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Are you using Esignal data inside of Ninja trader? Based on yout first comment, I assumed you were referring to the $TICK based on data provided by Ninja trader as not being accurate vs Esignal.
$TICK is not a symbol that is reported by the exchange, it's an internal calculation. Each data vendor will have their own method of calculating it. Eg $TICK in Esingal will be different to $TICK in TOS, $TICK in TOS will be different to the $TICK reported by IQ Feed( so different to $TICK in NT) $TICK from IQ feed will be different to $TICK in Trade Station etc. There are many reasons for this, which are probably not worth getting into, and are documented elsewhere.
Do you mean you want to be alerted to high/ low extreme readings like this? I'm sure someone can help you create that in NT. It might be a good idea to use a percentile ranking indicator.
"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
Can you help answer these questions from other members on NexusFi?
As @Neo1 has said this is not correct. Due to sampling differences, clock synchronisation issues and other aspects this is not possible; each vendor has their own metric and some are simply 'better' than others.
Agreed, and this is what I found in all the tests I did. eSignal was the most responsive to exchange conditions. The other feeds seemed much more geared toward the future/derivative.
However, I would also make sure that you are not running any NT indicator/strategy in a way that is effectively reducing the stream to a CalculateOnBarClose mode; in which case it will just be taking the timeperiod close value which will have little relationship to the extremes.
Well, don't expect any triggering off tick extremes to be a magical solution but it is a useful piece of information, and in the tests I did I found eSignal to be the most representative at the time. Of course that is always subject to change.
I would repeat though that NT support for eSignal has never been great. NT7 is solid, but only in 32 bit mode, which I use, but NT8 remains in a condition where much work still apears necessary. I have problem reports outstanding from February and, as far as I am aware and despite extended datafeed loans, the latest 8.0.8 eSignal adapter is still deficient in reliably loading multiple data series from different exchanges, and also fails in the provision of tick replay mode, the latter tested with Gomicators and compared to a Rithmic feed. I do not know if this is an NT or eSignal issue, but sadly it is certainly a user issue.
Yes, I am looking for alerts on extreme moves on the ES that occurs once or twice a day. Moves where ES would drop significant enough to signal a panic. Such as dropping 4-5pts or greater and hitting yesterday's low or rallying 4/5pts+ and hitting yesterday's high. A move where support and resistance are touched and broken. My approach is to find out where the stops are and the computers forcing stops and traders have to get out. That's the stop I want to get in. Of course, you can't catch a knife or stop a bullet and try to pick tops or bottoms. I would buy then candlestick would reverse color to get into the trade.
I'm not sure if using a computer program would be better than human traders b/c of timing but I just want to see the win/loss ratio if i were to do this on a consistent basis.
It seems like the solution would be to use Esignal $tick indicator to trigger the trade when extremes moves in the tick occurs. I would use NT close[] to see when the end of the Es moves occur by change in color of candlestick on the 3-5min chart. This would signal the end of the move and where i can start to initiate the trade.
Or should i try and get all the information on one platform and so that it's easier to program and more consistent?
My goal in doing this is I just want to see the success rate for such trades. If proven to be a greater than 70% success rate then I would like to automate 90% and human trade 10%. For example, the program would assist me in when it's a good time to get into the trade, human side exits the trade, and risk management and stops are via automated strategy as I have proven that I cannot follow my stops 100% of the time. i can follow it 90% of the time but that one time i don't then that's when i get blown out of the water.
Sounds like you have a good plan with awareness of the other more important aspects, just take it a step at a time, you might end up trying a few implementations. I would think one platform would make best sense but sometimes simpler isn't the right choice. I would mention the following notes:
a) eSignal $TICK is mapped into Ninja as the index ^TICK, add it in the normal ways as a data series to any chart or strategy.
b) Using the Close[0] value in a strategy will only ever get you the close of bar value of any primary series in a backtest, so you might need to run a multple data series strategy with a tick/second series of ^TICK or look at the Low[0] and High[0] values instead. Not a problem if backtests are not part of the plan. Self-recorded market replay data with its one second resolution limit might be just fine given than most TICK metrics are sampled at integer second rates. Not a problem if you're just forward testing.
c) Using multiple datafeed connections does work in Ninja but can be a pain in the neck or not work at all. There is no way in NT7 to force a symbol to take data from one feed rather than another, i.e. unmapping symbols counts for nothing. I don't know about NT8 as so far it hasn't been reliable enough to make the investigation worthwhile.
d) You could write the whole thing in eSignal EFS and call Ninja via the NTClient.dll library, there is example code for this in the NT help guide, although I am not an EFS user so can't comment on whether this is useful or not.
Can someone help me with some back data for Esignal much appreciated if you can help. I am doing a cross platform variance check for exporting 1 min data.
I am looking for 1 week back EOD intra-day, 1 minute data and forward from today for one week. I am testing the symbols 6E, NQ and $Uchg, $Uchgq. Any help will be greatly appreciated.
I'm not exactly sure what you are asking for, but I use QLink in Esignal. It's only $10 a month and you can download historical and live price (O,H,L,C) and volume data for any time frame into an Excel spreadsheet. As far as I know only CQG offers a similar feed, but I find Esignal works better. I use it extensively to generate my trade signals with my own spreadsheet formulas and the feed accurately matches the charts.
Thank you for the feedback. I looked on the website and found what you said is true for the QLink addon.. however before we venture into the product I have to verify the datasets..
I am still in need of the 1 minute data if you are interested in helping out..
