Difference "AddDataSeries 1 tick" versus primary series and "Tick Replay"

[germanf]

Hi everyone,

What's the difference between adding a data series of 1 tick instead of just using the primary data series and "Tick Replay"?

If I understood well, for example, in a 610 tick chart, when enabling "Tick Replay", it makes a granularity of 1 tick for each bar, which should be the same as working with 1 tick chart. Am I right?.


I'm developing an indicator which needs an additional data series of 1 tick to take and manage data from there. In that way, it shouldn't be necessary to enable "Tick Replay" in the chart where I add my indicator because it wouldn't make any difference.

The issue comes when using this indicator, the results are different depending on if "Tick Replay" is enabled or not.

I've read the following in the user's guide:

"Tick Replay is not compatible with most Multi-Time Frame / Multi Instrument indicators, as there could be series synchronization issues leading to unexpected results."

Do you think the issue is related to these possible unexpected results because of the incompatibility?
In that case, is it something to expect just looking at the historical data? Or will the same thing happen as the data is updated in real time?

Thanks in advance for your support

[NinjaTrader_Emily]

Hello germanf,

Thank you for reaching out.

The following post describes the differences between an added data series (like adding a 1-tick series) and Tick Replay. Although the post does focus on historical order fills for strategies and how these two options differ, it does offer some useful, concise information about how data is processed historically and these ideas apply to indicators as well:

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/94098-isfirsttickofbar-vs-onbarclose-for-backtest-live?p=773377#post773377

Comparing the "Sequence of Events using Calculate.OnEachTick for a 5 Tick Bar in Realtime or Tick Replay" to the explanation about how bars data is referenced at the following two links can be useful to understand the difference between how historical data is processed with Tick Replay vs. how it is processed with an added, more granular series:

https://ninjatrader.com/support/helpGuides/nt8/developing_for__tick_replay.htm

https://ninjatrader.com/support/helpGuides/nt8/index.html?multi-time_frame__instruments.htm#HowBarsDataIsReferenced

The issue comes when using this indicator, the results are different depending on if "Tick Replay" is enabled or not.

What are the differences you have observed? It is possible that the discrepancies are occurring due to series synchronization issues in historical data. Once the script gets to real-time, the OHLCV data is different than the information in historical data, so I suspect it would only be expected for historical data.

I look forward to your reply.

[germanf]

Hello Emily, thanks for your reply.
Please, find attached the first two pictures ("Tick Replay enabled" and "Tick Replay disabled"). In both the indicator is configured exactly with the same parameters, and calculating OnEachTick.

At the end of session (Bars.IsLastBarOfSession) the stored data is cleared, so you see the plot falls to cero, but when the session starts and new values are stored, the plot is pointing to different values.
Not only happens on the first bar but also during the session. See attachments "Tick Replay...1" Sometimes the plot value coincide (circled in yellow), sometimes the plots are similar but not the same.


Please, let me know if you need further details.

[NinjaTrader_Emily]

Hello germanf,

Thank you for your reply.

I suggest adding Print() statements to your script that include all values used to calculate the plot value. This will help to compare and contrast the values between using Tick Replay or not. By breaking it down and figuring out which values are different, it can help to understand why the plot is different with and without tick replay. For more information about using prints to debug your scripts, please see the following link:

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/99209-date-conditions-not-working#post791121

If you still need help understanding the outputs from your prints, please feel free to share them here and I would be glad to take a look at them with you. Thank you for your patience.