Incorrect Cumulative Delta data

[adaisguy]

Hello,

I'm having an issue getting the correct cumulative delta data to display on a real time chart. I'm using the NT order flow indicator but I've tried a 3rd party indicator and get the same problem. During the real time session my cumulative delta chart will not match the charts of others in my trading group with the same broker. My chart will be off by several thousand. In the evening, when I start NT to review the charts, the cumulative delta appears correct. When I shut down and restart NT during the live session the cumulative delta is correct but then slowly gets worse. If I use 'reload the historical data' during real time I'll get a different delta result which also appears incorrect.

I believe it may have something to do with real time data vs historical or my broker setup. I get my ES data from my broker, but I also connect to Kinetick for market data (but it does not have real time data). I'm not sure if having Kinetick is messing up the calculation. I've played around with the Preferred Connections for Historical and Real Time data, but I have not been able to find a combination that fixes the problem. Currently, I have Rithmic set for both Real Time and Historical future data. I do not have Kinetick set as a preferred connection in the options.

I'm including screenshots of the ES and the cumulative delta indicator from Jan 31 of my real time chart and the historical chart from later that evening (note 7:30 am is when the market opens for in my time zone). The delta which ends the day near zero is historical chart with the correct delta. The chart showing +20k delta is what I was seeing from the real time data. The setting have not been changed on the indicator.

Thank-you

[NinjaTrader_Manfred]

Hello adaisguy,

Thank you very much for your post.

Could you send us your platform's log & trace files? We'd like to take a closer look at any reported errors or issues, as this might give us an indication of why your platform shows this discrepancy.

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

Please select "Platform Technical Support" as the recipient and enter a brief "ATTN 03686079" note in the message.

Thank you in advance, I look forward to your reply!

[adaisguy]

Thank you for your quick reply.

I have sent the log files as requested.

[Juliuc86]

So what happened to this? I am having the same issue

[adaisguy]

Hello NinjaTrader_Manfred,

Did you receive the log files?

Thanks.

[NinjaTrader_Jason]

Hello adaisguy and Juliuc86,

Can you please tell me if Rithmic was set for both Realtime and Historical data on January 31st.

When you connect to Rithmic in the NinjaTrader platform, realtime data is received from Rithmic and historical data is loaded from our servers. As you mention, there is no issue when the data is loaded as historical data, only with realtime data. It seems you don't receive the same realtime data as the others of the trading group. Am I correct these others of the trading group show the same realtime data for the Order Flow Cumulative Delta indicator between them?

Did you always experience this issue in NinjaTrader or did it start to happen at certain point back in time?

When I check the Earn2Trade connection guide, it does not seem they use R|Trader Pro. Am I correct you don't have R|Trader Pro running when you use NinjaTrader?

https://help.earn2trade.com/en/articles/4473826-how-to-connect-rithmic-to-ninjatrader

What setting do you have selected for 'System' in the "Rithmic for NinjaTrader Brokerage" connection settings? If you set it to same setting as the others in the trading group, does the issue persist?

[adaisguy]

Hi NinjaTrader_Jason

I'm not sure what settings I had on Jan 31st as I was playing around with the settings daily in an effort to find a solution. These are the charts for today which show a huge difference between the real time and historical charts. For today's charts Rithmic was selected as Future in both historical and real time. Kinetick was selected as the Index for the historical but the real time index option was none. The other person who uses cumulative delta in my group gets his data from Rithmic but this broker is NinjaTrader. I just started using cumulative delta so I'm not sure if the problem has always been there or not. The System option is set to "Rithmic Paper Trading (Chicago)'.

I do not connect via R|Trader Pro but I can give that a try. (Edit: I tried plug in mode via R|Trader Pro and I could not get it working. Hopefully I can get the direction connection working)

[NinjaTrader_Jason]

The screenshots show quite similar bars, but they plot at different values as the session progresses.

Can you please tell me what trading hours template you have selected in the Data Series menu of the chart.

If you create an additional chart with the Period setting configured to Bar instead of Session for the Order Flow Cumulative Delta, do you experience the issue?

Am I correct the other person does not have any difference between realtime and historical Order Flow Cumulative Delta bars?

When I test this chart on my end, I load data as per the screenshot below. All data was loaded as historical data.

[adaisguy]

Hello NinjaTrader_Jason,

I use a custom trading hours template which splits the RTH and the overnight session (I've included a screen shot of the template).

It turns out the other person in my group doesn't use Rithmic. He uses Continuum. I switched the preferred connection from Rithmic to my personal account which uses Continuum and the problem was solved. My live cumulative data matches the others in my group and it matched the historical data that I downloaded at the end of the day. I didn't change any of the indicator settings. The issue seems to either be with Rithmic or how my NT processes Rithmic order flow. It's very strange.

I'll have to use Continuum from now on, but on a day when I do not plan to take any trades I'll switch back to Rithmic, try changing the Period setting to Bar, and update this thread.

Thanks for your help.

[gseweb]

Hello,
I am having exactly the same issue with my cumulative delta on NT using Rithmic. In real time, my orderflow cvd is skewed and not plotting the same chart as others in my workgroup see (some use atas platform with no issues.) But my NT cvd in real time is useless, for if you look for divergences it will fake you out big time. And the next day you restart your NT, and what you see is that your cvd from the previous day is completely repainted; it suddenly matches what others saw yesterday in real time.

Even cvd indicator on tradingview does not behave this way. Even though tradingview doesn't even use tick data, which is supposed to be the most accurate to calculate delta.

It might be the reason that NT somehow processes "tick" data incorrectly (depending on the feed provider) for the purpose of calculating cvd. I've seen earlier posts mentioning similar problems not even involving Rithmic. But this issue I believe must addressed. Many of us purchased a lifetime license for NT, so we shouldn't be forced to pay more now to switch to different platforms because of this NT cvd "real-time vs historical" calculation problem.

Thank you for your attention.

[NinjaTrader_Jason]

Hello gseweb,

Can you please send me your log and trace files from within NinjaTrader, so I can investigate the issue.

• Go to Control Center-->Help-->Email Support
• Set the To field to Platform Technical Support
• Enter "Att Jason, 03686079" in the "Subject" field
• Enter any text under 'Please enter any information that you feel will help us resolve your inquiry'.
• Make sure "Log and trace files" is enabled
• Click Send

[Cameronpanek1]

The same thing is happening to me. I’m entering trades seeing a divergence except there is none. The data is just incorrect.

[NinjaTrader_Jason]

Hello Cameronpanek1,

Can you please proceed as per post 11 and send your log and trace files.

[mnooooo]

Since I am experiencing the same issue, I sent you a email with the same ticket number.
The overall volume and volume per price (ask orders + bid orders) are almost the same, it looks like NT has a problem to print it on the correct side. I checked it with the tape in rithmic itself and you can see that NT randomly print on ask or bid even though the orders in rithmic showed up on the other side.

[mnooooo]

Here after the NY open. When volatility is high it only prints on side and i checked it again in rithmic: Sell and buy orders came in but it printed mostly only on one side in NT.

Sorry for spamming