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  #12 (permalink)

Elite Member
Trading Experience: Advanced
Platform: NinjaTrader, TS, MetaTrader
Posts: 5 since Nov 2009
Thanks: 1 given, 16 received

Hi Aslan,

I appreciate your concise response.

In truth I never had an issue with the opening bar ticks fill, so I never thought in that level of detail. I will investigate this, thank you.

You are correct, the consistent reference is only an issue when the time stamp doesn't come from the data provider, but is created based on the computers clock. MBTrading (to name one) with NT uses the computers clock for time stamps, which explains why I have seen this issue.

I have tested the dynamic brick size algorithm for consistency during backtesting and it is consistent. As long as the first day of backtesting has 1 day of historical tick data loaded, the underlying data stream is the same and so is the calculation.

I appreciate the level of scrutiny and detail you have given to my white paper. Thank you again for taking the time to review it.

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