NT Reliability

[NinjaTrader_Dierk]

I guess, I'm confused. I just ran a test (my machine is CET as well) and downloaded daily bars from IB. Here is the trace of the data returned natively from IB:
2009-09-17 19:30:35:312 (IB Live) IB.HistoricalDataRequest.Process: date='20090911' open=584,2 high=592 low=578,7 close=591 volume=70961
2009-09-17 19:30:35:312 (IB Live) IB.HistoricalDataRequest.Process: date='20090912' open=590 high=596,3 low=587,6 close=589,9 volume=107530
2009-09-17 19:30:35:312 (IB Live) IB.HistoricalDataRequest.Process: date='20090915' open=589,3 high=597,7 low=582,8 close=595,3 volume=113107
2009-09-17 19:30:35:312 (IB Live) IB.HistoricalDataRequest.Process: date='20090916' open=595,2 high=603,8 low=592,3 close=600,8 volume=135856
2009-09-17 19:30:35:312 (IB Live) IB.HistoricalDataRequest.Process: date='20090917' open=601 high=614,9 low=600,6 close=614,3 volume=147067
2009-09-17 19:30:35:312 (IB Live) IB.HistoricalDataRequest.Process: date='20090918' open=614,9 high=620,5 low=610,1 close=610,8 volume=109515

Why would you think today's daily bar should have a timestamp of tomorrow?

Edit: Whereas ES is fine
2009-09-17 19:34:03:062 (IB Live) IB.HistoricalDataRequest.Process: date='20090911' open=1037 high=1043,75 low=1033,5 close=1037,5 volume=1295595
2009-09-17 19:34:03:062 (IB Live) IB.HistoricalDataRequest.Process: date='20090914' open=1036 high=1045,25 low=1025,5 close=1043,5 volume=1533455
2009-09-17 19:34:03:062 (IB Live) IB.HistoricalDataRequest.Process: date='20090915' open=1043,25 high=1052 low=1038,25 close=1046 volume=2181405
2009-09-17 19:34:03:062 (IB Live) IB.HistoricalDataRequest.Process: date='20090916' open=1045,75 high=1064 low=1044,5 close=1063,75 volume=2204248
2009-09-17 19:34:03:062 (IB Live) IB.HistoricalDataRequest.Process: date='20090917' open=1063,25 high=1071,5 low=1056,25 close=1058 volume=1668154

[Harry]

Dierk, I had only checked the time stamps of the daily TWS charts with Toggle Crosshair. I have now rechecked the chart by displaying the bars in user time zone, and the bar ends 2009/09/18 0:00 but is labelled correctly at the bottom. Obviously I do not have access to the data exchange between TWS and NT. My trace file does not show the information you have listed below.

[Harry]

One idea why NinjaTrader erases data of merged contracts

At least I could identify the cause, why NT overwrites the merged data for FDAX and FESX. For Easter Monday, April 11 Eurex was closed. Therefore NT tries to reload data and destroys the fraction of the merged contract from April 11 to the rollover date chosen for merging data. Only part of the data originating from the contract 06-09 is erased, while data merged from FESX 09-09 into FESX 12-09 is maintained.

If I look at other software, the master data at instrument level includes time zone, opening hours of the exchange and a holdiay calendar. Did you include this with NT 7, just to avoid this type of problem?

[NinjaTrader_Dierk]

NT7 will come with a new session management (but not including holiday management).

Also: not sure about your "hole" and your "erasing data" interpretation. Aren't there bars on your chart for the time in question?

[Harry]

I just compared the daily charts of FESX 06-09, FESX 09-09 and the chart below. The bars visible on the chart likely origínate from the contract FESX 09-09 (odentical after a visual check). I do not know how this can be.

I did the following: Merge contract FESX 06-09 into contract FESX 09-09 at rollover date on June. Then merge the resulting merged FESX 09-09 into FESX 12-09 on rollover date yesterday.

The merging procedure did not work right away yesterday, see below. That means after the first trial data was not merged (not connected). Second trial was successful. After connecting today chart appears as below.

I pay attention to set the lookback period of the chart as not to exceed the merged data.

[NinjaTrader_Dierk]

To clarify: according your charts there is no "hole" or "erased data" issue.

NT likely would not merge if you choose a date as merging date where there is no data (like a holiday). This is expected and, I believe, you would find a message in your logs.

I suggest trying again with NT7, since we will manage the roll over dates. This should reduce the likelihood of handling errors. We will provide details as we roll NT7.

[Harry]

Dierk there is an issue. After merging the chart showed up correctly, showing price data and volume of contract 06-06 for the period from March 18 to June 18. Only later the contract data from April 11 to June 18 disappeared and was replaced by the data of contract 09-09.

There is no handling error, I have done this a hundred of times.

[NinjaTrader_Dierk]

NT in no event will "replace" data.

That being said: NT may reload data e.g. on the TF 12-09 and potentially overwrite what you have merged so far. The situations where NT would reload data are described in the help guide (sorry, don't have link at hand right now).

However, theses issues won't arise with NT7 since there no longer would be a need for you to manually merge data. That's why I suggested trying again with NT7.

[Harry]

Thanks for the help anyhow. I agree that it is my fault, if I use (cheap)daily data of IB instead of paying for a decent data supply.

Waiting for NT7 now.

[Harry]

TF Index Futures Daily Data From IB

Reply by IB:

"We are aware of this problem and it has already been fixed with the latest version 898 which should become available next week."

I am still using TWS 895 as recommended.....

[NinjaTrader_Dierk]

Thanks for your feedback.

Note: you could give TWS 898 a try. We will update the supported TWS version the next few weeks.

[Harry]

Daily data for TF incorrect

I cannot always try to mediate between NT and Interactive Brokers.
Please take care of this problem directly with Interactive Brokers. As a customer I am just sitting between the chairs. This is now happening again and again. Here's the answer from Raymund from IB:

API's historical data equates Trader Workstation (TWS) charting information. Therefore, API backfill messages are identical to the TWS charting display. If the API program or Ninja Trader is getting some discrepancies, but IB's workstation is showing the accurate data. Unfortunately, this needs to be addressed to Ninja Trader vendor. We only return raw data over the API structure, third party software is responsible to manipulate the raw data and display the information accordingly to their application.

I highly recommend that you compare charting data between Ninja Trader and TWS. Please capture screenshot for both applications and send them to the Ninja Trader with brief explanation.

[NinjaTrader_Dierk]

Sorry I'm confused. Further down you stated that
- there is an issue with IB's daily data
- IB acknowledged it's an issue on their end and they told you that it would be fixed by an TWS upgrade

Why do you now think it's an NT issue?

Anyway, I will send another support inquiry and will let you know in case a get some feedback.

[Harry]

Who is responsible?

I do not know, whether it is an IB or a NT issue, and I will never know. I am getting conflicting information from all sides, and I am only a paying customer with two software packages that do not work properly together. I have opened tickets on both sides and nobody is really responsible for solving the problem.

Incorrect daily data for TF means incorrect floor pivots derived from this data and therefore false trade signals.

[Harry]

Here is yesterday's data again for TF

Yesterdays data for TF

Correct data: High 622,9 / Low 613,6 / Close 619,7
Daily chart TWS : High 622,9 / Low 613,6 / Close 619,7
Daily chart NT : High 618,00 / Low 604,10 / Close 616,40
Intraday chart NT : High 622,9 / Low 613,6 / Close 619,7