Difference b/w eSignal and IB Feed

[sherazwaqar]

I am running a live strategy on ES contract using Ninjatrader and Interactive brokers. I tested the strategy using esignal data feed. When I deployed the strategy I connected with IB Data feed. The same strategy / indicators are not giving the same signals. One of the signals is missing, and the other is working fine.
I am using a multi-timeframe strategy.
Please advice.

Thanks

[NinjaTrader_Joydeep]

Hello sherazwaqar,
Thanks for writing in and I am happy to assist you.

1. To assist you further may I know on what periodicity you are running the strategy (for both the data series)?
   
2. When live, are you connected to both E-Signal and IB or only to IB? If you have multiple connection which is the primary connection?

I look forward to assisting you further.

[sherazwaqar]

I am using 2 timeframes 1) 60 minutes 2) 30 minutes. I have deployed the strategy on 60 mins and have added 30 mins bars to the strategy.

I am only connected to IB only.

Also, something I forgot to mention in my last post. I have an indicator named GenTick, when I load the chart from eSignal it displays the signal, and on IB it does not. The missing signal from strategy is using the indicator.

[NinjaTrader_Joydeep]

Hello sherazwaqar,
Does the GenTick indicator works on tick data or minute data?

I look forward to assisting you further.

[sherazwaqar]

GenTick is just the name, it can work on anything. Its just a modification of SuperTrend Indicator.

[NinjaTrader_Joydeep]

Hello sherazwaqar,
Data from 2 different data feeds can differ due to several factors. While comparing the signals please do make sure that the bars data from ESignal matches with the bars data of IB.

Please let me know if I can assist you any further.

[sherazwaqar]

I understand that but apparently there is no difference b/w data for ES 06-12. Only the timing differ. Other indicators are working fine, giving similar signals.
Can you give a little more guidance as how can I resolve the issue. I am going to compare data bar by bar. What else should I do ensure that I have my strategy working.
I have a spent a considerable amount of time in developing and testing the strategy. I just cannot let it go because of some data issues. The strategy only trades 7-8 times a month, but it is very profitable.
Hopefully you will understand.

Thanks

[NinjaTrader_Joydeep]

Hello sherazwaqar,
Please find the missing signal and check the data around that period and determine if it is ok or not. IB sends snapshot data in realtime and thus you can have data mismatch between the two.

Alternatively you can make a multiple data connection, with the primary connection from ESignal and the secondary connection to IB. This way the data will be pulled from ESignal and you can put the trades to IB.

Please refer here to know more about multiple connections http://www.ninjatrader.com/support/h...onnections.htm

Please let me know if I can assist you any further.

[sherazwaqar]

I have setup the ninjatrader as you have mentioned. I have esignal as my primary connection and IB as secondary connection. Now all the indicators are giving the correct signals. I have a trade today on ES and the Ninja did not take the trade.
I have performed backtest of the strategy and Ninja took the trades in the backtest.
Please advice what should I do. I am running this strategy live on IB account.

[NinjaTrader_Bertrand]

sherazwaqar, any errors you would spot in your NT Control Center log tab please?

If it did not take the trade on reason could be that the conditions for doing so were not present in realtime, for doublechecking your entry conditions would evaluate to 'true' I would suggest adding for example debug prints or drawings to your strategy code, so you would have a visual check available if you should expect an order entry based on your code or not.

In addition TraceOrders are a very helpful feature to investigate NT's order placement 'under the hood' -

http://www.ninjatrader.com/support/forum/showthread.php?t=3627

[sherazwaqar]

I have an indicator programmed for the strategy, indicator place up arrow for buy and down arrow for sell.
I have programmed a public method for the indicator. The strategy calls the methods and get the output, if it returns 1 its a buy for 2 its a sell and for 3 it is nothing. At the close of every 60 min bar, it calls for value, and proceed accordingly.
I have just ran the backtest for last week and it took the trade where it should have taken it and did not in the live trading.
I am attaching an image of the log tab of Ninja Control Center.

The only Error that I can find is
Error validating request: 'ad' : cause - FA data operations ignored for non FA customers. ServerValidateErro

[NinjaTrader_Joydeep]

Hello sherazwaqar,
Results for realtime and backtest can vary. Please refer to here to know more http://www.ninjatrader.com/support/h...ime_vs_bac.htm

Can you send your log and trace files. You can do this by going to the Control Center-> Help-> Mail to Support. Please append Attn:Joydeep in the subject line and please give a reference of this thread in the body of the email.