Order flow data & delta discrepancy

[linterstellar]

Hi Ninja Trader Support,

I am an order flow trader that uses 2000 tick volumetric chart from Rithmic paper trading in Chicago. The instrument was NQ 06-22

On May 6 between 7:30 to 8:00am CST my live trades show the cumulative delta value as the first image. I have since closed and reloaded the chart for strategy backtesting. It appears there is some variation in data..while the candlesticks look the same, the cumulative delta differs noticeably (I have highlighted them in orange) and I suspect level 2 data, bid/ask volumes as well (though you can't see it because the font is small)..

I have not changed the chart settings or source of data.

Why? And could you verify what you see?


thanks

[NinjaTrader_Manfred]

Hello linterstellar,

Thank you very much for your post.

Due to how these charts are built, Tick-, Renko-, and Volume-based charts can often differ between real-time and historical data.

Whereas a time-based chart will always start at one time and end at another, charts based on ticks would close every time x ticks have been reached.

If the historical data changes slightly, e.g. because your provider filters real-time data or the chart starts at a different time, all candles can then be offset, resulting in different data.

While I would generally not expect the values to change as drastically as they did here, it does seem that the candles, while not having changed the open, close, high, or low values, had received different execution volumes when the data was reloaded, which would explain the different values you then receive in your indicators:



As this is a limitation of how tick-based charts are built, it's not possible to fully circumvent this.

If you have any further questions in this regard, please let me know!