Announcement
Collapse
Looking for a User App or Add-On built by the NinjaTrader community?
Visit NinjaTrader EcoSystem and our free User App Share!
Have a question for the NinjaScript developer community? Open a new thread in our NinjaScript File Sharing Discussion Forum!
Have a question for the NinjaScript developer community? Open a new thread in our NinjaScript File Sharing Discussion Forum!
See more
See less
Partner 728x90
Collapse
NinjaTrader
Kinetick Bid/Ask live feed vs Replay
Collapse
X
-
Thanks for reporting back, this might make a difference in the amount of tick delivered then - I'll keep it on my list to compare the two for discrepancies with the BuySellVolume.
-
Got them, thanks - will let you know - I don't think it has to do with the credentials used - as you were comparing to ZenFire - were you using the newly introduced unaggregated data points in its connection setup or not?
Leave a comment:
-
Ok, thanks for the info - will test and look into it here.
Leave a comment:
-
Hi,
It was on all bars today not isolated, live feed not a replay.
despite what you say on replay, from what I've seen, the replay data matched the backfilled data on market delta (backfill using iqfeed.
Leave a comment:
-
yuval, thanks for the screenshots - I will look into and attempt to reproduce the scenario here - did you see this happen for more bars or only for isolated ones like the one you've shown?
For replay : please don't compare the results from Kinetick live data vs the replay data downloaded from our servers, as the sources would not match differences could be unfortunately expected.
Leave a comment:
-
Hi,
I did a test today, opened NT with Kinetick on 3 min chart with the Buy/Sell Volume indicator.
A friend did the same with MarketDelta and ZenFire.
Attached 2 screenshots.
The bar's open is the low and the bar's close is the high, so one can assume most volume was Buy volume.
You can see that in both NT and MarketDelta the Total Volume is the same (16,297), but on NT the Sell Volume is 5,643 while on MarketDelta it is 2,347 - this is a big difference and according to the bar's open/close the MarketDelta numbers make more sense.
looks like more trades are classified as "Sell" in NT as if the Bid/Ask stream is not synchronized.
Any ideas?
Leave a comment:
-
Yuval, your code looks correct. Market Replay data is aggregated into .25 second sections, so that is probably where the discrepancy crept in.
Leave a comment:
-
Kinetick Bid/Ask live feed vs Replay
Hi,
I'm writing a strategy where I need to classify the trades as Buy/Sell according to whether it happened on the Ask/Bid (assume as if I build a Volume Ladder with Bid .vs. Ask).
The problem is that the data I get in live feed is different from what I get when I download replay data and run it, the live feed is also different when I compare it to my friend's data running live IQFeed (my friend's live-feed matches my Replay results).
For Example, on Friday Feb 4, after the open we traded at 1306, the result I got:
live feed 531 X 1620 (Bid X Ask)
Replay data downloaded from NT servers 244 X 1907 (Bid X Ask)
Notice that the TOTAL volume is the same, so I am not missing ticks in the live feed, only the classification is different.
Here is a snippest from my Strategy OnMarketData()
Code:protected override void OnMarketData(MarketDataEventArgs e) { if (e.MarketDataType == MarketDataType.Bid) { m_bid = e.Price; m_bidSize = (int)e.Volume; } else if (e.MarketDataType == MarketDataType.Ask) { m_ask = e.Price; m_askSize = (int)e.Volume; } else if (e.MarketDataType == MarketDataType.Last && m_bidSize > 0 && m_askSize > 0) { if (e.Price >= m_ask) // Classify as Buy else if (e.Price <= m_bid) // Classify as Sell // ... } }
Thank you very much,
Yuval.Tags: None
Latest Posts
Collapse
Topics | Statistics | Last Post | ||
---|---|---|---|---|
Started by rodriguesdanny, 05-15-2024, 12:06 PM
|
8 responses
34 views
0 likes
|
Last Post Today, 01:12 PM | ||
Started by warpinator, 05-16-2024, 10:44 AM
|
10 responses
54 views
0 likes
|
Last Post Today, 01:02 PM | ||
Started by Austiner87, Today, 11:19 AM
|
3 responses
9 views
0 likes
|
Last Post Today, 01:02 PM | ||
Started by ETFVoyageur, Today, 10:34 AM
|
5 responses
17 views
0 likes
|
Last Post Today, 01:00 PM | ||
Started by StefanA, Today, 11:24 AM
|
6 responses
15 views
0 likes
|
Last Post
by StefanA
Today, 12:50 PM
|
Leave a comment: