VP issue

[WalterSkinner]

Gap in data persists after following these steps please advise.

• Disconnect from your Data Provider
• Go to the Control Center > Tools > Historical Data > Edit window
• Right-click on the data listed for this instrument and select 'Remove'
• Restart NinjaTrader and reconnect to your Data Provider for the data to be redownloaded from their servers.

Shut down NinjaTrader.
Open the Documents > NinjaTrader 8 > db folder.
Delete the sub-folder named 'cache'.
Enter the sub-folder named 'tick'.
Delete the sub-folder named 'ES 06-22'
Go back to Documents > NinjaTrader 8 > db
Enter the sub-folder named 'minute'
Delete the sub-folder named 'ES 06-22'
Restart NinjaTrader and test.

Monthly and weekly VPs showing gap in data from ~4015-3954:



Intraday chart with manually drawn VP showing that some of the missing data from the previous chart does exist (missing ~4000-3990):


Monthly data series and indicator settings:
[removed due to attachment limit]

Weekly data series and indicator settings:

[WalterSkinner]

[NinjaTrader_Clayton]

Hello WalterSkinner,

Thank you for the messages.

I connected to NinjaTrader Continuum and then loaded in the same charts and had the same gaps on my charts.

I added a Volumetric Bar type so I could look at how many trades occurred at each price level during the Price Drop where the gap is shown.

It appears that there is a "gap" in the volume because there were multiple price levels that were jumped over while the price was dropping.

Here is what these charts look like in my Platform:

[WalterSkinner]

If this issue was truly due to liquidity as you speculate the gaps would be the same.

[WalterSkinner]

The only way this would be possible (imagining the data is correct) is if there wasn't a single bid for all of those prices. Every single buy limit order would have had to evaporate. And prices so close to the market on a product like ES?

The different gaps also suggest some other issue.

I'm using rithmic and when this was happening in real time another trader I was talking to saw no such liquidity vaccuum

[NinjaTrader_Clayton]

Hello WalterSkinner,

Thank you for the updates.

I connected to three different Market Data Providers and reloaded the Historical Data each time so that the chart would use the data from that new Market Data Provider.

While the Volume changes a little between the different data providers at some of the price levels, all 3 of them show that the market jumped over multiple price levels with 0 Volume happening at most of them during the drop in price at the time.

This would explain why there was such a fast and large drop in price at the time.



I have attached the Workspace file that I used for the screenshots above. You could download the file attached and then put it into your platform to see if your chart looks the same:

• Close NinjaTrader
• Download the Workspace file attached to this email > Extract/Uncompress it > You need the .XML file from within the compressed folder
• Once downloaded, either copy and paste, or move it to the following location
  • My Documents > NinjaTrader 8 > workspaces
• Put the files into the "workspaces" folder
• Reopen NinjaTrader and you will see it within the Workspaces menu
• Select it and then compare the results