Different prices on 3 min vs 15 second bars

[Uncas]

Sorry in advance if I'm doing something I incorrectly.

I noticed that the prices on a 15 second chart are way different from the prices on the 3 minute chart for the YM 3-08 contract on 1/4/2008.

I thought it would be an OpenTick problem, but I downloaded raw data from them and both the 15 second data and the 3 minute data match the data on the 3 minute chart.

http://img125.imagevenue.com/loc1094/th_27161_ScreenShot029_122_1094lo.jpg (http://img125.imagevenue.com/img.php?image=27161_ScreenShot029_122_1094lo.jpg)
http://img158.imagevenue.com/loc798/th_27166_ScreenShot030_122_798lo.jpg (http://img158.imagevenue.com/img.php?image=27166_ScreenShot030_122_798lo.jpg)

[NinjaTrader_Josh]

Possible reason could be they are pumping from different data feeds on those different time frames. I do not know if they do; just putting some ideas out there.

Try a comparison of 1min to 3min. I believe those should match up.

[Uncas]

The data on the 1 minute bars agrees with the 15 second bars. I don't know how NT queries OpenTick, but calling the API with

client.requestHistData(new OTDataEntity("EC", "/YMH8"), new DateTime(2008, 1, 4), new DateTime(2008, 1, 5), OTHistoricalType.OhlcTickBased, 1);

and constructing 15 second bars with that would give the same prices for the 3 minute range.

[NinjaTrader_Dierk]

Not sure I follow. Please contact OT support on any potential discrepancy on their historical tick and historical minute data.

[Uncas]

This wasn't an OpenTick issue. I reloaded the historical data for that day, and now the prices on the 15 second bars and 3 minute bars agree. Somehow the 3 minute bars were shifted backwards in time by 3 hours, while the 15 second bars were correct. I didn't change any settings on my computer clock. I noticed this because while backtesting a strategy the 15 second prices and 3 minute prices were way off.

[NinjaTrader_Josh]

Could have happened from a small lapse in streaming data when you were getting live data. Subsequent minute charts being loaded from OT instead of streamed without the lapse could potentially have lead to the discrepancy. Either way glad you got it sorted out.