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NinjaTrader real time chart differs historical

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  #1 (permalink)
 davidfa 
Barcelona / Spain
 
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Hi scalpers,
hope I can find some of you gus with a little time for this to help verify what happened.
Reasons apart, also would like to trade from HTF, but I'm a scalper. Silent (as I post so few) but constant.

Using:
NT 7.0.1000.39, with Continuum data feed (Ninjatrader brokerage)
Windows 10 64 bit on i7-7700 CPU 3.6Ghz with 16Gb RAM
100Mbs interent download, 20ms ping
Chart at EAST US Time zone.
I am Nt8 nearly ready, just missing this exactly 10 seconds market profile configuration, that seems impossible.

The case is that real time trading I have a picture of a 10 seconds NQ 06-19 chart, that is different from the one you can take afterwards from historical data.

From price 7304 at 8:50:20 to 7335 at 8:53, you can see pictures differ. The 10 seconds bars paint differently, touching different price ranges.

First my real time picture, first one send to support:



That for me demonstrates what I lived yesterday in front of my 10 year old screens:
I was using a Nt strategy for 1 contract, 15 ticks sell limit and 15 ticks stop mkt sell bracket orders.
I placed a stop buy limit order at 7322.75 to buy 1 tick lower, at 7322.50. I then get filled as blue arrows shows but I remember NT was still painting on previous bar. Important for them if they want to investigate.
And i could see price trading outside the bracketed placed orders, well above, both target sell and stop sell were there.

What happened is that I already saw that in the past, but is kinda difficult to explain. As I saw price well beyond my sell limit, above it, in my favour, I hit the close button to be sure I had a winning trade and both those bracketed orders out there (both below price) got reset-out.

To my surprise I got a very bad fill on my close, something that looks as impossible, but you can see on the 10 seconds chart I was working with, that the price NT filled my close action with, never happened until more than 10 seconds after my close button hit, and I can remember very well as astonished as I was.
Exactly, when I hit the close button, NT was painting on the bar next where the sell arrow is.
Again, all this is from the chart picture that I lived real time yesterday.

Second, the historical chart you can take:


Obviously from the historical chart and log and trace files everything looks clear and against me.
Summarized details from log:
2019-06-07 08:50:54:786 7322.5 buy
2019-06-07 08:50:59:184 7318.5 sell stop

But my charts at that time weren't saying that.
Who cheated me Ninjatrader?

Scalper or experience details.
Emotionally I knew that that problem at the beginning of the session could damage me a lot, but I managed to continue trading and focused in. Clarify that ended day with only 350$ profit on 18 trades (too much). I am not that emotional against NT for that trade. Though it represents a minimal -160$ on my trades yesterday, that I still claim for.
I am very angry for this NT software behaviour.

I think this is a big annoying problem and has to be investigated.
I asked NT to explain:
1. Real time 10 seconds chart is so different as historical one.
2. If entered long in mkt with my real time picture (what I really lived) with a 15 ticks strategy limit sell, should have had a winner. Even slipped in favour. Why didn't the sell limit trigger if price was painting bars above that?
3. If I hit the CLOSE button when I see 10 seconds bars above my limit sell, so to have a sure winner, how can I be filled more than 30 ticks lower??



So guys, my questions for you:
do you have possibility to take a picture of similar time frames with other software? sierra?
different data feeds?
would some order flow historical list data help on that? anyone with tools?
Have you faced similar problems? I can assure you this is not the first time to me.

Glad to be part of the community, and thank you all in advance.

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 xplorer 
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@davidfa

Have you logged a support ticket with NinjaTrader support for this? What was their response? It's not clear from the post above.

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 davidfa 
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xplorer View Post
@davidfa

Have you logged a support ticket with NinjaTrader support for this? What was their response? It's not clear from the post above.

Thank you!
I really don't know where to log this.. will investigate. Do you know how to?

I just contacted by email
platformsupport@ninjatrader.com, brokeragesupport@ninjatrader.com, brokerage@ninjatrader.com
and so NT is aware of the problem, but have no response to investigate it.
Only platformsupport: Just showing me historical chart data, which I don't discuss. That really is the proof of the problem, when faced with the real time 10 seconds picture I could take.


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 xplorer 
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davidfa View Post
Thank you!
I really don't know where to log this.. will investigate. Do you know how to?

https://ninjatrader.com/support/forum/index.php

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 MiniP 
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davidfa View Post
Hi scalpers,
hope I can find some of you gus with a little time for this to help verify what happened.
Reasons apart, also would like to trade from HTF, but I'm a scalper. Silent (as I post so few) but constant.

Using:
NT 7.0.1000.39, with Continuum data feed (Ninjatrader brokerage)
Windows 10 64 bit on i7-7700 CPU 3.6Ghz with 16Gb RAM
100Mbs interent download, 20ms ping
Chart at EAST US Time zone.
I am Nt8 nearly ready, just missing this exactly 10 seconds market profile configuration, that seems impossible.

The case is that real time trading I have a picture of a 10 seconds NQ 06-19 chart, that is different from the one you can take afterwards from historical data.

From price 7304 at 8:50:20 to 7335 at 8:53, you can see pictures differ. The 10 seconds bars paint differently, touching different price ranges.

First my real time picture, first one send to support:



That for me demonstrates what I lived yesterday in front of my 10 year old screens:
I was using a Nt strategy for 1 contract, 15 ticks sell limit and 15 ticks stop mkt sell bracket orders.
I placed a stop buy limit order at 7322.75 to buy 1 tick lower, at 7322.50. I then get filled as blue arrows shows but I remember NT was still painting on previous bar. Important for them if they want to investigate.
And i could see price trading outside the bracketed placed orders, well above, both target sell and stop sell were there.

What happened is that I already saw that in the past, but is kinda difficult to explain. As I saw price well beyond my sell limit, above it, in my favour, I hit the close button to be sure I had a winning trade and both those bracketed orders out there (both below price) got reset-out.

To my surprise I got a very bad fill on my close, something that looks as impossible, but you can see on the 10 seconds chart I was working with, that the price NT filled my close action with, never happened until more than 10 seconds after my close button hit, and I can remember very well as astonished as I was.
Exactly, when I hit the close button, NT was painting on the bar next where the sell arrow is.
Again, all this is from the chart picture that I lived real time yesterday.

Second, the historical chart you can take:


Obviously from the historical chart and log and trace files everything looks clear and against me.
Summarized details from log:
2019-06-07 08:50:54:786 7322.5 buy
2019-06-07 08:50:59:184 7318.5 sell stop

But my charts at that time weren't saying that.
Who cheated me Ninjatrader?

Scalper or experience details.
Emotionally I knew that that problem at the beginning of the session could damage me a lot, but I managed to continue trading and focused in. Clarify that ended day with only 350$ profit on 18 trades (too much). I am not that emotional against NT for that trade. Though it represents a minimal -160$ on my trades yesterday, that I still claim for.
I am very angry for this NT software behaviour.

I think this is a big annoying problem and has to be investigated.
I asked NT to explain:
1. Real time 10 seconds chart is so different as historical one.
2. If entered long in mkt with my real time picture (what I really lived) with a 15 ticks strategy limit sell, should have had a winner. Even slipped in favour. Why didn't the sell limit trigger if price was painting bars above that?
3. If I hit the CLOSE button when I see 10 seconds bars above my limit sell, so to have a sure winner, how can I be filled more than 30 ticks lower??



So guys, my questions for you:
do you have possibility to take a picture of similar time frames with other software? sierra?
different data feeds?
would some order flow historical list data help on that? anyone with tools?
Have you faced similar problems? I can assure you this is not the first time to me.

Glad to be part of the community, and thank you all in advance.

it also helps if you tag @NinjaTrader they are pretty active on the forum and tend to help in a timely manner.

-P

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MiniP View Post
it also helps if you tag @NinjaTrader they are pretty active on the forum and tend to help in a timely manner.

-P

From an earlier post, user has already submitted an email so the inquiry is already in our support queue and will be handled appropriately.

Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.
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 davidfa 
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NinjaTrader View Post
From an earlier post, user has already submitted an email so the inquiry is already in our support queue and will be handled appropriately.

Thank you,

Yes, I received support's email explaining possible 1 second differences in price quotes, when the problem at sight is that they filled me with a price that the data feed only displayed more than 10 seconds later.

Will try not to mess with emails support that go on with Ryan.

But still lack a coherent explanation and way to be sure this can't happen again.

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  #9 (permalink)
 davidfa 
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NT Platform support points the problem to the windows time synchronization.
I have to investigate why my PC can't ping to time.nist.gov
I understood they told me to check from time to time with time and sales window, if the chart is displaying correctly...

I still lack a categorical and coherent explanation and way to be sure this can't happen again.
I am decided to continue investigating, though I don't know how.

Looks like an internet provider problem? Been trading till last year on a 6 Mb Dsl connection with no problems, now at 100 Mb optic fiber.
Could this happen with other software?
What is the difference between a data feed time stamped or not? Which is best? Can I choose?
How does NT7 handle the build of a bar? Bases its painting in local pc time or in data feed time stamps?


Help appreciated.
Thank you

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 Sad Planet 
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davidfa View Post
NT Platform support points the problem to the windows time synchronization.
I have to investigate why my PC can't ping to time.nist.gov
I understood they told me to check from time to time with time and sales window, if the chart is displaying correctly...

I still lack a categorical and coherent explanation and way to be sure this can't happen again.
I am decided to continue investigating, though I don't know how.

Looks like an internet provider problem? Been trading till last year on a 6 Mb Dsl connection with no problems, now at 100 Mb optic fiber.
Could this happen with other software?
What is the difference between a data feed time stamped or not? Which is best? Can I choose?
How does NT7 handle the build of a bar? Bases its painting in local pc time or in data feed time stamps?


Help appreciated.
Thank you

If you need to keep your pc's time synced you can try this:

NetTime - Network Time Synchronization Tool

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 davidfa 
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Sad Planet View Post
If you need to keep your pc's time synced you can try this:

NetTime - Network Time Synchronization Tool

Thank you!

Already installed, and found that at every 15 minutes synch, I am out of time by some miliseconds.
offset +3ms, lag 15ms
offset -11ms, lag 199ms
offset +16ms, lag 128ms
offset -1ms, lag 176ms
offset -4ms, lag 199ms

Offset is the time difference between the local system time and the time returned by the time server.
Lag is the amount of time that it took for the request from NetTime to go out to the server and for the response to come back

Is this normal?

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 matthew28 
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I use a different sync software https://www.meinbergglobal.com/english/sw/ntp.htm
Meinberg is a major company I have heard of and trust.
All the documentation is a little intimidating and it seems to be a lot more advanced and customisable than I need but I installed it and left the settings at default and it works fine. It shows an offset time of about half a second from the screenshot below, 10 second sync, but like I say, for me it was very much default set and forget. (I did use some other time sync software briefly, its name escapes me, but that seemed to have issues, possibly due to my computer location, UK, not matching my computer clock being on US Eastern time)

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 TopGunNote 
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davidfa View Post
NT Platform support points the problem to the windows time synchronization.

I have to investigate why my PC can't ping to time.nist.gov

local pc time or in data feed time stamps?

Help appreciated.
Thank you

I see you've had a few responses about how to synch your computer's clock to time.nist.gov so nothing new here, but

I found this "freeware" from "Thinking Man Software" a number of years ago that will synch your clock to a number of the world's "Atomic clocks"
(since I live in Canada I use the one available from the National Research Council of Canada)

You can set it to synch every 5 seconds if you feel it is necessary (I synch mine every 30 minutes)

Good luck.


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 davidfa 
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Hi guys,
same surprise today.

If you can, as soon as before re-connecting to your data feed, please provide a chart picture of this time frame chart to compare.

NQ 06-19
US EST time around 11:24
WHICH DATA-FEED USED?

Examples on Nt7 and 8 with Continuum CQG

1. NT 7.0.1000.39, real time charts


2. Same NT 7, once disconnect and reconnect to data feed. Historical data is different then.


3. Detail on 3 seconds chart that helps guess delay around ...9 times 3 seconds (9 bars from arrow trade to bar touching that price)...be aware scalpers!!


And my clock kept in synch for sure this time.


Could not take pictures cause of nervous but Nt8 behaved the same. My data feed, continuum CQG is natively timestamped, please provide details if you know of yours with pictures.

Good NT support is aware of a problem that now arises more details. They could see Kinetick data feed plots different on that 10 seconds time frame.

Thank you,
David

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 DavidHP 
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I checked my charts running Continuim Data.
They look just like your reloaded chart.

Below is two live and reloaded sessions with 10 second intervals.
I don't see any significant difference.
Perhaps you have something delaying the data (antivirus etc)
First live chart. Data prior to red line is historical:


Second Chart of same reloaded (disconnected and reconnected) Between red lines
Data after Violet lines is live data.


Third try. Data between Violet and Red lines is historical.
The last candle at the violet line changed to a different candle during image creation.



I don't see any significant difference in the charts from live or historical.

You may have a windows issue with timing.
Also, check your session templates to see if they are accurate.
(Different session templates produce different candle patterns.)

Lastly, stop trading 10 second charts. (that is just nuts)
(disclaimer, just my personal opinion)

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 TopGunNote 
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DavidHP View Post
I don't see any significant difference in the charts from live or historical.

You may have a windows issue with timing.
Also, check your session templates to see if they are accurate.
(Different session templates produce different candle patterns.)

Lastly, stop trading 10 second charts. (that is just nuts)
(disclaimer, just my personal opinion)

@davidfa

I agree 100% with @DavidHP

I just went through the same exercise and found very similar results to his as in "No noticeable difference"

Session Templates would be the first thing I would check as well,

Also I noted you're using the "AltoGom Profile,"
It is a great indicator but it can generate some quirky results if you have those session templates messed up.

Comparing NT-8 to NT-7 I see no difference on 1 minute bars or 5 minute "Boxes" for that matter.

The attached examples are both using the same "Session Templates".

Good luck,

Attached Thumbnails
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 sam028 
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matthew28 View Post
I use a different sync software https://www.meinbergglobal.com/english/sw/ntp.htm
Meinberg is a major company I have heard of and trust.
All the documentation is a little intimidating and it seems to be a lot more advanced and customisable than I need but I installed it and left the settings at default and it works fine. It shows an offset time of about half a second from the screenshot below, 10 second sync, but like I say, for me it was very much default set and forget. (I did use some other time sync software briefly, its name escapes me, but that seemed to have issues, possibly due to my computer location, UK, not matching my computer clock being on US Eastern time)

I'm using Meinberg on hundreds of machines and it's the right tool, better than D4 which is not a real NTP daemon.
The only thing to know is that is doesn't like being frozen for too long (1000 seconds?), when you suspend a laptop for example.
I've used Meinberg hardware in the past, for trading apps, and no troubles with their appliances.

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 matthew28 
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sam028 View Post
I'm using Meinberg on hundreds of machines and it's the right tool, better than D4 which is not a real NTP daemon.

Interesting thanks. When I saw post #13, after mine, I recognised the screenshots of Dimension4 as the first product I had used (but forgotten the name of), and given up on when it had worked for me for a while but then stopped syncing properly.

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 TopGunNote 
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sam028 View Post
I'm using Meinberg on hundreds of machines and it's the right tool,

better than D4 which is not a real NTP daemon.

I've used Meinberg hardware in the past, for trading apps, and no troubles with their appliances.

Thanks for this @sam028, I learned something new here (again) today.

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 gomi 
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I was never really satisfied with how the NTP loop processing works.

The way they manage to get high precision is to use very very long time interval pollings to regulate a loop.

This works OK if it's on server doing nothing in a temp controlled room but on a computer in your room, with different temperatures and different loads , it does not work at all because the clock drift varies a lot with temperature. So big time constants can't work.

So I ended up coding my own clock loop using a cheapo GPS receiver with PPS pulse, plugged in a serial port and an modified kernel serial driver, and I had a clock precision of a couple microseconds.



Finally dropped the project because I moved the computer away from the window so I had no more GPS fix, and let's face it, this was not getting me improved fills in my trading :-) But it was fun !

So now using D4...

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 davidfa 
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gomi View Post
I was never really satisfied with how the NTP loop processing works.

The way they manage to get high precision is to use very very long time interval pollings to regulate a loop.
...

So now using D4...

I am sorry Gomi to be ignorant on this, could you expand a little bit?

Thx

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 davidfa 
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TopGunNote View Post
@davidfa

I agree 100% with @DavidHP

...
Good luck,

Thank you guys.


The fact is that NT Platform support was investigating this.
On the phone and through TeamViewer, they could see my charts. They told me that even on their side, they had still TWO different 10 seconds chart: one from the same data feed as mine CQG and their second was getting data from Kinetick.
Ended the conversation recognizing me there was a clear problem and had to be investigated and that they would keep me updated.
We strongly agreed that those 3 charts,obviously, should look the same (all 10 seconds chart: 1 from me, and 2 from their tests).

Some days later they 'close' the ticket:
Thanks for your patience and information provided.
We were able to determine and verify with the data source that for a brief time data was coming in delayed.
We have verified the NinjaTrader platform was working as expected.
I have continued to monitor the data and have not seen this occur again at this time. However, the data source is evaluating and working to prevent such delays from occurring going forward.


I feel disappointed, expect more.

Somehow I reopened it today and call again for help and ideas to resolve or workaround it.
Perhaps it is not the same problem but; with latest NT 7.0.1000.40 and NT 8.0.18.1
I just did not receive data for nearly 50 seconds.

Same behaviour on 2 NT versions.
I realize did not get data for this time period. Last bar 11:32:50 to next bar 11:33:40, US EST Time
What is the problem? Is it only my end in this case?
It's nearly 50 seconds of NO DATA!
On Nt8 If I try reloading historical still shows same chart as Nt7.
What can it be?

Tried closing connection and reconnecting and it is showing the same gap in the middle of the session.
(sorry for the cluttered indys on it. Gap issue remains clear enough)
Showing 1 minute and 10 seconds for detail.



Thank you

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 davidfa 
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Loaded same 10 seconds chart on NT8 with Interactive Brokers data feed and gap problem shows the same.

To realise the 50 seconds of data missing, mind that each minute has 6 10seconds bars, but from bottom you can see there are 5 missing bars between 11:32:50 and 11:33:40, US EST Time


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 TopGunNote 
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davidfa View Post
Loaded same 10 seconds chart on NT8 with Interactive Brokers data feed and gap problem shows the same.

To realise the 50 seconds of data missing, mind that each minute has 6 10seconds bars, but from bottom you can see there are 5 missing bars between 11:32:50 and 11:33:40, US EST Time


I was at my desk at 11:30 ET today and heard the "Connection Lost" warning.
@davidfa (I am using Continuum data feed from NinjaTrader Brokerage)

So I can confirm I also have a Gap in the NQ Data on both of these charts today. (a 1 minute and a 3 Better Renko)

It's a rare occurrence, but it does happen sometimes.

I wouldn't be too hasty to blame it on NT-8, there are a lot of things it "could be" out of NinjaTrader's control.

Just sayin....


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 gomi 
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davidfa View Post
I am sorry Gomi to be ignorant on this, could you expand a little bit?

Thx

The idea behind NTP is to poll on a longer and longer interval a reference server, to be able to measure accurately small differences. If your clock only drifts from a couple nanoseconds per minutes, you need a longtime interval to be able to measure this difference. This is why you need to use long time intervals. Problem is that this only works well if time drift is constant, which is the case of a dedicated tile server in a temperature controlled room, but not really the case of a user PC

I did a lot of fun GPS/NTP experiments using info from this guy's site : https://satsignal.eu/ntp/Sure-GPS.htm

Maybe a good simple NTP server would be a raspberry pi with GPS/PPS like they mention on the site

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 davidfa 
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TopGunNote View Post
I was at my desk at 11:30 ET today and heard the "Connection Lost" warning.

So I can confirm I also have a Gap in the NQ Data on both of these charts today. (a 1 minute and a 3 Better Renko)

It's a rare occurrence, but it does happen sometimes.

I wouldn't be too hasty to blame it on NT-8, there are a lot of things it "could be" out of NinjaTrader's control.

Just sayin....

Thank you!
I understand by now that the problem comes from the data feed provider, and that there are other things-in-betweeen.
Please, which data feed provider did you use on your chart provided?

Thanks also to Harry that provided me a picture of the Kinetick data feed chart for comparison, it has no gaps and shows the bars that differ.

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