Multi time frames and COBC

[ScottB]

Hi,

If I have 3 data series - primary 1 minute bar, secondary 1 tick and third daily how does COBC = true affect the 1 tick bar? I don't want/need the 1 minute and 1 day BIP (0 & 2) to calculate except at close of bar but I need the tick data for another calculation.

I know I can use first tick of bar and simply bypass everything but for some other reasons that will be problematic. I would have thought bar close for a 1 tick bar is every tick but it appears that with COBC = true my 1 tick bar is always 1 bar (1 tick) behind whereas if I have COBC = false, everything is fine with the 1 tick bar (BIP 0 and 2 aren't the issue).

Any suggestions?

Best regards,
Scott

[NinjaTrader_Bertrand]

Hi Scott, how do you judge the 1 tick being late in the COBC true scenario, by timestamp or the CurrentBar(s) being processed on this very series?

[ScottB]

Bertrand,

I compared it to the DOM for the instrument. I was testing during the evening when ticks could be seconds apart (ES) and it was clear that the two were off by 1, especially when there was a price change on an odd number.

For example price traded at 1639.50 with a 3 lot then moved from 1639.50 to 1639.75 on a 18 lot. The DOM showed the last trade as 1639.75 with a trade size of 18 yet OnBarUpdate had the last trade as 1639.50 with a trade size of 3 until some seconds later.

I cannot definitively say the correct information coincided with the end of the 1 minute bar but it appeared that way. I did get all trades except the last one so in a faster moving market this wasn't noticeable but in the evening market for the ES it became apparent there is an issue.

And as I mentioned, changing COBC to false fixed the issue.

[NinjaTrader_Bertrand]

Scott, if you could check, would Market Replay allow you to hit that scenario as well reproducibly? I would expect the 1 tick series behave essentially being the same on either COBC, since there's only 1 tick in the bar, so the new tick seen immediately open / closes the bar in our event based approach. For the same timestamp however you would see the 1 min primary processed first, perhaps that's through off logic?

[ScottB]

Bertrand,

I will see if I can reproduce it with Market Replay after the market closes. I will let you know either way but if I can, I will give you the instrument and time of the issue.

Best regards,
Scott

[NinjaTrader_Bertrand]

Thanks Scott, sounds good - lets keep in touch.