Inconsistent data between live and playback

[shunsinger22]

This isn't the first time I have noticed this, but there are times when there are data points that are inconsistent. I'll give 2 examples.

This past Friday 2/7/25, my indicator and strategy which both use ADX values to do a calculation between bars, triggered a live trade and the indicator drew on the chart as expected. Which means that the ADX calculation was < than a specified value. However when I go back to the view now (live, sim, or playback), the indicator won't draw on that same bar that it did live, meaning the values of ADX have changed or are different now than they were Friday while running it live. When checking the ADX values now, they are close to the trigger value, but would not trigger it with the current values. That's a bit alarming to me.

Also, I have tried to do a playback using a short time window of 1 day, then did the same backtest using a larger window, like 2 weeks (including that one day), and the data was different enough between just that setting that the strategy wouldn't pick up trades it did in the shorter window. I thought that was odd, but shrugged it off.

Any explanation for this would be greatly appreciated. I've been building my strategy over months using playback data, if that data is flawed, that is a pretty big deal.

Thanks in advance!

[NinjaTrader_Erick]

Hello shunsinger22 ,

Thank you for your post.

Are the Charts you are using involve Daily bars/data?

Most likey you are seeing differences when data is adjusted for settlement.

Please note that the Daily Bars within NinjaTrader are being provided to the NinjaTrader platform from your Market Data Provider as a Daily Bar.

• The Trading Hours templates do not affect a Daily Bar since they come packaged as a Daily Bar
• Most daily bars are adjusted for Settlement, so that would account to the differences you are seeing between daily and intraday close values.
  • You may read a full overview of how charts are built in real-time here in our NinjaTrader 8 Help Guide - Charting > How Bars Are Built

The Trading Hours Templates that are assigned to an instrument are purely suggestions and if you do not like the Template that is being used, you could either select another one that is already created or create your own custom Trading Hours template to include the times you want.

• https://ninjatrader.com/support/help...urs_window.htm

If you want to look at a "Daily" chart that is affected by the Trading Hours template, create a "1440 Minute" Chart

• There are 1440 minutes in a Day
• This will cause the chart to be built from Minute Bars instead of Daily Bars
• Since this is being built from Minute Bars, you can change the Trading Hours Template to affect the resulting chart

Since Daily Bars are adjusted for Settlement and sent to NinjaTrader with those specific values,it is possible for the 1440 Minute to have a different Close than the daily bars because NinjaTrader is looking at the Literal Closing price of the last plotted bar. This is different from the Settlement price that the Exchange comes up with and sends with the Daily Bars.

• You can always verify the settlement price of an instrument by going to the Exchange's website for the instrument and comparing the values.
• Here is a publicly available example of the website you could use to verify the values for the ES 03-25
  • https://www.cmegroup.com/markets/equ...ttlements.html
    • We would expect the Daily Bars to line up with these settlement prices if you are using a broker that adjusts and uses the Settlement Price for the Daily Bars. You can find this information within the last column in the link below:
      • https://ninjatrader.com/support/help...y_provider.htm

If you are seeing inconsistent data and are using all instraday time intervals:

Please go to Tools-> Options -> Market Data-> under Global Merge Policy, select "Merge back adjusted".

Apply the change, then go back to your chart, right click on your chart and select the option that says "Reload all historical data".

If this does not work, additionally :

Clear old historical and cache data by doing the following:

- Shut down NinjaTrader 8

- Go to the 'Documents/NinjaTrader 8/db' folder of your computer

- Delete the files inside the 'cache', 'day', 'minute', and 'tick' folders.

- Important: Do not remove any other files inside the NinjaTrader 8 Documents folder.

-Restart your PC

When you restart NinjaTrader 8, you may notice a slightly longer initial load time as all of your historical chart data is re-downloaded, but your overall performance should be better.

Please let us know if we can be of further assistance or if you continue to experience this behavior.

[mbcito]

shunsinger22 ​
You don't have to trust the strategy analyzer.
I have differences in the construction and filling of orders constantly with all types of bars and indicators.
For me there is no solution. The only thing you can do is backtest live or on demo accounts.

[shunsinger22]

Thanks Erick, I'm using intraday 1m chart. I'll try your suggestions and report back.

Thanks mbcito, I haven't been using the strategy analyzer, I've been doing what you suggest, doing sim and replay to back test manually. I have an indicator that matches my trigger condition, so it's easy to scroll back and find the trades visually with it drawing entry, stop, and profit targets directly on the chart at that spot. My issue is when I was live on Friday, both the indicator and strategy triggered a profitable trade, but when I went back over the weekend to document it, it wasn't triggering on that bar anymore.

Thanks, for the input and suggestions!

[shunsinger22]

NinjaTrader_Erick I did what you suggested and it didn't change anything. I only ever jump between US Equities RTH and ETH, but I've tried a bunch of random ones to try and get the indicator to trigger like it did live and no luck. I guess I'll just count it as a glitch in the matrix lol. I use native NinjaTrader, so I'm not getting my data from another source. The specific two bars that I believe are different are 11:00 and 11:01 on Friday 2/7/25, instrument is MES. The diff between them had to be > -.2 for my trigger, and it is currently a little less than -2.4.

I was thinking that it might have something to do with how my strategy works, I use OnPriceChange, but do my checks on the first tick of the bar, using the close of the previous bar for values. For the indicator that mimics the strategy, I use OnBarClose. Since they both triggered live and neither trigger now, that gives me some confidence that it's not related to that though.

If there is no explanation, then so be it, I will just move on. I don't have any screenshots or any proof other than I can show the trade that happened and the strategy conditions as that is my only "proof".

Thanks!