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Millisecond data
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Millisecond data

  #1 (permalink)
Elite Member
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Millisecond data

Is Nt7 or data the limiting factor?
It seems he smallest time increment to analyze data is one second in ninjatrader. If I want to come down further to the millisecond level ( volume analysis) is it the data feed or Nt7 that will limit me?
Currently have zen fire and kinetick.

Thanks

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  #3 (permalink)
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gparkis View Post
Is Nt7 or data the limiting factor?
It seems he smallest time increment to analyze data is one second in ninjatrader. If I want to come down further to the millisecond level ( volume analysis) is it the data feed or Nt7 that will limit me?
Currently have zen fire and kinetick.

Thanks

IQFeed has announced millisecond resolution. But NinjaTrader won't support it until NT8, as already confirmed in the:
https://futures.io/ninjatrader/23266-webinar-discussion-raymond-deux-ceo-ninjatrader-debut-ninjatrader-8-a.html

Other high quality feeds will follow suit I would imagine, over the next few months.

Mike

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  #4 (permalink)
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From what I have found, you can right click on the chart and go to the properties and set the data refresh time down at the bottom. I think it defaults to .5ms (or something similar) but I set mine faster. It is VERY VERY VERY processor intensive though, so use at your own risk.

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jcbtrading87 View Post
From what I have found, you can right click on the chart and go to the properties and set the data refresh time down at the bottom. I think it defaults to .5ms (or something similar) but I set mine faster. It is VERY VERY VERY processor intensive though, so use at your own risk.

@jcbtrading87: I think you confused two things.

The question in this thread was about the granularity of time stamps. The current version 7 of Ninjatrader does not support millisecond granularity. Timestamps currently have 1-second granularity. This is not enough to synchronize various instruments during a fast market.

The 1-second granularity is a serious handicap, if you wish

- to build charts from several bar series
- to code multi-instrument indicators or strategies
- compare real-time data with historical data


What you are talking about is the display update interval. This has absolutely nothing to do with the data. It is just the frequency with which the screen plot is updated. The default setting for the screen is 0.5 seconds. That means that the images for your screens are just recalculated twice per second. This is comparable to the frame rate of a video game.

If you are a superfast scalper who uses market orders then your reaction time depends on the display update interval. Your total time that you need to react to a market move is the sum of

- latency of your data line / broker controls (typically 50- 250 msec for the roundtrip, depending on your location)
- human reaction time (between 200 and 350 msec)
- latency introduced by the refresh rate of your screen (up to 500 msec)

This means that you are about 0.5 to 1 seconds behind algorithms running in one of the colocation facilities. In a fast market you cannot beat them anyhow.

I personally have not changed the default settings for the display update interval. Whether it affects the CPU if you reduce the display update interval depends on the complexity of the plots of the indicators that you have applied to your charts. I also suggest that you use as many indicators as possible in CalculateOnBarClose = true mode. Thus they will not calculated with every incoming tick, but only once when the bar closes.

But again this was not the original question, which was about timestamp granularity and data analysis.

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IQFeed released the developer test version 5.0 on January 16th, and it fully supports millisecond resolution. The general availability release for non-beta testers/developers is probably around March.

It will be up to the trading platforms to then add support for millisecond resolution. I mentioned NinjaTrader 8 will do this. It is unclear if/when others will add it. I will ask Sierra Chart.

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  #7 (permalink)
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Sierra Chart does support millisecond time stamping. It has now for many months, although we are currently not taking advantage of it within chart studies and drawing tools. That will come as soon as we can work on updating the functionality within Sierra Chart to support that.

We will also add support for IQ Feed millisecond time stamping.

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  #8 (permalink)
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spoke to iq feed and yes they are planning the release in late march early april.

however, they said that none of the current platforms are ready to support this; coding wise.

So we will have to wait for the platforms to update their software for those of us who use millisecond data to utilize this feature....

so sierra and NT...when is the update?

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gparkis View Post
so sierra and NT...when is the update?

Covered already in this thread.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
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  #10 (permalink)
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if i order data provided in the millisecond format:

HH:MM:SS:MMM

would this still be importable into NT at the current moment?

Thanks

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