Real time data

[jbesada]

On OnMarketData event, I have calculated the milliseconds from Midnight of every event. Code looks like this (just a piece of code):

switch(e.MarketDataType){
case MarketDataType.Bid:
ts = DateTime.Now.ToUniversalTime() - DateTime.Now.Date;
…
strMilliSeconds= Convert.ToInt32(ts.TotalMilliseconds).ToString();
…

I have noticed that data comes in burst or package slots (not in real time).
More or less, packages are of 300-400 milliseconds, all events in one ‘package’ has the same timestamp and then there is a gap of information. Just for example, look milliseconds (last column) of real data:

1.2482 0 1.2482 1.2483 2 44 57558073
1.2482 1 1.2482 1.2483 1 44 57558073
1.2482 0 1.2482 1.2483 1 46 57558073
1.2482 0 1.2482 1.2483 1 50 57558073
1.2482 0 1.2482 1.2483 8 50 57558073
1.2482 0 1.2482 1.2483 7 50 57558073
1.2482 1 1.2482 1.2483 6 50 57558073
1.2482 0 1.2482 1.2483 7 50 57558073
1.2482 0 1.2482 1.2483 10 50 57558073
1.2482 0 1.2482 1.2483 11 50 57558073
1.2482 0 1.2482 1.2483 12 50 57558073
1.2482 0 1.2482 1.2483 13 50 57558433
1.2482 0 1.2482 1.2483 13 42 57558433
1.2482 0 1.2482 1.2483 13 40 57558433
1.2482 0 1.2482 1.2483 13 38 57558433
1.2482 0 1.2482 1.2483 14 38 57558433
1.2482 0 1.2482 1.2483 15 38 57558433
1.2482 0 1.2482 1.2483 16 38 57558433
1.2482 0 1.2482 1.2483 24 38 57558777
1.2482 0 1.2482 1.2483 25 38 57558777
1.2482 0 1.2482 1.2483 26 38 57558777
1.2482 0 1.2482 1.2483 27 38 57558777
1.2482 0 1.2482 1.2483 27 34 57558777
1.2482 0 1.2482 1.2483 27 33 57558777
1.2482 0 1.2482 1.2483 27 34 57558777
Is it normal behavior?
Is data coming on packages from Kinetick or is it a NinjaTrader issue?

Thank in advance

[NinjaTrader_Brett]

Hello,

Thanks for the post.

Are you seeing this only on the bid and ask or are you seeing it on the last also?

NT process ticks as they recieve them so platform most likely not the cause but I may expect this and bid and ask since these arnt actual trades just some millisecond update of the current status of the bid and the ask vs last updates which are unfiltered and should be every trade from the exchange.

The other idea I have is that during this time the market was not very active but I suspect the above is what is going on.

-Brett

[jbesada]

Hi Brett,


OK I see, so to summarize, Last events come unfiltered but Ask&Bid changes come be time-packaged due to performance issues. Is it roughly correct?

Thank you

[NinjaTrader_Brett]

Hello,

NinjaTrader will process the data as its received. If the provider is sending ask or bid data on some update interval or you have some network infrastructure delaying the receipt of this packets I'm am not exactly sure each provider would be different in this area.

For more in depth details on this from the provider I understand you are using Kinetick. I suggest that you email into [email protected] so that it can be researched further.

I did some basic research with the Kinetick support team and they report that ask or bid data was unfiltered and they display it direct from the exchange. So this may end up being an actual exchange item in that case.

-Brett