Historical Data Discrepancies

[szayedoud]

Hi -

I often see a discrepancy in my historical backtests. I understand that there will discrepancies between real time paper trading and historical back tests as explained here. https://ninjatrader.com/support/help...ime_vs_bac.htm

However, I often delete my Historical Data (then Reset the Database, Repair the Database, delete the cache dir and the db/cache dir) to thoroughly delete the historical data.

When I do the steps above, I assume that during my backtests, NT retrieves the latest data in your historical database from your servers, correct?

I do this periodically, and I often find it changes the results of my backtest (not drastically, but there are differences).. I compare this to NT running on a workstation where I haven’t reset the the historical values.

Any ideas why? (I am running the same exact strategy). Do you often update the historical data on your servers?

Thanks.

[NinjaTrader_Zachary]

Hello szayedoud,

Thank you for your inquiry and for your post.

Is the strategy that you are using something that you created yourself or was designed by a third party?

Do you experience the same minor differences if you do the same process, but use the SampleMACrossover strategy in the backtest instead?

I look forward to your response.

[szayedoud]

Hi - my Strategy is something I created myself, and has not changed at all in over a year. It happened this week. I deleted my historical data, and ran the backtest and got results that were different than i got on my laptop. Then I cleared the laptop's data, the results synced up.

I always suspected that NinjaTrader stores "historical" data from a real time feed, and that could sometimes differ than what is stored on your servers - can you confirm or deny that?

[NinjaTrader_Zachary]

Hello szayedoud,

Thank you for your response.

Yes, there would be some expected difference between what is recorded on your PC in real-time and what will be loaded from our historical data servers. You may read a bit about why this is from the link below;

https://ninjatrader.com/support/helpGuides/nt8/how_bars_are_built.htm

Please let us know if we may assist any further.

[szayedoud]

It says "Page Not Found" - do you update the data on your servers periodically? Or once saved on the servers, does the data never change?

[NinjaTrader_Zachary]

Hello szayedoud,

Thank you for your response and my apologies about the broken link.

I've corrected the link in my comment above. I tried to link directly to the subsection that I was referencing, but it wasn't cooperating. Since that's the case, you will want to expand the 'Understanding why a chart can look different after reloading historical data from the server' section on the right-hand side.

With regard to your question, there are certain kinds of data points that get updated based on information provided by the exchange (such as settlement adjustments on Daily data) but, generally speaking, no. We do not make frequent changes to the data on our historical data server, unless we discover any issues with that data that available on that server.

[evodiontforum]

I have an issue that is a variation on the above. I'm seeing significant variances between swing highs and lows across data feeds, except NinjaTrader's live feed is the outlier in this case. e.g. the March 5, 2024 ES 6-24 low on NinjaTrader's data feed is 5126.50 whereas on IQFeed and TradingView's CME feeds for the same contract day and time the Daily low went down to 5124.25. Where did those 2.25 points go on NinjaTrader's live feed for the same?

[NinjaTrader_Zachary]

Hello evodiontforum,

Thank you for your response.

What 'Global Merge Policy' do you have in place on NinjaTrader? This can be found at Tools > Options > Market Data?

I look forward to your reply.

[evodiontforum]

Thank you for the prompt reply. I have Merge Back Adjusted policy setting.

[NinjaTrader_Zachary]

Hello evodiontforum,

Thank you for your response.

What you are seeing is being caused by the 'Merge Policy', which stitches the 03-24 and 06-24 contracts together into a continuous symbol in NinjaTrader. If you'd like to see the 06-24 value reflected on that chart, you'd need to change the Global Merge Policy to 'Do Not Merge' and then reload the chart. Then, you will only see the values of the 06-24 contract and this should bring the low in line with that of the other data.

Please let us know if we may assist you any further.

[evodiontforum]

Thank you, NinjaTrader_Zachary That worked. My chart was being a bit stubborn to reload (F5) the non-merged data, but switching in and out of the timeframe somehow tricked it into reloading the new data. My price levels are now consistent.