy the relevant few ticks around that timestamp here on forum.

Than we at least know what eSignal has in its DB. This does not mean it would be reported at the API level .. but that's a different story. Thanks

[michaelbb]

From Esignal EPF-File:

; Symbol=YM #F
; Date=05/14/08-05/15/08
...
T,080514,161358,12930,9,
T,080514,161359,12930,4,
T,080514,161359,12930,4,
T,080514,161359,12930,1,
T,080514,161359,12930,5,
T,080514,161400,12929,6,
T,080514,161400,12930,1,
T,080514,161400,12930,2,
T,080514,161400,12930,4,
T,080514,161400,12930,4,
T,080514,161400,12930,1,
T,080514,161400,12930,1,
T,080514,161400,12930,2,
T,080514,161400,12930,1,
T,080514,161401,12930,2,
...

[NinjaTrader_Dierk]

Thanks. Getting closer...

Next step: I'm suspicious about some NT logic which tries to fill a void as eSignal does not provide a valid timestamp on the API. To verify this you would need to run extended NT traces. Please do this:
- connect to eSignal only and try to establish a scenario where only are subscribed to the YM
- Control Center->Tools->Options->check Show Diagnostics tab
- Diagnostics tab-> Check market data option

Note: This could create huge trace files. Please make sure you have a minimal scenario with only one YM chart openend and you also should have the YM selected on the ControlCenter. Also: Please clear your sim account before by Tools->Options->Simulator->Reset.

As soon as you encountered the problem: please mail me trace files by Help->Mail to support, subject "for Dierk", reference this thread and provide me all info required to analyze the issue (timestamp, expected bar close price, actual bar close price etc).

Don't forget to uncheck Diagnostics tab->Market data after testing.

Thanks

[michaelbb]

Sorry - but this is not practicable at all!

I dont have time to stop trading and investigate in this evidently NinjaTrader Errror!

What I can provide is a print output from market replay. Values from OnMarketData Event with MarketDataType.Last / Value with OnBarUpdate is Close[1] from OnBarUpdate Event at 16:14

16:13:58 . 12930
16:13:59 . 12930
16:13:59 . 12930
16:13:59 . 12930
16:13:59 . 12930
16:13:59 . 12929
16:13:59 . 12930
OnBarUpdate: 16:14:00 . 12930
16:14:00 . 12930
16:14:00 . 12930
16:14:00 . 12930
16:14:00 . 12930
16:14:00 . 12930
16:14:00 . 12930
16:14:00 . 12930
16:14:00 . 12930
16:14:00 . 12930
16:14:00 . 12930
16:14:00 . 12929
16:14:00 . 12929
16:14:01 . 12929

Data was collected yesterday / looks diffent to eSignal tickdata. Close is 12930 (correct) - in real-time NinjaTrader Close was 12929.

[NinjaTrader_Dierk]

We will keep running tests as per my post below here to collect the required information. Note: we only can follow up as we experienced this problem live and had the relevant traces as per below.

[michaelbb]

Wrong Close Value in NinjaTrader on YM / 4min again at 10:02 bar today!

Have you recorded this?

Very frustrated now: different Close Values -> different Indicator Values -> different Signals/Trades (somtimes)

[NinjaTrader_Dierk]

No, we will report back as we have an occurance. Other than that we would need info as per my post below. Thanks

[michaelbb]

Once again wrong Close in NinjaTrader Chart!

YM / 20:12:00 / eSignal Close is 12962 / NinjaTrader is 12961

Cannot believe that you cannot reproduce that! Are you doing someting on this issue?

How is it possible that I get different Close values in real-time and NinjaTrader Market Replay?

[NinjaTrader_Dierk]

We are trying to reproduce all day long now but still fail. Please proceed as suggested on my post below to collect the information we'll need.

[michaelbb]

Update on this issue:

Tried with diagnostics at 15.5 for one hour as suggested (only one chart / no trading): no result / cannot reproduce (maybe time was to short).

Then I tried to implement my trading system on a alternative platform to be able to run diagnostics / debug with NinjaTrader - but no chance to do this with justifiable effort

By yesterday I had no difference in entry/exit signals (did not check close values this week) and thought the error was gone / was caused by a addional 1 min chart with market-profile ...

Yesterday I had once again a different exit signal that cost me 20 ticks in YM (discovered now by running backtest for yesterday with different result). I guess this was caused again by different close values during realtime.

So I am back at the beginning. Don't want to stop trading to run diagnostics. Can run diagnostics during the night - but not sure that helps. Only way I see to analyze this issue is to buy / setup an additional computer for test purposes.

What I do now is to log again NinjaTrader close values to file and compare that with close values from esignal to be sure about the reason if i get different signals.

[NinjaTrader_Dierk]

Thanks for update. Unfortunately we don't have any further info at that time and really the only way to potentially address this issue is looking into traces as per my post below. Sorry for the hassle...