^ADV not recording for market replay

[sledge]

I have mapped TDA's $ISSU to NT's ^ADV.

TDA supplies the ADV information in the DailyHigh, and the DEC information in the DailyLow.

I have had this up in Market Analyzer for 2 weeks where it changes as expect in the DailyHigh/DailyLow columns.



I just went to test some code relying on ^ADV in Market Replay and nothing happened for ^ADV in OnMarketData, but ES 09-12 was fine (since I have tick data).

I checked my historical data manager - and there is no ^ADV, ADV, or $ISSU listed.

I did find the ^ADV folder , C:\Users\xxx\Documents\NinjaTrader 7\db\tick\^ADV , but it is empty.


What am I missing here? Will it record if I put up a chart of ^ADV (which will always be blank, since there are no bars to plot)?

Is this a short coming in NT, if no bid/ask/last, there is no recording happening?

--edit--
I did find these files NTM files that appear to be binary of sorts.

[NinjaTrader_Matthew]

Hello,

Market Replay will only record the bid/ask/last information.

The DailyHigh/DailyLow is fundamental data which is provided by TDA and fundamental data is not recorded on a market replay connection at this time.

Please let me know if you have additional questions.

[sledge]

I tried in live session and ^ADV isn't happening.

I have an ES chart, so I get bars, so I can plot.


I made an indicator which adds a series, and in onmarketdata,
Gets the dailyhigh and dailylow.

It worked as expected with 6E last night.

I changed from 6E to ^ADV and it appears it is no longer being called for changes to dailyhigh or dailylow.

Originally Posted by NinjaTrader_Matthew

Hello,

Market Replay will only record the bid/ask/last information.

The DailyHigh/DailyLow is fundamental data which is provided by TDA and fundamental data is not recorded on a market replay connection at this time.

Please let me know if you have additional questions.

[NinjaTrader_Brett]

Hello,

Who is your data feed provider for futures data? If I recall you were using TDA but are you now using some other connection?

In the past the TDA connection never worked for index data.

Or are you downloading replay data from file->utilties->download replay data?

-Brett

[sledge]

Brett

Zenfire for futures. Yes, TDA for index. Live connection .

So onmarketdata won't work for any tda index data?

NT Market analyzer picks it up.


I'm trying to plot ADV&DEC on a chart.

Originally Posted by NinjaTrader_Brett

Hello,

Who is your data feed provider for futures data? If I recall you were using TDA but are you now using some other connection?

In the past the TDA connection never worked for index data.

Or are you downloading replay data from file->utilties->download replay data?

-Brett

[NinjaTrader_Brett]

Hello,

To clarify are you trying to get this in replay or live?

-Brett

[sledge]

Live.

( I have no replay data since it doesn't record as per fundamental data rule mentioned earlier)

Originally Posted by NinjaTrader_Brett

Hello,

To clarify are you trying to get this in replay or live?

-Brett

[NinjaTrader_Brett]

Ok the reason why I ask is downloading data from our replay servers is good for futures only. So replay it wont work at all unless you record your own data.

As far as live this will work as long as you have a provider that supports these instruments.

I have tried to get TDA to work on index's in the past and was unsuccessful even with live data. NT does not support the TDA live index data even with the correct mapping to match the TDA side still no live data would come through.

You may be looking at old values for the market analyzer? Do you get live data in the market analyzer or just checking this DailyHigh fundemental data for indexs on TDA?

-Brett

[sledge]

See the attached image. The ^indexes are all chartable except ^ADV since it doesn't have bid/ask/last. The dailyhigh, dailylow are correct. Even FB.

I also verified $ISSU with my phone's values. 1343 and 1764 are correct.

I'm not sure where you tried mapping TDA index data, but these work in NT:

^ADV maps to $ISSU.
^TRIN maps to $TRIN
^TICK maps to $TICK
^VIX.X map to $VIX.X

Can someone look at your source code to see why it doesn't work with TDA in a chart like this, but does with Market Analyzer?

Is this a TDA thing? No OnMarketData calls?

Is ADV or DEC stored in "last" in Kinetick?

I guess I can try with FB on TDA tomorrow to see if OnMarketData gets called for that?



The code is really simple and works for 6E 09-12 on a live chart attached to ES 09-12, 1 minute.

If 6E 09-12 makes new dailyhighs/lows, you can see it on the chart.

thanks

    public class highs : Indicator
    {
        #region Variables
        // Wizard generated variables
            private int myInput0 = 1; // Default setting for MyInput0
        // User defined variables (add any user defined variables below)
        #endregion
        public double highprice;
        public double lowprice;
        public int barsago = 0;

        /// <summary>
        /// This method is used to configure the indicator and is called once before any bar data is loaded.
        /// </summary>
        protected override void Initialize()
        {
            Overlay                = false;

            //Add("6E 09-12",     PeriodType.Minute, 1);  
            Add("^ADV",    PeriodType.Minute, 1);   

            Add(new Plot(new Pen(Color.FromKnownColor(KnownColor.Red)   ,3), PlotStyle.Line, "ADV"));
            Add(new Plot(new Pen(Color.FromKnownColor(KnownColor.Yellow),3), PlotStyle.Line, "DEC"));

        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {

            
            ADV.Set ( highprice );
            DEC.Set ( lowprice );
        }
        protected override void OnMarketData(MarketDataEventArgs e)
        {
            if ( BarsInProgress != 1 ) 
                return;
            //Print ( "OnMarketData!" + e.ToString() );
            
            if (e.MarketDataType==MarketDataType.DailyHigh)
            {   
                this.highprice = e.Price;
                //Print ( "OnMarketUpdate() " + BarsInProgress + " HP" + this.highprice );

            }
            if (e.MarketDataType==MarketDataType.DailyLow)
            {    
                this.lowprice = e.Price;
                //Print ( "OnMarketUpdate() " + BarsInProgress + " LP" + this.lowprice );

            }
            
        }

        #region Properties

        //------------- ADV/DEC ------------------------------
        [Browsable(false)]
        public DataSeries ADV
        {
            get { return Values[0]; }
        }
        [Browsable(false)]
        public DataSeries DEC
        {
            get { return Values[1]; }
        }

Originally Posted by NinjaTrader_Brett

Ok the reason why I ask is downloading data from our replay servers is good for futures only. So replay it wont work at all unless you record your own data.

As far as live this will work as long as you have a provider that supports these instruments.

I have tried to get TDA to work on index's in the past and was unsuccessful even with live data. NT does not support the TDA live index data even with the correct mapping to match the TDA side still no live data would come through.

You may be looking at old values for the market analyzer? Do you get live data in the market analyzer or just checking this DailyHigh fundemental data for indexs on TDA?

-Brett

[NinjaTrader_Brett]

Sledge,

We would require the last to work with TDA to get L1(Market Data) on this instrument which would drive OnMarketData() calls.

It may be worth checking this during when the instrument is actually plotting, the high/low falues are fundemental data points which are different then the L1 data stream required.

I sent a PM with more details as well I can give this a try on my side with your account as well let me know if interested via PM.

-Brett