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OnMarketData serious issue
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Created: by baberg Attachments:3

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OnMarketData serious issue

  #1 (permalink)
Trading Apprentice
Canada
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: Forex
 
Posts: 29 since Jul 2011
Thanks: 4 given, 1 received

OnMarketData serious issue

Hello,

I'm in touch with Ninja support since a few days about this issue.

Basically I noticed that Ask and Bid does not always update correctly from OnMarketData

Here you will find a screenshot and the matching indicator.

You can check the script is straight to basic and contains only one line of code : If(e.MarketDataType==e.MarketDataType.Ask) Values.Set(e.Price);

I noticed that bid/ ask was updating correctly only 70% of the time but from time to time would not update accordingly.

Anyone aware of this or can check my indi on his platform ?

I run :
- NT7 R7
- CQG demo (AMP futures)
- whatever instrument (FDAX, ES, 6E)
- timeframe : I guess whatever but I'm sure about 5 minute or 10 minute
- chart properties : display interval set to minimum aka 0,1
- very fast high end computer (Alienware)

Thank you

Attached Thumbnails
OnMarketData serious issue-onmarketdata-issue.jpg  
Attached Files
Register to download File Type: zip OnMarketDataBug2.zip (1.6 KB, 14 views)

Last edited by baberg; August 30th, 2011 at 09:42 AM.
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  #2 (permalink)
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  #3 (permalink)
Trading for Fun
Here, GA
 
Futures Experience: Intermediate
Platform: Ninja
 
Posts: 146 since Jun 2009
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Try going to Properties | Display Update Intervel and the set the value to smallest number possible. I think it would be 0.10 but not sure. NT controls the chart draw/update so that many computers will not get overloaded. OnMarketData updates with every incoming tick.

Give that a shot and see if the results change.

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  #4 (permalink)
Trading Apprentice
Canada
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: Forex
 
Posts: 29 since Jul 2011
Thanks: 4 given, 1 received

Hi,


baberg View Post
I run :
- NT7 R7
- CQG demo (AMP futures)
- whatever instrument (FDAX, ES, 6E)
- timeframe : I guess whatever but I'm sure about 5 minute or 10 minute
- chart properties : display interval set to minimum aka 0,1
- very fast high end computer (Alienware)

Thank you


Does not matter....

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  #5 (permalink)
Elite Member
Denver, CO
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: NinjaTrader Brokerage
Favorite Futures: ES
 
NinjaTrader's Avatar
 
Posts: 1,260 since May 2010
Thanks: 153 given, 1,890 received


baberg View Post
Hello,

I'm in touch with Ninja support since a few days about this issue.

Basically I noticed that Ask and Bid does not always update correctly from OnMarketData

Here you will find a screenshot and the matching indicator.

You can check the script is straight to basic and contains only one line of code : If(e.MarketDataType==e.MarketDataType.Ask) Values.Set(e.Price);

I noticed that bid/ ask was updating correctly only 70% of the time but from time to time would not update accordingly.

Anyone aware of this or can check my indi on his platform ?

I run :
- NT7 R7
- CQG demo (AMP futures)
- whatever instrument (FDAX, ES, 6E)
- timeframe : I guess whatever but I'm sure about 5 minute or 10 minute
- chart properties : display interval set to minimum aka 0,1
- very fast high end computer (Alienware)

Thank you

- The chart canvas updates on the timer
- The market data values on the Chart Trader Panel updated immediately on arriving market data events
- Thus the two will not be in sync and is expected by design

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  #6 (permalink)
Trading Apprentice
Canada
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: Forex
 
Posts: 29 since Jul 2011
Thanks: 4 given, 1 received

That is right.

Actually on the chart, ask/bid will only update if it occurs at the same time than a last price level change. If ask or bid refreshes while last price stays the same, then it won't update.

It is more of a problem when market lacks ask/bid events, that is to say less liquid instruments or at ETH/globex/night hours.

Too bad, because my use of OnMarketData then becomes kind of pointless.
To me, it sounds like a truncated design and should be corrected/updated on user's choice at least. Please suggest it to your development team.

Thank you.

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  #7 (permalink)
Elite Member
Denver, CO
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: NinjaTrader Brokerage
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Posts: 1,260 since May 2010
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baberg View Post
That is right.

Actually on the chart, ask/bid will only update if it occurs at the same time than a last price level change. If ask or bid refreshes while last price stays the same, then it won't update.

It is more of a problem when market lacks ask/bid events, that is to say less liquid instruments or at ETH/globex/night hours.

Too bad, because my use of OnMarketData then becomes kind of pointless.
To me, it sounds like a truncated design and should be corrected/updated on user's choice at least. Please suggest it to your development team.

Thank you.

If you scan this forum, there likely is a thread on how you can control this at your command however, this is not an officially supported approach nor do we suggest it. If you want to trigger a repaint of the chart on every change in bid/ask data, you are asking for performance issues and in fact, I would guarantee that you will lock up NinjaTrader since the sheer amound of bid/ask changes is orders of magnitude higher than last trade events.

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  #8 (permalink)
Trading Apprentice
Canada
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: Forex
 
Posts: 29 since Jul 2011
Thanks: 4 given, 1 received

I certainly understand your point.

Maybe it would not freeze running Ninja on very high-end "war" computers. Some only display one chart at a time also requiring less performance. That is why I suggested to let it user-controlled for a future release.

Anyway I'll use override plot like you suggested. Thanks again.


Last edited by baberg; August 30th, 2011 at 12:45 PM.
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  #9 (permalink)
Trading Apprentice
Canada
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: Forex
 
Posts: 29 since Jul 2011
Thanks: 4 given, 1 received

Back on the topic

Override plot reacts to specific events like last price refresh, scroll movement, mouse click etc.

However, the refresh rate is not enough for me. I'd really wish to achieve a charting plot update each time bid or ask changes without waiting for the last price to update (and no other specific user-action neither)

Do you have a solution ? Simulate a fonction ? Simulate left click or scroll movement is not practical.
Any tips ???

Thanks a lot

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  #10 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
Hartford, CT. USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: AMP/CQG, Kinetick
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baberg,

I have extensive experience working with OnMarketData.

I may be able to help. What chart type and value size for that chart are you using?

RJay

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