Order Flow CD Indicator Has bad OCHL

[NJA_MC]

After the V13 upgrade, I am noticing the following issue on the Data Box.

This occurred while running forward over night in time on a Tick Replay enabled ES 06-18 5 Min chart. Not sure what happened, but you can see CLOSE is now got a black background, OHL are all the same value, and CLOSE is outside the HL range. I will see if I can reproduce it, but could be a graphical resource (rendering) crash of sorts. Never saw this before.

EDIT: BTW, the chart looked fine, just when the cursor was run across the Data Box showed bad data, not sure there was any commonality (like Open was correct), seemed almost random data in that pattern.

[NinjaTrader_ChelseaB]

Hello NJA_MC,

With the information provided I am not able to reproduce this behavior.

Is this happening with all instruments on all bars?

If not, what instrument, what bar type, what interval, and what time?

[NJA_MC]

Hello NJA_MC,

With the information provided I am not able to reproduce this behavior.

Is this happening with all instruments on all bars?

If not, what instrument, what bar type, what interval, and what time?

I was running this on a few instruments ZB, CL, & ES over nigh on 10 Min bars, when I came to it this morning it was performing this way. I cannot immediately reproduce it, it might take time. I will try to produce it over night again.

PS. No errors in the log since last night either....

[Trader17]

Does V13 have the Volume Profile in it? Is it out?
Thanks.

[NinjaTrader_ChelseaB]

Hello Trader17,

Yes, NinjaTrader 8.0.13.0 still includes an indicator named Volume profile.

This would be found in the indicators list.

[Trader17]

Sorry. I meant the one they were supposed to release after releasing the Volumetric Bars. The default indicator now in there only plots in real time.
Thanks.

[NinjaTrader_ChelseaB]

Hello Trader17,

Volumetric bars are a new bar type introduced in 8.0.12.0 and yes, these are still available in 8.0.13.0.

The Volume profile indicator is designed to work with real-time data. For this to work historically, it would require enabling TickReplay with a connection that supports historical tick data.

Below is a public link to the help guide on TickReplay indicators.

https://ninjatrader.com/support/helpGuides/nt8/en-us/index.html?power_volume_indicators.htm#VolumeProfile

As well as a public link to information about TickReplay.

https://ninjatrader.com/support/helpGuides/nt8/en-us/tick_replay.htm

I am not aware of any other indicators with names similar to 'Volume profile' (other than the one with that exact name included with NinjaTrader) being added by default. However, there are volume profile indicators made by community members and 3rd parties that you can download and import into NinjaTrader.
The DValueArea is a popular type of volume profile indicator which I am linking below.

https://ninjatrader.com/support/forum/local_links.php?linkid=837

[edmata1109]

Hello, I have noticed similar errors as NJA_MC describes in 8.0.12.0. There are times when the cumulative delta indicator, set at “bar”, instead of “session”, does not follow the delta statistics. For example, there are numerous occurrences, on any contract, where the HLC of the delta candle does not match the delta statistics printing while using volumetric bar types.

[edmata1109]

Please notice the 21:38 bar. The Delta (Bar), Min delta and Max delta statistics on the chart do not match the Delta Close, Delta Low, and Delta High of the Cumulative Delta indicator. Please refer to other bars, visually you can tell they do not match. I am currently using NinjaTrader 8.0.13.0.

[NJA_MC]

I got the problem to reproduce again last night.

It might be only for OFCD hosted in a strategy.

I happen to have the OFCD added to the chart as well as a strategy adding it to the chart. The Indicator alone didn't show the problem, but the strategy hosted version did. This happened at the session break so that is where the problem is being introduced.

Looks like the HIGH/LOW are simpled copies of the OPEN, but the Open & Close match the Indicator alone. See the attached images. In both cases the chart seems okay, just the data box. I am not sure if the strategy internally is seeing the incorrect High/Low, I will try to setup an experiment next week due to the holiday to test the strategy internal data.

So again, the Strategy hosted OFCD was fine up until the session break (matched the independent Indicator), but after the session break, the HIGH/LOW in the databox got corrupted.

[NinjaTrader_Jesse]

Hello NJA_MC,

Thank you for the additional information.

I just wanted to provide a quick reply and let you know we're looking into this. I had identified another item surrounding TickReplay and 1 Tick series which could potentially be related to this. After further research on this item, we will reply back here with more details.


I look forward to being of further assistance.

[NinjaTrader_ChelseaB]

Hello NJA_MC,

We appreciate your patience as we look into this.

Our development has assigned tracking ID #NTEIGHT-12655 to this behavior. As new releases of NinjaTrader become available, please check the release notes for this ID.

Once the ID appears in the release notes, please retest for this behavior.

Below is a public link to the release notes.

https://ninjatrader.com/support/helpGuides/nt8/en-us/release_notes.htm