number of ticks in a bar/ms timestamp ?

sam028 · (login for full post details)

Two different questions...

1/ I'm looking for an indicator which will able to show how many ticks we had in a min/vol/range bar.
I think I can write it, but if it's already done somewhere, I'll take it

.

2/ I'm trying to store, with ZenFire datafeed and NT, tick data with a milli-second timestamp. AFAIK, I can write an indicator which is writing a line after each tick, but the timestamp will be the computer time, not the transaction time right ?
I think the best way to do this is do directly use ZF API, but I'll be happy if someone can confirm this.

Thx.

Saroj · (login for full post details)

sam028

Two different questions...

1/ I'm looking for an indicator which will able to show how many ticks we had in a min/vol/range bar.
I think I can write it, but if it's already done somewhere, I'll take it

.

2/ I'm trying to store, with ZenFire datafeed and NT, tick data with a milli-second timestamp. AFAIK, I can write an indicator which is writing a line after each tick, but the timestamp will be the computer time, not the transaction time right ?
I think the best way to do this is do directly use ZF API, but I'll be happy if someone can confirm this.

Thx.

sam, I'm just starting to explore time in NS/C# so may be totally off topic here... but I changed my computer time ... both the hour and minute... I'm displaying Time[0] in an output window and it is continuing to show a bar time that is consistent with the chart (which is different from my current computer time)... I notice that it disconnects and reconnects to zenfire after I change the time which I suspect is a sync up situation... as far as milli seconds... no idea... it only displays seconds in the output window. I did notice that NT Josh says Time[0] returns the DateTime timestamp of the bar, let alone a "tick".

Are you trying to replicate the market replay data? or is that compressed in some way? Have you tried to determine its data structure?

DavidHP · (login for full post details)

According to gomifromparis on the NT board
"NT has 1 second granularity in timestamps."

NinjaTrader Support Forum - View Single Post - Delta Buy/Sell Volume

I've not personally verified this but this guy produces some pretty good indicators and seems to know a lot about NT.

Hope this helps.

sam028 · (login for full post details)

DavidHP

According to gomifromparis on the NT board
"NT has 1 second granularity in timestamps."

NinjaTrader Support Forum - View Single Post - Delta Buy/Sell Volume

I've not personally verified this but this guy produces some pretty good indicators and seems to know a lot about NT.

Hope this helps.

Right, I've read this before, Ninja is 1sec min granularity. The solution may be to use the ZenFire API, but I didn't already played with it, that was I'm looking for.
Another way, I'm testing it now, is getting the current time, with ms precision, after each tick, but it's not really what the best way to do it.
I'm trying to play with the duration between two ticks, to see if this information can be useful or not.

Saroj · (login for full post details)

sam, you've probably found this already, but I just came across it... p487 of NinjaTraderVersion6HelpGuide.pdf on C3 Method (Functions) Reference

sam028 · (login for full post details)

Saroj

sam, you've probably found this already, but I just came across it... p487 of NinjaTraderVersion6HelpGuide.pdf on C3 Method (Functions) Reference

Thx, I didn't see this, but I'm using something similar:

Code

                            
protected override void OnBarUpdate() {
string myTime = DateTime.Now.ToString("HH:mm:ss:ffff");
...

Like I wrote it before, this is not the best solution, I'll like to have what the datafeed provider really sent to Ninja (the tape with ms timestamp), but it's enough for a first approach. And it's interesting to see how many ticks/second can be managed by NT (my first tests show that 30 ticks/seconds is fine).

jcash · (login for full post details)

i have been able to measure time between ticks down to the ms using stopwatch in C#.

has anyone been able to get actual timestamps through the zen fire API?

Prtester · (login for full post details)

sam028

Thx, I didn't see this, but I'm using something similar:

Code

                            
protected override void OnBarUpdate() {

string myTime = DateTime.Now.ToString("HH:mm:ss:ffff");

...

Like I wrote it before, this is not the best solution, I'll like to have what the datafeed provider really sent to Ninja (the tape with ms timestamp), but it's enough for a first approach. And it's interesting to see how many ticks/second can be managed by NT (my first tests show that 30 ticks/seconds is fine).

Did you try DateTime.Now.Ticks

Big Mike · (login for full post details)

jcash

i have been able to measure time between ticks down to the ms using stopwatch in C#.

has anyone been able to get actual timestamps through the zen fire API?

Use OnMarketData and then use e.Time for the data feed timestamp.

Mike

jcash · (login for full post details)

e.Time.ToString("HH:mm:ss:ffff") in OnMarketData is giving me NT's rounded timestamp:

Last Price: 641.3 Last Time: 12:56:04:0000

Prtester · (login for full post details)

jcash

e.Time.ToString("HH:mm:ss:ffff") in OnMarketData is giving me NT's rounded timestamp:

Last Price: 641.3 Last Time: 12:56:04:0000

if you want more than seconds, ex milliseconds, you can't use NT Timestamp, you should make your own time for each incoming tick,

myticktime = DateTime.Now.Ticks;

then you need to convert it to the unit you will use.

Hope that help

RJay · (login for full post details)

jcash

e.Time.ToString("HH:mm:ss:ffff") in OnMarketData is giving me NT's rounded timestamp:

Last Price: 641.3 Last Time: 12:56:04:0000

jcash,

I use my cpu to time stamp each incoming tick to the microsecond.

I use something like this:

private string format = "HH.mm:ss.ffffff";

Try using a period instead of a colon between "ss" and "ffff"

RJay

RJay · (login for full post details)

Has anyone cracked the Zen-Fire Micro time stamp access problem??

here are some links.

uint32_t zenfire::tick::tick_t::usec

https://www.hugedomains.com/domain_profile.cfm?d=zen-fire&e=com

https://www.hugedomains.com/domain_profile.cfm?d=zen-fire&e=com

Thanks,

RJay

ThatManFromTexas · (login for full post details)

RJay

jcash,

I use my cpu to time stamp each incoming tick to the microsecond.

I use something like this:

private string format = "HH.mm:ss.ffffff";

Try using a period instead of a colon between "ss" and "ffff"

RJay

@RJay

Does that prevent NT changing tick bars after a chart refresh?

I use Zenfire. Today I refreshed a chart with Momentum bars and the bars changed significantly.

I was told DTN has their own timestamp with granularity more than a second . Does NT record that or round it off?

Sorry for the

But bars changing during a session really bothers me.

ThatManFromTexas · (login for full post details)

Got part of my answer from NT support ....

NinjaTrader_Joydeep

Hello ThatManFromTexas,
The highest granulation time frame which NinjaTrader currently offers is upto second. NinjaTrader will round it off to the second even if your data feed provides say milliseconds granularity. Our next major release however is expected to support higher granularity than seconds.

eman · (login for full post details)

adding precision to the timestamp will solve so many issues with respect to historical/backtest ... looking forward to NT8!

cheers,
-e

number of ticks in a bar/ms timestamp ?

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number of ticks in a bar/ms timestamp ?

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