What has happend here? Datastream, Order anomaly?

[fernlicht]

Hi Forum,
After I got up and check my robots, I saw that picture (please check attatchment).
After goinig long, the strategy got stopped out next candle, but the candle has not such a low that SL should have been triggered.
What could have caused such a thing? BTW I'm using Kinetick as prefered data provider and IB as second and brokerage.
Thanks!

[NinjaTrader_Jason]

Hello fernlicht,

If you create a new 15 Minute chart for the GBPCAD while only connected to Interactive Brokers and then right click in the chart and select "Reload All Historical Data", do you load historical data that justifies the sell order execution?

There must have been a bid price at 1.7485'8 for the sell order to execute. It seems this bid price was not received from Kinetick.

Please note that the NinjaTrader platform does not have control on the execution of live orders. Once orders receive an Accepted/Working status, they reside at the broker/exchange and will execute as per market dynamics. I assume you traded your Interactive Brokers account. If you like more clarification on this order execution, I suggest to contact them as well.

[fernlicht]

Ok, it is all happening here in my doruductive verison(just to clartify)

I've disconnected kinetic stream and the chart loaded automatically new bars and adjusted (repainted historically) them to the IB datastream, which somehow is a strange behavior.
it also repainted the trades, which is even more funny! Look at the attachment. it is the same time period, the same window.
The other thing is that the trade is triggerd at 23:00 (my local time) and should be executed next bar open which is 23:15. But in the attachment the next bar is 23:30!? it seems 2 bars are merged. and it happens ,historically, every day in the chart now.
Why is that?

[fernlicht]

Ok, still on the productive system, here is a screenshot that showing the last 3 days. this is unreal, i will make the same now with kinetick data..

[NinjaTrader_Jason]

Please note that you had historical data loaded from Kinetick initially. Now that you connect to Interactive Brokers, it loads the data from Interactive Brokers.

The screenshot of post #3 shows a different trade. I don't see the same execution prices as the screenshot of your first post.

Unfortunately I can't see the time stamps in the screenshot of post #3. Do you see a price bar every 15 minutes if you click and hold the left mouse button below the time axis and move to the left?

The data that is loaded from Interactive Brokers justify the order executions. If you like clarification on these order executions, please contact Interactive Brokers that has your trading account where these orders executed.

[fernlicht]

Ok, I've now changed the preferred datastream to kinetick for historical and realtime data(still on productive) and when I start the strategy a complete different trade picuture appears.
Keep in mind that it is the same timeframe the same instrument.... I'm pretty clueless now about this behavior

[fernlicht]

Ive now tested it on 20 other FX pairs and it seems that IB is doing something during 23:00 - 23:30 europe time. I thought they are only restarting datastream between 05:30 and 06:45 or so. But here I can clearly see that something is wrong, or am i wrong?
And BTW I try to reach somebody at IB on the phone now for several days, no luck , na chance

[NinjaTrader_Jason]

Ok, you refer to a historical trade. You apply the strategy in a chart and it calculates historical orders that would have taken place on the historical data loaded in the chart. If historical orders are different then it indicates historical data is different.

Please note that you can experience differences between different data sources. See the following link.
https://ninjatrader.com/support/help...derstandingThe VariablesInvolvedInBuildingChartBars

Discrepancies Between Different Data Feeds
Different data feeds produce different charts, especially when using tick based intervals vs time based intervals. Market data vendors each employ various methods for tick filtering, throttling and time stamping. As a result, no data stream is 100% identical and thus can cause subtle differences in charts. Since NinjaTrader supports many of the leading brokerage and data feed technologies, it is highly likely that two traders using NinjaTrader on different data feeds will have minor differences when plotting the same market and time interval.

[fernlicht]

Please note that you had historical data loaded from Kinetick initially. Now that you connect to Interactive Brokers, it loads the data from Interactive Brokers.

The screenshot of post #3 shows a different trade. I don't see the same execution prices as the screenshot of your first post.

Unfortunately I can't see the time stamps in the screenshot of post #3. Do you see a price bar every 15 minutes if you click and hold the left mouse button below the time axis and move to the left?

The data that is loaded from Interactive Brokers justify the order executions. If you like clarification on these order executions, please contact Interactive Brokers that has your trading account where these orders executed.

Well it is the same trade, I promise its on 1the 5min time frame, but there is only one bar between 23:00 and 23:30 (every day) using IB, the rest of the bar series is ok.

[fernlicht]

Since NinjaTrader supports many of the leading brokerage and data feed technologies, it is highly likely that two traders using NinjaTrader on different data feeds will have minor differences when plotting the same market and time interval.[/I]

Ok, i understand that minior differences can occure, thats fine and to be expected. In this example it is totaly different what leads to complete different trades.

What shall I do now?

[NinjaTrader_Jason]

NinjaTrader loads historical data as provided by the connected broker/data feed connection. Please contact Interactive Brokers for clarification regarding the historical minute data you load between 23:00 and 23:30.

[fernlicht]

Yes, yes, I do not blame Ninjatrader, all good on this side. I just thought maybe you know about this issue and know a work around... because one thing is sure..IB will not do anything from past years experience.

[NinjaTrader_Jason]

Unfortunately I'm not aware of a workaround.