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NT Chart not plotting time periods when there is no volume
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NT Chart not plotting time periods when there is no volume

  #1 (permalink)
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NT Chart not plotting time periods when there is no volume

Hello. I have run into an issue plotting charts with low volume. For periods where there is no volume, the time period does not plot. I am using a 2 minute chart for the stock AROW with Kinetick data. On the attached screen shot, for one day the period from 10:30 to 12:30 is pretty wide, for the other day it is really narrow.

I talked with NinjaTrader support and they said this was by design. Unfortunately is messes up my indicators and is not how other trading programs like StockFinder work.

Any suggestions or work arounds? Thanks in advance.
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happyfatguy View Post
Hello. I have run into an issue plotting charts with low volume. For periods where there is no volume, the time period does not plot. I am using a 2 minute chart for the stock AROW with Kinetick data. On the attached screen shot, for one day the period from 10:30 to 12:30 is pretty wide, for the other day it is really narrow.

I talked with NinjaTrader support and they said this was by design. Unfortunately is messes up my indicators and is not how other trading programs like StockFinder work.

Any suggestions or work arounds? Thanks in advance.

I also find it a pain in the neck and not a great design idea.

The only workaround I know is to add a second data series of something that is more active (e.g. one of the indexes) with the same time period and make it transparent or leave it in a small separate panel. Downside of this hack is then you get the other Ninja pain of losing the option for equidistant bar spacing, so it's not quite so pretty.

I'd be interested in a better solution too.

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  #3 (permalink)
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happyfatguy View Post
Hello. I have run into an issue plotting charts with low volume. For periods where there is no volume, the time period does not plot. I am using a 2 minute chart for the stock AROW with Kinetick data. On the attached screen shot, for one day the period from 10:30 to 12:30 is pretty wide, for the other day it is really narrow.

I talked with NinjaTrader support and they said this was by design. Unfortunately is messes up my indicators and is not how other trading programs like StockFinder work.

Any suggestions or work arounds? Thanks in advance.
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@happyfatgui: Actually this behaviour depends on the data feed, not on NinjaTrader.

There are data feeds that create artificial 1-minute bars, when there is no trade during that minute. Other data feeds do not create those artificial bars.

NinjaTrader just displays the data which it has received.

Below is a sample chart of AROW with artificial minute data inserted.

By the way your chart looks wrong, you probably used a false session template, as data is missing.


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  #4 (permalink)
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Fat Tails View Post

By the way your chart looks wrong, you probably used a false session template, as data is missing.

Here is an excellent thread about session times.

https://futures.io/elite-circle/6055-correct-sessions-your-charts.html

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  #5 (permalink)
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Thanks. I really appreciate your help.

Ratfink - I'm going to try the second data set hack.

Fat Tails - Is there a data service that you recommend? I have both Kinetick and IQFeed - both have the same issue of not displaying periods with no volume.

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happyfatguy View Post
Thanks. I really appreciate your help.

Ratfink - I'm going to try the second data set hack.

Fat Tails - Is there a data service that you recommend? I have both Kinetick and IQFeed - both have the same issue of not displaying periods with no volume.

@happyfatguy: I have produced the chart with minute data from Interactive Brokers. However, I recommend the Kinetick or DTN/IQ data feed over any broker feed.

I think it is correct not to generate artificial data points and just adapt the indicators accordingly.

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happyfatguy View Post
Thanks. I really appreciate your help.

Ratfink - I'm going to try the second data set hack.

Fat Tails - Is there a data service that you recommend? I have both Kinetick and IQFeed - both have the same issue of not displaying periods with no volume.

Hi All,

I've worked extensively with charts so I thought I would share my thoughts.

NinjaTrader only updates their charts when a trade takes place. On time charts, NinjaTrader does this timer lookback thing during each potential time bar time interval.

If a trade takes place during the potential bar time interval, A bar is created and it receives a timestamp of the beginning of the interval.

If the time interval ends without any trades, NinjaTrader starts a new timer interval and waits for the next trade to create a new bar.

I believe it is possible to create a chart type that could plot a hash mark on time bars where no trades took place.

RJay

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RJay View Post
Hi All,

I've worked extensively with charts so I thought I would share my thoughts.

NinjaTrader only updates their charts when a trade takes place. On time charts, NinjaTrader does this timer lookback thing during each potential time bar time interval.

If a trade takes place during the potential bar time interval, A bar is created and it receives a timestamp of the beginning of the interval.

If the time interval ends without any trades, NinjaTrader starts a new timer interval and waits for the next trade to create a new bar.

I believe it is possible to create a chart type that could plot a hash mark on time bars where no trades took place.

RJay


This is correct for the real-time data feed.

However, for historical data, some data feeds come with artificial minute bars, even if no trade has taken place.

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Indicators

Hi RJay,

Thank you for the reply. My trouble is that I have a series of indicators that I wrote in StockFinder that I am trying to convert into NinjaTrader to that I can trade with different brokerage firms. They all for for a certain member of periods and rely on a period being there even if there is no volume. When you remove those periods, it dramatically affects the outcome of the indicator. Any suggestions on how to create the hash mark chart that you suggested?

I've researched this issue a lot and am surprised to not find anyone else discussing it. To me, being able to verify an indicator across multiple trading platforms seems important. Even something as simple as Bollinger Bands has different results in NinjaTrader vs. other programs that insert a plot for each period.

Fat Tails: Thanks you again for the suggestion on Interactive Brokers. Are there any other data providers that you can think of that insert the periods like this? I would really like to find one that is not a brokerage.

Thanks advance to both of you.

Andrew

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  #10 (permalink)
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happyfatguy View Post
Hi RJay,

Thank you for the reply. My trouble is that I have a series of indicators that I wrote in StockFinder that I am trying to convert into NinjaTrader to that I can trade with different brokerage firms. They all for for a certain member of periods and rely on a period being there even if there is no volume. When you remove those periods, it dramatically affects the outcome of the indicator. Any suggestions on how to create the hash mark chart that you suggested?

I've researched this issue a lot and am surprised to not find anyone else discussing it. To me, being able to verify an indicator across multiple trading platforms seems important. Even something as simple as Bollinger Bands has different results in NinjaTrader vs. other programs that insert a plot for each period.

Fat Tails: Thanks you again for the suggestion on Interactive Brokers. Are there any other data providers that you can think of that insert the periods like this? I would really like to find one that is not a brokerage.

Thanks advance to both of you.

Andrew


I would not go for a broker just because he inserts fake bars for historical data.

If you have indicators that rely on lookback periods set up in bars, you would need to transform your lookback period from an integer to a DateTime object. For example, if you have a 5-minute chart and the lookback period of your indicator is 10 bars, then your new lookback period becomes 50 minutes. Each trade price that has printed during the lookback period will then need to be weighted with the time period for which it is applied.

It is a little bit more difficult to code lookback periods in minutes, but it can be done. I have used this method to calculate a time-weighted average price (TWAP), as I also want to get correct calculations in case that no trade has printed.

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