Order Flow Volume Profile Indicator Tick Resolution for Data Older Than 12 Months

[artvandelay123]

Hi all,

Using 8.0.26.1 64-bit.

I've corresponded with NT Support on this issue. I'm running an Order Flow Volume Profile Indicator with Tick Resolution on a CL data series that is older than 12 months, e.g., late July 2021 using CL 09-21 contract.

The Profile is not showing on my chart under the Tick Resolution but will show under the Minute Resolution. See attached pic, which includes my indicator settings. Note that prior to August 5, the profile doesn't draw. This behavior happens on all futures instruments beyond 12 months from the current date.

Support has indicated that Minute Resolution is the only solution here, but I prefer the better accuracy of Tick Resolution.

Has anyone else experienced this behavior when analyzing older charts with Order Flow Volume Profile Indicator?

Thanks.

[NinjaTrader_ChelseaB]

Hello artvandelay123,

It sounds like tick data is not available from your data provider.

Can you open a tick chart to the same time frame see data for the entire period?

[artvandelay123]

Hello artvandelay123,

It sounds like tick data is not available from your data provider.

Can you open a tick chart to the same time frame see data for the entire period?

Hi Chelsea,

I am using Continuum, which to my knowledge has historical tick data.

Please see attached screenshot, where I have the same issue on a 10,000 tick chart using 8/13/21 as the start date for the series going back 14 days on the CL 09-21 contract. Note the profile stops prior to Aug 8, and should have gone back 14 days from 8/13/21.

There seems to be something about 12 months before today's date on a rolling basis that prevents my Order Flow Volume Profile indicator from displaying with Tick resolution.

Please advise.

Thanks.

[NinjaTrader_ChelseaB]

Hello artvandelay123,

"There seems to be something about 12 months before today's date on a rolling basis that prevents my Order Flow Volume Profile indicator from displaying with Tick resolution."

You are confirming the issue is that the tick data is not available, correct?

Meaning the same data is missing from a Tick chart, so the data is not available?

[artvandelay123]

Hello artvandelay123,

"There seems to be something about 12 months before today's date on a rolling basis that prevents my Order Flow Volume Profile indicator from displaying with Tick resolution."

You are confirming the issue is that the tick data is not available, correct?

Meaning the same data is missing from a Tick chart, so the data is not available?

Chelsea,

NT is presenting some weird behavior now. I always clear my db folder in the Ninjatrader 8 folder so that data always reloads at NT start, and also as part of diagnosing this issue.

Well, upon NT restart, I am now able to show both a Tick and Minute chart with Order Flow Volume Profile indicators (Tick resolution) for an older data series, June 1, 2018 using the 7/18 CL contract. Please see attached pic. 30 min chart on left, 10,000 tick chart on right.

This behavior occurred a couple weeks ago, whereby I was able to load older data series with Order Flow Volume Profile indicators with Tick resolution. But the majority of the time, after NT restart (and clearing db folder), I'm not able to load the indicators.

So I closed NT, cleared db folder and restarted NT. Again now, having issues loading the Order Flow Volume Profile with Tick resolution for older data series.

Any idea for this inconsistent behavior?

Thanks.

[NinjaTrader_ChelseaB]

Hello artvandelay123,

I would expect the volume profile to load where any historical tick data is available.

In the screenshot of your 10,000 Tick chart may I see the Data Series window for this?
You are stating that Data from before May 25th is missing in the screenshot? Or data after June 1st?
What is missing in the screenshot?

Deleting the data and redownloading would change what historical data is downloaded. By redownloading from the server this would only fetch what is available on the server (which is a different for different instruments and different data types. There is no guaranteed amount of tick data.)

Is there a reason you are deleting the db folder? Is the data that was already downloaded not appearing on a chart? Does this show in the Tools -> Historical Data window?

Testing on my end, I am showing that there is CL tick data available from Continuum on May 25th through June 1st.

[artvandelay123]

Hello artvandelay123,

I would expect the volume profile to load where any historical tick data is available.

In the screenshot of your 10,000 Tick chart may I see the Data Series window for this?
You are stating that Data from before May 25th is missing in the screenshot? Or data after June 1st?
What is missing in the screenshot?

Deleting the data and redownloading would change what historical data is downloaded. By redownloading from the server this would only fetch what is available on the server (which is a different for different instruments and different data types. There is no guaranteed amount of tick data.)

Is there a reason you are deleting the db folder? Is the data that was already downloaded not appearing on a chart? Does this show in the Tools -> Historical Data window?

Testing on my end, I am showing that there is CL tick data available from Continuum on May 25th through June 1st.

Chelsea,

I delete the subfolders with the db folder to speed up platform loading on start up. I don't do the automatic connection when I start NT, so deleting the Tick, Minute, etc. folders in db speeds thing up by only loading charts upon connection.

That said, this time I did not delete the subfolders in db, and upon connection I've been able to see the Order Flow Volume Profile indicators with Tick resolution for several time periods in 2018. I think I've at least for the time being solved his issue. The only thing I've changed to solve this and have consistent showing of the indicator with Tick resolution is *not* deleting subfolders in db. Maybe my platform was having issues pulling tick data consistently prior to 12 months ago?

If I have issues again, I'll post on this forum.

Thanks for your help.

[NinjaTrader_ChelseaB]

Hello artvandelay123,

"I delete the subfolders with the db folder to speed up platform loading on start up"

This is guaranteed to make the charts load much slower at startup as pulling cached data from the hard drive is a magnitude faster than downloading this from the historical data servers, caching this to the hard drive again, and then pulling then pulling from the cache.

I am able to see historical tick data from Continuum on May 25th. Is the issue you are having that this will not load on a tick chart? (You can use 3600 second charts which also loads tick data but has a uniform number of bars)

[artvandelay123]

Hello artvandelay123,

"I delete the subfolders with the db folder to speed up platform loading on start up"

This is guaranteed to make the charts load much slower at startup as pulling cached data from the hard drive is a magnitude faster than downloading this from the historical data servers, caching this to the hard drive again, and then pulling then pulling from the cache.

I am able to see historical tick data from Continuum on May 25th. Is the issue you are having that this will not load on a tick chart? (You can use 3600 second charts which also loads tick data but has a uniform number of bars)

Chelsea,

In the interest of determining the cause of my original issues with OF indicator Tick Resolution, I went ahead and deleted the subfolders in the db folder, and lo and behold, I am now not able to view the OF indicator for older data series, please see attached pic. Left graph is 30 minute chart for June 1, 2018 using CL 07-18 contract and right chart is the same using 10,000 tick chart. It appears the tick chart is not loading, which may explain why the Tick resolution of the OF indicator is not showing on the 30 min chart to the left.

Would need your opinion, but it appears my platform is inconsistently pulling tick level data from Continuum to allow Tick Resolution for the OF indicator. Now I'm not sure how to get that tick data that I was able to access for the last 48 hours; I tried restarting the platform without deleting the db subfolders, but the tick data is still not reappearing.

Thoughts?

[artvandelay123]

Chelsea,

In the interest of determining the cause of my original issues with OF indicator Tick Resolution, I went ahead and deleted the subfolders in the db folder, and lo and behold, I am now not able to view the OF indicator for older data series, please see attached pic. Left graph is 30 minute chart for June 1, 2018 using CL 07-18 contract and right chart is the same using 10,000 tick chart. It appears the tick chart is not loading, which may explain why the Tick resolution of the OF indicator is not showing on the 30 min chart to the left.

Would need your opinion, but it appears my platform is inconsistently pulling tick level data from Continuum to allow Tick Resolution for the OF indicator. Now I'm not sure how to get that tick data that I was able to access for the last 48 hours; I tried restarting the platform without deleting the db subfolders, but the tick data is still not reappearing.

Thoughts?

Chelsea,

Following up on my last post, I went to the Tools, Historical Data menu and noted in the attached screenshot that Tick data is not pulling for the earlier CL data series. Is there a reason this is not being pulled when I load a tick chart? Is this the source of my issues?

Thanks.

[NinjaTrader_ChelseaB]

Hello artvandelay123,

Is the merge policy set to MergeBackAdjusted (this is the default setting) globally and for the CL instrument?

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/96311-backtesting-choosing-contract-month?p=782986#post782986

[artvandelay123]

Hello artvandelay123,

Is the merge policy set to MergeBackAdjusted (this is the default setting) globally and for the CL instrument?

https://ninjatrader.com/support/foru...986#post782986

Yes, I always use MergeBackAdjusted.

[artvandelay123]

Chelsea,

Checking if you had any comment on why my platform is not pulling tick data prior to 12 months ago. Please see attached screenshot, showing no tick data being pulled prior to Aug 11, 2021. I have Continuum.

Thanks.

[NinjaTrader_ChelseaB]

Hello artvandelay123,

Are you able to open a tick based chart to the same date range?

Second charts are tick based. Can you open a 3600 second chart to that date range?

[artvandelay123]

Hello artvandelay123,

Are you able to open a tick based chart to the same date range?

Second charts are tick based. Can you open a 3600 second chart to that date range?

Chelsea,

Tick-based and second charts for that range had no effect, the indicator still didn't plot.

Since I've had inconsistent results with clearing the db folder, I switched workspaces and recreated the charts, same effect. I closed out of NT, didn't clear db folder, and when I restarted, the indicators plotted on the other workspace. Switching back to my main workspace, indicators plotted.

So it would seem that I have a partial workaround, albeit most of the time it works, which is to switch workspaces to ensure indicators plot. It seems this lasts for at least a couple sessions (i.e., a session defined as not closing NT, then closing to end the session, then restarting to start a new session). Then the indicators don't plot again, so I need to switch workspaces, close out, and switch back.

Any reason that I have to switch workspaces to get indicators working on older charts?

Note that at least a couple other threads in the forums have commented on issues with indicators on older data series, with 12 months ago seemingly being the cutoff for issues.

Thanks.