IQFeed tick data question

[Penelope]

I think I need help in setting up my Ninja Trader charts.

I've been backtesting the Dow Jones Industrial Average (DJIA). I'm subscribing to IQFeed for my data feed. I've been using tick charts.

What I don't understand is the following:

On the 144 tick chart, each bar closes at 5 minutes - very occasionally at 6 minutes. In other words my 144 tick chart looks virtually identical to a 5 minute chart.
Other examples: the 610 tick chart each bar closes every 22 minutes and the 233 tick chart - each bar closes after 7 minutes.

I have a similar situation with other instruments so it's not just DJIA where I encounter this.

I've spoken to IQFeed technical support and they are fairly sure I need to ask you at Ninja Trader for assistance.

I have a feeling I need to adjust a setting somewhere but I don't know where.......?

Can you please set me straight.

Thank you.

Penelope

[NinjaTrader_Ray]

The duration of bars on tick charts is not fixed and is directly dependant on the open and closing tick timestamps that book end the bar. The time stamp on the actual bar is the closing tick time stamp. If on average it takes 5 minutes then that is really what it is.

[Penelope]

Hi Ray
Let me explain a different way so you understand what I mean.

Everyday at market open the first bar on the DJIA 144 tick chart closes at 14:34 (my local time)

Everyday the bars then close at exactly the same time. So on this last Monday the bars closed

At:
14:34
14:39
14:44
14:49
14:55
15:00
15:04
15:09
15:15
15:20
and so on

Yesterday (Tuesday) the bars closed
At:
14:34
14:39
14:44
14:49
14:55
15:00
15:05
15:10
15:15
15:20
and so on

As you can see, there are a couple of one minute variations but mainly the bars close at the times I have listed - not just for the last 2 days but everyday for the past 3 months.

This is regardless of market activity. Even when there is increased market activity at market open or at other times during the trading day - let's say over a 30 minute period - the bars still appear at 5 minute intervals instead of increasing in number during the period of increased market activity. This doesn't make sense because the DJIA is a volatile index.

If I compare my 144 tick chart over a one week period, it is virtually identical to a 5 minute chart over the same one week period regardless of market activity. And as I mentioned in my previous posting, the 610 tick chart on the DJIA is more or less a 20 minute chart and that's over a 3 month period as well. Furthermore the bars on a 610 tick chart also close at the same time everyday.

The Nasdaq 100 tick charts also show fixed time bars (at the same time everyday) regardless of market activity.

Something is clearly not right. My tick charts are somehow showing themselves as time charts. If you want, I can send you screen prints so you can see for yourself.

Please can you help

Regards

Penelope

[NinjaTrader_Josh]

Hi Penelope,

May I ask which version of NinjaTrader are you on? Can you please try this on the Simulated Data Feed? See what kind of chart pops up with that. This way we will know for sure that it is not the data feed causing the issue.

[Penelope]

Hello Josh

I have Ninja Trader installed on 2 computers. I have Windows XP on one and Vista on the other;
Ninja Trader Version 6.5.1000.3 with Windows XP
Ninja Trader Version 6.5.1000.1 with Vista

As you requested, I have tested the simulated data feed. I have done this on both computers - one after the other. The results are identical on both computers.

I opened up new charts and tried the simulated data feed on them with indicators and without indicators. The charts look just the same as the charts I had up yesterday. Same time intervals on the 144 tick and 610 tick i.e. 5 minutes & just over 20 minutes.

I don't know if this has any connection to the problem but the trend control slider did not appear to be linked to any of the simulated data feed charts I opened. I could move the trend control slider up & down but the chart did not alter in any way and the prices did not move up or down.

I should also tell you that tick charts were displaying in this same odd way when I was using Open Tick before I switched to IQFeed.

Also the charts were displaying in this same way when I had Ninja Trader Version 6 installed.

I hope this information helps.

Regards

Penelope

[NinjaTrader_Ray]

Please do this -

- Only on 6.5.1000.3
- Connect to IQFeed
- Open a new 144 tick chart with 5 days back
- Right click in the chart, "Reload Historical Data"
- What do you see?

[trader65]

hi penelope,
are trying to chart the index symbols or the underlying futures?
kon

[Penelope]

Hello Ray

I've done exactly as you have asked.

I see a 144 tick chart for DJIA. The chart looks exactly the same as the charts I had up yesterday with the same time intervals as I have already described in my earlier postings.

Regards

Penelope

[Penelope]

Hi Trader65

I'm charting the Dow Jones Industrial Average cash index (DJIA). I'm not
charting futures.

Penelope

[trader65]

...couse if you are ploting the indices ..DJI, NDX100 etc...on tick charts..that is a normal "behaviour".....the indices are updating in constant timeframes from exchanges.:)

[trader65]

please try to plot the futures symbols on tick charts instead...
regards
kon

[NinjaTrader_Ray]

Thanks Trader65....

Of course, I was thinking in terms of standard tradeable instruments and not index data.

Penelope, it is as expected.

[Penelope]

That explains my ongoing problems :confused:

Thank you Trader65 for coming to my rescue.

Penelope

[zoltran]

Penolope.. I'm not Ninja support.. but was wondering....

Are you really charting the index ^DJIA? vs YM or DIAmonds

Indexes don't actually 'trade', so they will have unusual volume and 'tic' data. Take a look at a 1 minute chart of ^DJIA. It will always show a volume of '1'. 5 min charts show '5' etc.

You might find your tic charts work better using an actual trading instrument such as the YM e-mini or the DIA etf.

Zol

[Penelope]

Hello Zol

I am indeed charting the index ^DJIA and trading it also. This is because I am a spread trader.

It's only very recently that I became interested in tick charts as opposed to time frame charts and no doubt you have gathered from this thread that I had no idea that I couldn't apply tick charts to the ^DJIA. I understand now why I can't and that's that. I will just have to stick to time charts.

I have very much 'taken to' tick charting and I would be very happy to back test and switch to the YM e-mini but unfortunately the spread trading companies here in the UK do not offer e-minis or DIA so that avenue is closed to me.

Thank you for taking an interest in my problem. I really appreciate it.

Regards

Penelope