Influx of ticks with the same timestamp - How is it processed?

[DuggyLou]

I'm working on a strategy using Calculate.OnBarClose using a data series with a 1 tick resolution. I have a case where there are an influx of 298 ticks with the same timestamp 18:17:51.789... The price range during that event is 17.420 to 17.310...
During real time processing does Ninjatrader actually wait to process each tick or does it start calculating with the present time's tick if that timestamp has already passed? How about in back testing or strategy optimization, how is it processed in that instance?

[NinjaTrader_Jim]

Hello DuggyLou,

Thanks for your question.

NinjaTrader will process each tick as they come in when processing realtime data. Historical data is processed first and then the strategy transitions to processing realtime data that is streaming in.

Historical data (processing data that is already on the chart, backtesting, optimizing) is processed chronologically based on the bar timestamps.

In both cases, a script calculating OnBarClose using a single tick data series will have an OnBarUpdate iteration for each tick as they are processed.

Please let us know if you have any additional questions.

[DuggyLou]

So if each tick is processed in order received, say an extreme example of 1,000 ticks with the same timestamp came in would not there be a backlog of ticks waiting to be processed essentially delaying the processing of real time ticks?

[NinjaTrader_Jim]

Hello DuggyLou,

This is a potential to consider. If highly complex logic is written in OnBarUpdate, and the strategy is applied against a single tick data series or is calculating on each tick, we could encounter some lag where the strategy is still processing all of those ticks.

The context in which the strategy should be applied to should be considered when developing the strategy. Like this case, if we are considering running a script against single tick data updates, we would want to be sure that the strategy logic is not too complex where you would see lag or lesser performance with higher volatility.

Let us know if you have any additional questions.