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The Truth: NinjaTrader
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The Truth: NinjaTrader

  #981 (permalink)
Trading Apprentice
Davao philippines
 
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Fat Tails View Post
then you should consider a virtual private server, which runs 24/24 ....

some people use that and struggle with its limitations:
VPS Rig - Multiple Connections? - NinjaTrader Support Forum

and it means additional monthly cost.
tws is free and so is transact. both can do server sided trailing stops without any charges.
i would not mind spending 1500 for nt one time but i hate monthly charges for no value added

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  #982 (permalink)
Identify Evaluate Execute
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Ninjatrader database issue

Hi guys, I'd be grateful for some information on the ninjatrader database from someone knowledgeable in this area. Let me explain with this attached chart of the euro. This chart has 800 days of history and has a volume profile on the right set to minute data spanning back a few years with COBC = true. It has a gomcd set to COBC = false and a few other things set to COBC=true. From the moment I pressed the F5 button to refresh it took just over 3 minutes. I have plenty of memory left and the CPU is 25% of a quadcore PC. I just reset the database yesterday. Even without any indicators loaded it takes awhile. The speed seems to relate directly to the number of days I'm loading up.

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Lately I've been pushing it with charts with 700 days in 30 minute data with profiles going back 3 years etc. I think I pushed the old girl over the edge because I got some nasty errors codes that I've never seen before "failed to unzip server data...". I've had a pretty good run of late with ninja.

I've never really thought too much about it but the reason I ask is because I look at market delta and watch these guys like FT71 loading profiles and charts going back 5 years seems to load up in a few seconds. So I'm wondering are other people having this problem and whether other packages have issues loading up a long history of data.

Cheers
DJ

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  #983 (permalink)
Elite Member
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djkiwi View Post
Hi guys, I'd be grateful for some information on the ninjatrader database from someone knowledgeable in this area. Let me explain with this attached chart of the euro. This chart has 800 days of history and has a volume profile on the right set to minute data spanning back a few years with COBC = true. It has a gomcd set to COBC = false and a few other things set to COBC=true. From the moment I pressed the F5 button to refresh it took just over 3 minutes. I have plenty of memory left and the CPU is 25% of a quadcore PC. I just reset the database yesterday. Even without any indicators loaded it takes awhile. The speed seems to relate directly to the number of days I'm loading up.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Attachment 76460

Lately I've been pushing it with charts with 700 days in 30 minute data with profiles going back 3 years etc. I think I pushed the old girl over the edge because I got some nasty errors codes that I've never seen before "failed to unzip server data...". I've had a pretty good run of late with ninja.

I've never really thought too much about it but the reason I ask is because I look at market delta and watch these guys like FT71 loading profiles and charts going back 5 years seems to load up in a few seconds. So I'm wondering are other people having this problem and whether other packages have issues loading up a long history of data.

Cheers
DJ

A 3000 volume chart is basically a tick chart, so if you load 3 years of data you will have a lot of ticks to be processed. I bet that Market Delta calculates the volume profile from minute data, which should be 1000 times faster.

If you want to find out what causes the problem, you would need to add the indicators to your chart one by one and measure the loading time

- for the naked chart
- for the chart with only one indicator added

This will allow you to find out what actually causes the loading times. Also if you want some help, add the indicators here, so that somebody else can test and review them.

NinjaTrader is usually very fast. Loading times of 3 minutes are typically caused by badly coded indicators or ideas that cannnot be implemented, because the sheer amount of data required exceeds the capacity of a normal PC.

You can also try to display your volume profile on a minute chart. This should give you exactly the same price volume distribution over the 3 year period. If the indicator is correctly coded it should load in a second.

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  #984 (permalink)
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djkiwi View Post
I've never really thought too much about it but the reason I ask is because I look at market delta and watch these guys like FT71 loading profiles and charts going back 5 years seems to load up in a few seconds. So I'm wondering are other people having this problem and whether other packages have issues loading up a long history of data.

This is because IRT natively stores bid/ask tick data, and when a chart is loaded the first time, there is an option to "Load Volume At Price Data" which preloads the data needed for a profile. Creating the profiles is thus quick due to this preload; at least, this is my assumption based on my use of the program.

FWIW, on a both a 1440 minute and 30 minute chart spanning 500 days in NT, GomMP loads in 4 seconds. Most serious profile traders use IRT (or I suppose MD), because it has been built around this concept for some time. With NT it is a third party add-on. Not that the add-ons are not great, but having to work around NT's lack of support for this functionality can lead to a less than optimal experience at times.

FWIW, I have only ever retained 120 days of tick data in IRT, and I would expect that IRT would complain pretty heavily if you tried to even store as much tick data as you have, let alone create a chart and profile with that much.

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  #985 (permalink)
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josh View Post
This is because IRT natively stores bid/ask tick data, and when a chart is loaded the first time, there is an option to "Load Volume At Price Data" which preloads the data needed for a profile. Creating the profiles is thus quick due to this preload; at least, this is my assumption based on my use of the program.

FWIW, on a both a 1440 minute and 30 minute chart spanning 500 days in NT, GomMP loads in 4 seconds. Most serious profile traders use IRT (or I suppose MD), because it has been built around this concept for some time. With NT it is a third party add-on. Not that the add-ons are not great, but having to work around NT's lack of support for this functionality can lead to a less than optimal experience at times.

FWIW, I have only ever retained 120 days of tick data in IRT, and I would expect that IRT would complain pretty heavily if you tried to even store as much tick data as you have, let alone create a chart and profile with that much.

This confirms that the volume profile is not built around tick data, but is calculated from minute data. Actually, it is not difficult to code a fast volume profile for NinjaTrader

-> which loads a secondary bar series of minute data, which has a longer lookback period than the tick chart
(you can display a 1000 day volume profile calculated from minute data on a tick chart with 7 days lookback)
-> then calculates the volume profile and displays it

This would be pretty fast, and for a volume profile of 1000 days, you do not need to store bid and ask data, just the trade data. Just an idea at this stage. Maybe somebody has already done it?

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  #986 (permalink)
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Fat Tails View Post
This confirms that the volume profile is not built around tick data, but is calculated from minute data. Actually, it is not difficult to code a fast volume profile for NinjaTrader

-> which loads a secondary bar series of minute data, which has a longer lookback period than the tick chart
(you can display a 1000 day volume profile calculated from minute data on a tick chart with 7 days lookback)
-> then calculates the volume profile and displays it

This would be pretty fast, and for a volume profile of 1000 days, you do not need to store bid and ask data, just the trade data. Just an idea at this stage. Maybe somebody has already done it?

I am actually surprised that gomi's indie does not do this, as it calculates based on minute data when a minute-based chart is loaded.

FWIW, IIRC IRT always uses tick data when it is available, and then looks at minute data when it is not.

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  #987 (permalink)
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josh View Post
I am actually surprised that gomi's indie does not do this, as it calculates based on minute data when a minute-based chart is loaded.

FWIW, IIRC IRT always uses tick data when it is available, and then looks at minute data when it is not.

But if you use tick data, where it is not needed - and it is certainly not needed for a volume profile with a lookback of 1000 days - you just slow down your machine. So if you do not want to kill your CPU it is best to avoid tick data where possible.

I have applied this concept for a number of indicators. For example a VWAP can be calculated from 1 minute data, and you only need to update that value once per minute. The error term generated - with the exception of the first 30 minutes, where the VWAP is useless anyhow - is a fraction of a tick, so it can be neglected.

In this case the VWAP calculation it not performed with every incoming tick but once per minute. Things like this can reduce CPU load 1000 fold, and the user will not see any difference.

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  #988 (permalink)
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Fat Tails View Post
But if you use tick data, where it is not needed - and it is certainly not needed for a volume profile with a lookback of 1000 days - you just slow down your machine. So if you do not want to kill your CPU it is best to avoid tick data where possible.

I have applied this concept for a number of indicators. For example a VWAP can be calculated from 1 minute data, and you only need to update that value once per minute. The error term generated - with the exception of the first 30 minutes, where the VWAP is useless anyhow - is a fraction of a tick, so it can be neglected.

In this case the VWAP calculation it not performed with every incoming tick but once per minute. Things like this can reduce CPU load 1000 fold, and the user will not see any difference.

I agree for a long term profile. On a short term profile, however, such as a few minutes, or a single day, it certainly needs tick data for accuracy.

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  #989 (permalink)
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josh View Post
I agree for a long term profile. On a short term profile, however, such as a few minutes, or a single day, it certainly needs tick data for accuracy.

Of course, it will get you better results on a short term profile. But already for a single day, there should not be a significant difference.

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  #990 (permalink)
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Ninjatrader v. Multichart


Hi all,

Hope I'm not asking a question that has been asked before, but am wondering about some of the pros and cons of Ninjatrader v. Multichart.

Some of my Questions:

Is one better than the other? If so, in what ways?

What about the fact that so many indicators/strategies at futures.io (formerly BMT) are focused on Ninjatrader.

What about date feed/execution of trades - I currently am with Mirus.

Any information or thoughts would be appreciated.

Thanks in advance,

Madelynn

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