inconsistent results from different data sources

March 16th, 2018, 05:45 AM

Hi ABCTG,

Thanks, I did have that on but I have just discovered that having that set and reloading is not enough. I deleted the SPY history from Quote Manager and started again and sure enough many but not all the suspect ticks have been cleaned up. Looks like I am going to have to clear the database and refresh all my symbols.

This is much better!

regards,

Alex

March 16th, 2018, 06:40 AM

Hi ABCTG,

Unfortunately that does not do the trick. It fixes some things but still with major problems. I cleared all the symbols but here is Proctor & Gamble for March 6th.

This shows up in the back test as a 13.6% loss for that day on that trade which in the real world would never happen. Sure you can correct this by hand but a 100 symbols in Portfolio Trader?

If I compare my two feeds on one year of minute data, there is a difference of 4% in PnL just due to data differences. That is quite a lot on an equity strategy with no leverage. I think there is room on both sides to make this slightly less problematic.

regards,

Alex

May 4th, 2018, 04:44 PM

Are you trying to produce continuous contract data?
The Market Replay people sell a subscription for $149 but I have not tried it.
I would like to turn Ninjatrader Historical and / or Market Replay data into datastreams which are backtestable.
I have about 200GB of Market Replay data at the tick level but it is useless to me as NT7 does not export anything.
How can we solve this problem and what can I do to help us both out?

July 19th, 2018, 06:10 AM

turbolover

Are you trying to produce continuous contract data?
The Market Replay people sell a subscription for $149 but I have not tried it.
I would like to turn Ninjatrader Historical and / or Market Replay data into datastreams which are backtestable.
I have about 200GB of Market Replay data at the tick level but it is useless to me as NT7 does not export anything.
How can we solve this problem and what can I do to help us both out?

Does the 2nd post on this page help? I'd like to get hold of some data for testing also.

https://forum.ninjatrader.com/showthread.php?t=40169

inconsistent results from different data sources

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inconsistent results from different data sources