Playback data discrepancy

[MisterGee]

Hello,

I have noticed a few errors in my playback data recently. I have been getting filled at prices that are not correct. See screen shot. There are some that are far worse than this. Is there any way to fix these data errors?

[NinjaTrader_ShawnB]

Hello MisterGee,

Thank you for your post.

Are you using an automated strategy to submit your orders?

We look forward to assisting you further.

[MisterGee]

Yes it is an ATM strategy

[NinjaTrader_Jason]

Can you please right click in the chart and select 'Data Series'. Set 'Price based on' to Bid or Ask and click OK. Replay the session once more and check if you receive prices that justify the order executions. Buy orders execute at the ask price, sell orders at the bid price.

Do you have 'Market Replay' or 'Historical' enabled in the Playback control window? If 'Historical" is enabled, please go to Control Center-->Tools-->Historical-->Edit-tab. You can exclude the data that cause these order executions from here. Please see the link below for instructions and more information.

https://ninjatrader.com/support/helpGuides/nt8/?editing.htm

[MisterGee]

I've re-run one of the sessions with one of these errors and when the data series is set to 'Bid' it shows a large candle wick spike up to fill the target where it was not present when the data series was set to last.

I have the replay window set to 'Market replay'.

I looked through the historical data 'edit' tab but there is a lot of data missing? Full days of data are not showing up. I usually download replay data through Kinetics EOD Free connection.

[NinjaTrader_Jason]

You can enable the bad tick filter to filter out bad ticks in realtime. Please go to Control Center-->Tools-->Options-->Market data and enable 'Filter bad ticks'. Enter a value you like in the "% off market" field.

Filter bad ticks
Enables or disable filtering of bad ticks. This filtering only works on real-time data and will filter ticks that are a greater then a set percentage away from the last tick. Set the percentage for filtering with the property: "% off market". Note: If NinjaTrader receives 2 or more ticks that violate the tick filter we will no longer filter the ticks as the market is assumed to have legitimately gapped up or down.

% off market
Sets the real-time tick filter offset percentage (0.1 equals 1/10 of a percent)

Please note that the free Kinetick EOD connection does not provide Market Replay data. If you download Market Replay data at Control Center-->Tools-->Historical Data-->Load-tab-->Get Market Replay data, it is loaded from our servers. You don't need to be connected to Kinetick EOD to download Market Replay data.

[MisterGee]

The tick filter works on replay data?

[NinjaTrader_Melissa]

Hello MisterGee,

Thanks for the reply, and apologies for the confusion.

No, the tick filter will not work on Market Replay data, as the data is already stored in our servers.

The reason that simulated/playback fills may look unusual in some cases is due to the fact that they are always filled on the bid or ask price instead of the last price. Depending on the instrument you trade, if there is a very high spread, the order fills may be well outside of the chart's bar.

So that we may rule out any additional causes, please send us your log and trace files so that I may look into what occurred.

You can do this by going to the Control Center-> Help-> Email Support

Ensuring 'Log and Trace Files' is checked will include these files. This is checked by default.

Please reference the following ticket number in the body of the email: 3121080

We look forward to resolving your inquiry.

[MisterGee]

I can only assume that having an order filled so far outside the charts bar, as seen in the above pictures, is not realistic in live trading?

[NinjaTrader_Jason]

Yes, you are correct in understanding.