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New York City + NY/United States
Posts: 356 since Sep 2018
Thanks Given: 108
Thanks Received: 311
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Hello, wondering why are tick charts with the same settings different between people? If it matters, I am using NinjaTrader with Continuum data source. I've noticed that with the same 2000 Tick chart, the bars will look differently between people, and even different when I reopen the chart. For example, earlier today I opened a 2000 chart and took a trade that got stopped out. Then I completely closed out of NinjaTrader. A couple minutes later, I reopened NinjaTrader, selected a 2000 Tick ES chart again (same exact process as before), and this time the bar were different such that I would have never placed the limit order and it would not have been hit on this new chart vs the original one.
Seems odd to me considering that when loading data series in NinjaTrader, it asks for how much historical data. The default is 3 days of historical. Regardless of what time you load it, 3 days of historical always starts at 5pm CST. So I would think that the 1st tick should always start with the 1st bar, and that the chart would like the same regardless of what time of day you opened it, and also the same across everyone else using the same settings. However this hasn't been the case, and I'm wondering why. Also curious if there is a way to sync the tick chart to a specific time.
Anyone have thoughts or experience on this?
EDIT: Found the answer here: https://ninjatrader.com/support/helpGuides/nt7/?how_bars_are_built.htm
As ticks come into NinjaTrader in real-time, they are time stamped based on your local PC time if they do not already have an associated time stamp that is provided from the real-time data source. The majority of our supported brokerage feeds DO NOT time stamp ticks, where most of our supported market data vendor feeds do provide time stamped ticks. NinjaTrader then builds bars based on the time stamp of the incoming tick and displays these bars in your chart in real-time.
Let's say you have a tick (tick "A") with a time stamp of 10:31:00 AM which gets packaged into the 10:32:00 AM bar and happens to be the high of that bar. An hour later, you reload historical data from your historical data provider into NinjaTrader. This process will overwrite the existing data. The 10:32:00 AM bar now looks different since the high made by TICK "A" is now part of the prior bar, 10:31:00 AM. How is this possible?
• Your PC clock could have been off so the time stamp is delayed
• Your internet may have been lagging so the tick came in slightly delayed and therefore the time stamp is delayed
• Due to standard latency, even 50ms delay (which is normal) could be the difference between a 10:30:59 and 10:31:00 time stamp
• There is no way of knowing how the historical data provider packages their bars
The only way to ensure that data always looks the same is if every connectivity provider sent ticks with time stamps AND that all vendors synchronized on time stamps. Unfortunately, this is just not a reality nor plausible scenario.
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