Version 7 beta22 Dropping Ticks???

[RJay]

Here is a selected list of orderly events that take place in NT 6.5.
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AddBar adds a new bar to the price chart.

Volume[0] series is added to the new bar.

CurrentBar is updated with its new value for the new bar.

FirstTickOfBar is set to true.

1st tick of data from data provider is processed .

FirstTickOfBar is set to false.

2nd tick of data from data provider is processed .

3rd tick of data from data provider is processed .
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Here is how the same events are occurring in NT7 Beta22
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AddBar adds a new bar to the price chart.

Volume[0] series is added to the new bar.

1st tick of data from data provider is processed .

CurrentBar is updated with its new value for the new bar.

FirstTickOfBar is set to true.

2nd tick of data from data provider is processed .

FirstTickOfBar is set to false.

3rd tick of data from data provider is processed .

---------------------------------------------------------------------------------------------

Any indicator that references FirstTickOfBar or CurrentBar and collect data from OnMarketData may be not capturing the data from the first tick of each bar.

I have already confirmed this with my own custom indicators.

Could you look into this please.

Thanks,

RJay

[NinjaTrader_Brett]

Hello,

I will look into this. However before I look into can you please let me know how you are using FirstTickOfBar in your code, as if I remember correctly you where using this outside of OnBarUpdate() which is not supported, This needs to be used in OnBarUpdate().

Would it be possible to post or send me a sample script you used to verify these findings so that we can compare notes.

I look forward to assisting you further.

[RJay]

Hello,

I will look into this. However before I look into can you please let me know how you are using FirstTickOfBar in your code, as if I remember correctly you where using this outside of OnBarUpdate() which is not supported, This needs to be used in OnBarUpdate().

Would it be possible to post or send me a sample script you used to verify these findings so that we can compare notes.

I look forward to assisting you further.

Brett,

I am attaching two indicators using FirstTickOfBar in OnBarUpdate() section only.

AAA_Total_Market_Volume2 worked fine in NT 6.5 but has problem in NT 7.

AAA_Total_Market_Volume has a temporary fix for NT 7 first tick of bar problem.

Put both indicators on a one tick chart along with the VOL indicator.

This will display the problem.

AAA_Total_Market_Volume2 indicator will have a blank display.

AAA_Total_Market_Volume with fix will match VOL indicator.

RJay

[NinjaTrader_Brett]

Hello,

There were no attached files.

Can you please re-attach, Thanks.

[RJay]

Hello,

There were no attached files.

Can you please re-attach, Thanks.

Sorry about that. I attached them to the prior post.

[NinjaTrader_Brett]

Hello,

I'm not sure how you found your findings for 6.5, please let me know if I am missing something. I ran your indicator on both 6.5 and 7.

Please see the following video of 6.5 test:

http://screencast.com/t/PIQxgJKT6H

You can see as I draw boxes that you are missing this tick data even on 6.5 as you reset here meaning that in this case the FirstTickOfBar in OnBarUpdate occurs after the OnMarketData event in 6.5.


My NinjaTrader 7 test was the same way.


Let me know if I can be of further assistance.

[RJay]

Hello,

I'm not sure how you found your findings for 6.5, please let me know if I am missing something. I ran your indicator on both 6.5 and 7.

Please see the following video of 6.5 test:

http://screencast.com/t/PIQxgJKT6H

You can see as I draw boxes that you are missing this tick data even on 6.5 as you reset here meaning that in this case the FirstTickOfBar in OnBarUpdate occurs after the OnMarketData event in 6.5.


My NinjaTrader 7 test was the same way.


Let me know if I can be of further assistance.

Brett,

I did not expect you to test for a problem in NT 6.5. NT 6.5 does not have a problem.

The problem is in NT7. Please test in NT7 on a 1 tick TF chart.

This will display the problem.

AAA_Total_Market_Volume2 indicator will have a blank display.

AAA_Total_Market_Volume with fix will match VOL indicator.

Thanks Again,

RJay

[NinjaTrader_Brett]

Hello,

The reason why I tested in 6.5 is you said in your first post that 6.5 was working correctly and 7 was not. This is not the case as 6.5 works the same as 7.

In either regard, it is not documented in our documentation on which event fire's when and in what order. because of this it is recommended that you not structure your code to depend on these events firing in a specific sequence, as it is subject to change at a future time.

As it stands now if you reset your counter only with your FirstTickOfBar only check you will lose the data in the first tick of bar. You must add this in as you have done. This is expected.

Let me know if I can be of further assistance.

[eDanny]

When I compare the same code in NT6.5 and NT7, FirstTickOfBar has no issues in 6.5 but only drops the first volume tick in NT7. I have found the difference also and have had to resort to additional code to add it back in.

Dan

[RJay]

Hello,

The reason why I tested in 6.5 is you said in your first post that 6.5 was working correctly and 7 was not. This is not the case as 6.5 works the same as 7.

In either regard, it is not documented in our documentation on which event fire's when and in what order. because of this it is recommended that you not structure your code to depend on these events firing in a specific sequence, as it is subject to change at a future time.

As it stands now if you reset your counter only with your FirstTickOfBar only check you will lose the data in the first tick of bar. You must add this in as you have done. This is expected.

Let me know if I can be of further assistance.

OK, Thank you Brett!!!

I just needed you to confirm that even though NT 6.5 updates FirstTickOfBar and CurrentBar prior to the First Tick Of Bar

and NT 7 updates FirstTickOfBar and CurrentBar after the First Tick Of Bar , This was a planned change in the Ninja platform.

It makes no sense to me, but I have my workaround so I can capture all the volume in each bar anyway.

Thanks again for your time.

RJay

[RJay]

Brett,

One more question if you please.

Since FirstTickOfBar and CurrentBar no longer define the open of a new bar, do you have anything else in NT 7 that will provide that function??

Thanks,

RJay

[NinjaTrader_Ray]

Brett,

One more question if you please.

Since FirstTickOfBar and CurrentBar no longer define the open of a new bar, do you have anything else in NT 7 that will provide that function??

Thanks,

RJay

RJay,

FirstTickOfBar defines the opening of a new bar in the context of OnBarUpdate, if you have experienced otherwise, please let me know since this would be a bug. FirstTickOfBar is only designed to work within the context of OnBarUpdate. Although it may have produced the desired behaviour in 6.5, it was never designed to do so.