Tick Data Vs Minute Data

[yertle]

Hi,

Can someone please explain why tick data and minute data produced different results on the same RSI method ?
- is there a guide available on how to code with tick data correctly?

{
public class rsiquestion : Indicator
{
[Browsable(false)]
[XmlIgnore]
public Series<double> rsiTick
{
get { return Values[0]; }
}

[Browsable(false)]
[XmlIgnore]
public Series<double> rsiMinute
{
get { return Values[1]; }
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Indicator here.";
Name = "rsiquestion";
Calculate = Calculate.OnBarClose;
IsOverlay = false;
DisplayInDataBox = true;
DrawOnPricePanel = true;
DrawHorizontalGridLines = true;
DrawVerticalGridLines = true;
PaintPriceMarkers = true;
ScaleJustification = NinjaTrader.Gui.Chart.ScaleJustification.Right;

//Disable this property if your indicator requires custom values that cumulate with each new market data event.
//See Help Guide for additional information.
IsSuspendedWhileInactive = true;
}
else if (State == State.Configure)
{
AddPlot(Brushes.Cyan, "RSI tick");
AddPlot(Brushes.Magenta, "RSI Minute");

AddDataSeries("EURAUD", Data.BarsPeriodType.Tick, 1);
AddDataSeries("EURAUD", Data.BarsPeriodType.Minute, 1);

}
}

protected override void OnBarUpdate()
{

if (BarsInProgress != 0 && IsFirstTickOfBar)
{
if (CurrentBars[1] < 50)
return;

double rsiValueTick2 = RSI(BarsArray[1], 25, 5)[0];
rsiTick[0] = rsiValueTick2;

double rsiValueMinute2 = RSI(BarsArray[2], 25, 5)[0];
rsiMinute[0] = rsiValueMinute2;
}
}
}
}

// here you can see that the signals are completely different. (its the same with SMA() also )
Why?. Thanks

[NinjaTrader_Jesse]

Hello yertle,

This is may be due to the tick data being more granular which could allow for more datapoints to be used in the calculation. To answer this type of question you can use prints from a copy of the RSI to see how that input is specifically changing its calculation.

[yertle]

the input data is nearly the same... but the output differs greatly.
i thought (IsFirstTickOfBar) would resolve this.

But i am only using tick data so that the indicator can be used for any timeframe or bar type,

the indicator is based on OHLC prices only. not market depth

rsiTick input :1.60055
rsiMinute input:1.60057
rsiTick : 43.7528265528054
rsiMinute :30.8441577832017
rsiTick input :1.60055
rsiMinute input:1.60057
rsiTick : 43.7528265528054
rsiMinute :30.8441577832017
rsiTick input :1.60058
rsiMinute input:1.60057
rsiTick : 50.2103638559736
rsiMinute :30.8441577832017
rsiTick input :1.6006
rsiMinute input:1.60057
rsiTick : 53.8868153849523
rsiMinute :30.8441577832017
rsiTick input :1.60061
rsiMinute input:1.60057
rsiTick : 55.5945672568245
rsiMinute :30.8441577832017
rsiTick input :1.60062
rsiMinute input:1.60057
rsiTick : 57.2439666415843
rsiMinute :30.8441577832017
rsiTick input :1.60061
rsiMinute input:1.60057
rsiTick : 55.1116017573735
rsiMinute :30.8441577832017
rsiTick input :1.60062
rsiMinute input:1.60057
rsiTick : 56.788326060925
rsiMinute :30.8441577832017
rsiTick input :1.6006
rsiMinute input:1.60057
rsiTick : 52.6881784031575
rsiMinute :30.8441577832017
rsiTick input :1.60059
rsiMinute input:1.60057
rsiTick : 50.7786744539911
rsiMinute :30.8441577832017
rsiTick input :1.60055
rsiMinute input:1.60057
rsiTick : 44.1167507588451
rsiMinute :30.8441577832017
rsiTick input :1.60054
rsiMinute input:1.60057
rsiTick : 42.6592775958733
rsiMinute :30.8441577832017
rsiTick input :1.60057
rsiMinute input:1.60057
rsiTick : 48.0251496969141
rsiMinute :30.8441577832017
rsiTick input :1.60055
rsiMinute input:1.60057
rsiTick : 45.0946626445615
rsiMinute :30.8441577832017
rsiTick input :1.60056
rsiMinute input:1.60057
rsiTick : 46.7858698428966
rsiMinute :30.8441577832017

        protected override void OnBarUpdate()
        {
            if (BarsInProgress != 0)
            {
                if (CurrentBars[2] < 50)
                    return;

                if (IsFirstTickOfBar)
                {
                    Print("rsiTick input :" + Closes[1][0]);

                    double rsiValueTick2 = RSI(Closes[1], 25, 5)[0];
                    rsiTick[0] = rsiValueTick2;
                }

                Print("rsiMinute input:" + Closes[2][0]);
                double rsiValueMinute2 = RSI(Closes[2], 25,5)[0];
                rsiMinute[0] = rsiValueMinute2;

                Print("rsiTick : " + rsiTick[0]);
                Print("rsiMinute :" + rsiMinute[1]);

            }​

[yertle]

Hold up, I just worked around this problem. & I don't require the tick data for the OHLC calculations anymore

Thank you.

[Tony79]

What was the fix? I'm trying to figure out how to work with per tick to get my RSI to match the 1 minute chart in my python script.

[yertle]

From what I recall, & what I understood.
The tick data should not be used to calculate non Orderflow signals, where time data series can be used.

NT8 builds all timeframes from 1 min data ( I dont know about seconds)
Tick data should be used for Orderflow only.

I might be wrong on that. But in this case I got 1minute data working as expected without needed to use tick data

[Tony79]

Thanks for the reply... I'm connected to Ninja Trader via their client.dll and the live data feed is per tick. I just can't seem to figure out how to work with this to get close to the same value on the 1 minute chart in Ninja Trader. I've tried so many different things.