So if a solution to the problem would be having one data source for both real time and historical data is there a way to set that up in ninjatrader? Looking at CQG's website they do provide historical tick data. Or are you you forced to use ninjatraders historical provided data?
I used to have CQG through a broker, and my understanding from Ninja support was that NT used Ninja's historical data and CQG's real-time data. So the CQG historical data did not come into it. Perhaps if you used the CQG trading platform then it would. Or perhaps you could subscribe to the CQG historical feed as a separate service (with a fee, probably.)
I would contact both Ninja support and CQG support, and perhaps talk to your broker also. You may also want to look into dedicated data feeds. You can get your data from one source, which feeds your charts -- historical and real-time -- and then send your trade executions to your broker without using the boker's data feed. This is fairly common. (The broker wants your execution; they don't care what you put on your chart.) IQFeed is often mentioned as a good feed (Welcome to DTN IQFeed! - Fast, Reliable, Affordable. Market Data and API's. ) It is not free (surprise.) Ninja does support this. I imagine most platforms do.
A different trading platform that most brokers can use is Sierra Chart (Sierra Chart ). It is also well-thought of. However, the issue of historical/real-time data is not just a platform issue, so the data feed question is still the thing that will need to be resolved. At this point, some research and inquiries to the various support departments may be required on your part.
I believe there will be a solution, but there may be a cost involved. (Assuming you don't do what most people do, and just shrug it off. It may look more important than it really is. Your choice, of course.)
It's strange that the industry has these inconsistencies and complications, but it seems that it does.
I hope this gives you some avenues to explore further, if you decide to.
Thanks Bob for the thought out and well explained reply. I am still doing more research but I have a better understanding as to what I am up against.
Ninjatrader had this to say about how the bars are built
"As a tick based chart is opened, the most current bar begins building at that time. This means that particular bar is including different ticks because it was started at a different time. Using the exact same data with the exact same time stamps, if you change the time the bar opens it will include different ticks with that bar."
I get that (I find it strange but I get it)
They had this to say about historical data from CQG
"CQG/Continuum does not provide historical data through their API. Because of this, NinjaTrader records real-time data from CQG and provides this to NinjaTrader clients when connected to CQG/Continuum from the NinjaTrader historical data server for CQG."
Where I am at now is that I understand my charts may look a little different than someone else's charts and I am fine with that. What I want is the ability to look at my charts, trade from my charts, and be able to visually revisit the same charts at a later time. I can not accept the charts that I trade changing when I reopen the program.
I am going to contact some data providers and see what they have to say and I will let you know what I find.
So just an update, I went with CQG and Multicharts.net special edition. I havent done many tests yet but so far the candlesticks on my tick chart match what I see when I am trading with what I see when I reopen the program.
This either means that the historical data matches the live data or the data I get when trading isnt replaced with the historical data when I reopen the program like it is in ninjatrader.
I am going to keep an eye on it but as of now I feel like this issue is solved for me. This specific issue seems to be a program specific issue and not an inherent tick chart issue.
I have a similar issue with time based charts. I'm using Multicharts.net and CQG. Couple of issues, when I restart muilticharts, for example at the end of the day, the charts are different than when I started the trading day. Second issue is the chart is different that ToS charts. Someone mention though ToS data is innacurate, so i'll take it as that.