Inconsistent Loading of Historic Volume Profile

[Matt_R]

I was hoping to use NinjaTrader for developing volume profile strategies, however, I'm not sure it can be used for reliable backtesting given what appears to be inconsistent loading of historical volume by price level data. I first noticed this when comparing an NT chart to that of the platform I'd been using. The NT chart produced different volume profiles - e.g. POC and value area at different price levels. To be sure the other platform wasn't the one with the error I allowed both platforms to run throughout the day, collecting live data. When running live, NT and the other platform produce essentially the same volume profiles, however, when I close NT and reopen it, it's volume profiles no longer match what it produced live. I've attached images of the volume profiles produced during the live market, and those produced during the same time frame after closing and reopening the application, when that time frame was past, and loaded from historical data.

Is there a way to resolve this data loading error?

Thanks!

[NinjaTrader_Manfred]

Hello Matt_R,

Thank you very much for your post.

Is it possible the PC's clock is out of sync? This could offset the chart visibly.

You may use the steps below to sync your PC's internal clock that NinjaTrader's Charts use for its timestamps.

• Shutdown NinjaTrader
• Right-click on the clock in the lower-right corner of your desktop
• Select "Adjust date and time"

For Windows 10, select 'Date, Time, and regional formatting' > 'Additional date, time, and regional settings' > 'Set the time and date'

• Select the 'Internet Time' tab at the top
• Set the server to time.nist.gov and click "Update".
• If the message that appears says successful your PC clock should now be updated.
• If not, select a different server from the Server: drop-down and try again (repeat until one of the servers is successful)

For Windows 11, select Sync Now under Additional Settings. We would also recommend enabling your computer to set the time and the time zone automatically if they are not already enabled.

After updating the PC clock, reopen NinjaTrader, then right-click in the Chart and select "Reload All Historical Data".

Please don't hesitate to let me know, should this not resolve the discrepancy!

[Matt_R]

Hi Manfred,

Thanks for the reply. There's no apparent issue with the PC clock as it appears to auto synchronize everyday. It's using time.windows.com, not time.nist.gov. Is this an important difference?

Also, NT seems to have no problem properly displaying volume profiles in real time (nothing out of sync), it's only the historical data that doesn't load properly. Almost seems like it's getting bad historical data. I've attached a new image that shows this in a different way. By comparison to my other platform, which is running dxFeed, the 9:15 candle has the right OHLC and total volume, with the wrong POC and value area, but more obviously, the 9:15 candle shows no volume for the 10 ticks from the POC to the low.

This would seem to suggest missing volume by price level data with historic data loads, which would follow naturally to the discrepancy between live and historic profiles.

Any suggestions?

Thanks,
Matt

[NinjaTrader_Manfred]

Hello Matt,

Thank you very much for your reply.

Could you send us your log & trace files? I would like to take a closer look at how this data is built.

You can send us these files by going to the Control Center -> Help -> Email Support

Please select "Platform Technical Support" as the recipient and enter a brief "note in the message referring to this post.

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

[Matt_R]

Thanks Manfred. I just sent the files as requested.