Difference between data feed?

[slightly]

Hello,

This morning I've observed there is a difference between 5m timeframe on NinjaTrader and 5m timeframe on a third broker.

Could somebody explain why this occur and if it's can be corrected?

Thanks

[NinjaTrader_Sev]

Hello slightly,

Thank you for the inquiry.

So long as you are using the same provider, your charts will match up exactly after you right-click within the chart and select 'Reload Historical Data'. We would not expect data from different providers to match up due to how bars are built differently on every provider's servers, and live data will vary slightly between every computer for all the reasons listed below.

If you want to ensure that you are receiving data for a specific instrument type from a provider, you may also set up Preferred Connections using the steps at the bottom of the email.

How Bars Are Built - Real-time vs Historical Data

"As ticks come into NinjaTrader in real-time, they are time-stamped based on your local PC time if they do not already have an associated timestamp that is provided from the real-time data source. NinjaTrader then builds bars based on the timestamp of the incoming tick and displays these bars in your chart in real-time.

Let's say you have a tick (tick "A") with a timestamp of 10:31:00 AM which gets packaged into the 10:32:00 AM bar and happens to be the high of that bar. An hour later, you reload historical data from your historical data provider into NinjaTrader. This process will overwrite the existing data. The 10:32:00 AM bar now looks different since the high made by TICK "A" is now part of the prior bar, 10:31:00 AM. How is this possible?

• Your PC clock could have been off so the timestamp is delayed
• Your internet may have been lagging so the tick came in slightly delayed and therefore the time stamp is delayed
• Due to standard latency, even 50ms delay (which is normal) could be the difference between a 10:30:59 and 10:31:00 time stamp
• There is no way of knowing how the historical data provider packages their bars

The only way to ensure that data always looks the same is if every connectivity provider sent ticks with time stamps AND that all vendors synchronized on time stamps. Unfortunately, this is just not a reality nor a plausible scenario."

NinjaTrader 8 Help Guide:
How Bars are Built
Understanding Why a Chart Can Look Different After Reloading Historical Data

Preferred Connections

To change your Preferred Connections on NinjaTrader 8, do the following:

• Go to the Control Center > Tools > Options > Market Data window
• Change the Preferred Connections for both Historical and Live data to the Data Provider you are expecting to receive data from based on Instrument Type (Example: Futures Data — IQFeed)
• Click 'OK' to save and apply
• Restart NinjaTrader and reconnect to both of your Data Feeds for all of the changes to take place

NinjaTrader 8 Help Guide — Options > Market Data Parameters



Please let us know if you have any additional questions.