Tick replay for indicator historical processing not updating within same timestamps

[dashti]

I have a test indicator(attached) that is copy pasted from this code in this help guide, slightly modified to print more details. I have Tick Replay enabled on the data series, as well as the indicator is set to Calculate.OnEachTick.

The test indicator is printing each tick plus the state of the indicator at the time. What I'm noticing is that during historical processing, trades with the same timestamp do not update the indicator values for each tick, while they do during realtime.

An example of that difference below, with a tick on either side of the block to show continuity.

state: Historical ts: 10:27:23:355 bar: 2497 last: 4438.25 vol: 219 delta_close: -8558
state: Historical ts: 10:27:23:363 bar: 2497 last: 4438.25 vol: 220 delta_close: -8581
state: Historical ts: 10:27:23:363 bar: 2497 last: 4438.25 vol: 221 delta_close: -8581
state: Historical ts: 10:27:23:363 bar: 2497 last: 4438.25 vol: 231 delta_close: -8581
state: Historical ts: 10:27:23:363 bar: 2497 last: 4438.25 vol: 240 delta_close: -8581
state: Historical ts: 10:27:23:363 bar: 2497 last: 4438.25 vol: 248 delta_close: -8581
state: Historical ts: 10:27:23:363 bar: 2497 last: 4438.25 vol: 249 delta_close: -8581
state: Historical ts: 10:27:23:425 bar: 2497 last: 4438.5 vol: 250 delta_close: -8611

state: Realtime ts: 10:28:17:773 bar: 2498 last: 4436.5 vol: 280 delta_close: -8937
state: Realtime ts: 10:28:18:222 bar: 2498 last: 4436.5 vol: 281 delta_close: -8938
state: Realtime ts: 10:28:18:222 bar: 2498 last: 4436.5 vol: 287 delta_close: -8939
state: Realtime ts: 10:28:18:222 bar: 2498 last: 4436.5 vol: 289 delta_close: -8945
state: Realtime ts: 10:28:18:222 bar: 2498 last: 4436.5 vol: 297 delta_close: -8947
state: Realtime ts: 10:28:18:222 bar: 2498 last: 4436.5 vol: 298 delta_close: -8955
state: Realtime ts: 10:28:18:222 bar: 2498 last: 4436.5 vol: 299 delta_close: -8956
state: Realtime ts: 10:28:18:222 bar: 2498 last: 4436.5 vol: 300 delta_close: -8957
state: Realtime ts: 10:28:18:636 bar: 2498 last: 4436.25 vol: 301 delta_close: -8958

Is there something I can do to make the historical processing update for each trade tick as it does during realtime, not just each timestamp tick?

zTest.cs

[NinjaTrader_BrandonH]

Hello dashti,

Thanks for your post.

We have received your inquiry and are researching the behavior your reported regarding the use of OrderFlowCumulativeDelta() with Calculate.OnEachTick and TickReplay enabled.

Once we have finished researching this behavior, we will post our findings here on this forum thread.

Thanks for your patience.

[dashti]

Thanks Brandon, I forgot to add I'm on currently running 8.1.1.7 64-bit.

[NinjaTrader_BrandonH]

Hello dashti,

Thanks for your notes.

The behavior you reported is the expected behavior when using OrderFlowCumulativeDelta() with Calculate.OnEachTick and TickReplay enabled. When we are looking at historical bars, the only information available to determine the order to sync multi-series NS is the bar timestamps.

In case we have more than one bar with the same timestamp as more than one bar on another series, we cannot determine the exact sequence those bars had built in relation to each other in realtime.

Therefore we process everything together in the Core and order the OnBarUpdate calls by the following rule:

• For any event which would trigger OnBarUpdate for more than one series → The Primary series always triggers OnBarUpdate first

There would not be any means to make the historical processing update for each trade tick the same way as it does during realtime.