Discrepancy between intraday delta and previous day delta

[MSerag]

Hi,

Over the past couple of years, I am noticing consistent discrepancy between the Ask and Bid volumes and delta values noticed at the end of trading day with that noticed in the next day (i.e.historical data). Please have a look at the below table for an example of 10 minutes bars (The ticks per level is 5; the bid-Ask are in sequence from the lower level (1) upward to the upper level (5))

Data printing day	Data printing time	Symbol	Trading day	Bar time	Bar delta	Bid-Ask(1)	Bid-Ask(2)	Bid-Ask(3)	Bid-Ask(4)	Bid-Ask(5)
2023/4/27	16:05	NOVA	2023/4/27	12:30	-9873	12480-5131	11527-4999	7041-16970	10866-8990	14307-10258
2023/4/28	2:00	NOVA	2023/4/27	12:30	3029	12480-5131	11527-4999	3763-20248	8898-10958	13102-11463

Please, note the discrepancy: just after the trading hours, the bar delta is negative whereas on the following day it turned positive due to the changes of the Bid-Ask volumes at levels 3 to 5.
I confirm that this happens every day for some or most of the bars in all stock symbols which I check everyday.

Any comment on that?

[NinjaTrader_ChrisL]

Hi MSerag, thanks for posting. I am looking further into this issue at the moment. I will update this thread once I have gathered exact information on the issue.

I am getting different values in the volumetric bars only once I reload historical data. Can you confirm that you are printing out data before and after a historical data reload and are seeing different volume data after the reload? This is what I am seeing as the issue. Please try reproducing the issue you are seeing on a Chart as well (if possible)

Kind regards,
-ChrisL

[MSerag]

Hi Chris,
Please find an example attached. I reloaded the data twice before saving each screenshot. The times stamp for each screenshot is also there. As you can see, most of the values are different between intraday and early next day. Delta are showing different magnitude, some showing reverse sign.
Thanks,

[QuantKey_Bruce]

Are you using the NinjaTrader inbuilt data feed or Kinetick or IQFeed or another provider?

The screenshots and issue you describe seem consistent with the bid/ask/last getting out of order, possibly because of the resolution on the timestamps.

Or, it could be that there is some data that is missing or different between the realtime data you received during the data and the historical data you received the following morning when you started up again.

[MSerag]

I am using Kinetick. The resolution of time stamps should be consistent as I am using the same data provider and same software. The fact that there is a difference between the real time data and historical data make it cumbersome to backtest or validate strategies which are the backbone of the business. As I outlined this is something consistent happening everyday in all symbols, at least for equities. I hope that NT support team comment on that.

[NinjaTrader_ChrisL]

Hi, this has been marked as resolved. Please close down NinjaTrader, go to Documents\NinjaTrader 8\db, delete the cache folder, then restart NinjaTrader and test this out. If you are able to see this again please let me know with screen shot examples.