Now it's official - Beta 14 filtering does not work.

[xTrader1]

See attached images.

[NinjaTrader_Dierk]

The realtime data filter you are referring to is for realtime data only and NOT for historical data -> if you created the chart of historical data pulled from your provider (which one?) then the filter would NOT trigger. Same with NT6.5, nothing has changed in that regard.

[NinjaTrader_Dierk]

Also: if more than 3 ticks come in at an "odd" price level then the consecutive ticks would be considered as "ok". This again is the same behavior as NT6.5.

[xTrader1]

Also: if more than 3 ticks come in at an "odd" price level then the consecutive ticks would be considered as "ok". This again is the same behavior as NT6.5.

I know. I'm getting real time data from MBT , it should be filtered out on real time, but it doesn't work. It is saved on database and becomes historical. Then I have no choice, but to remove bad ticks manually.

Another problem , arising here is that the removed/changed ticks disappear from my charts only after restarting NT. I would like my changes to be valid immediately, but I understand it may be a significant architectural change.

I think, I understand either limitations of your filtering algorithm.

These were reasons to my thread :

http://www.ninjatrader-support2.com/vb/showthread.php?t=28163

I think the solutions I propose there shouldn't be difficult to implement.

Please reread an try to answer, if possible. An answer "we cannot do anything" will be also a kind of answer, but then I'll know at least that I should either take it or leave it.

[xTrader1]

I can add also

that I developed an application which records all ticks from MB trading to files, a file per instrument.
Therefore I know that sometimes MBT sends spurious records, not including all data fields as expected. I'm simply discarding such records. It seems you're not discarding, but rather padding them with 0 value.

[NinjaTrader_Dierk]

>> I know.
Great, as you perfectly understand how filtering works you know that:
- it's only applied to realtime data
- more than 3 consecutive ticks at price level=0 would throw it off
- nothing has changed in regards to the tick filtering since NT6.5

Curious: Do you have the "use snapshot" option enabled on your MBT connection. If so, you could try disabling it to see if it makes difference.

Your change request regarding data editing is noted and added to our list.

[xTrader1]

Curious: Do you have the "use snapshot" option enabled on your MBT connection. If so, you could try disabling it to see if it makes difference.

Following your advice I disabled snapshot data and restarted NT7.
Please explain what's a meaning of snapshot data, I didn't find an answer neither in the forum nor in help.

[NinjaTrader_Dierk]

"Use snapshot data" generates bid/ask events (bid=last for currencies) from the MBT API "quote data" events.

[pnorbutas]

Hello,

I just wanted to confirm the problem on NT7 beta 14. Tick filtering on and off gives the same result.

Regards,
Povilas

[NinjaTrader_Dierk]

Thanks. Please see below to understand that the issue is NOT related to NT's filtering but to MBT issuing more than 3 consecutive ticks at incorrect price level=0.

[xTrader1]

Just wanted to inform you

"Use snapshot data" generates bid/ask events (bid=last for currencies) from the MBT API "quote data" events.

that after disabling snapshot data, as for now , 1.4 days, the data is clean.

[NinjaTrader_Dierk]

Thanks for feedback. Curious: your screenshot below suggests that you had seen the price=0 issue on weekends. Have you ever seen them during the week though? If so, around what time? Thanks

[xTrader1]

Thanks. Please see below to understand that the issue is NOT related to NT's filtering but to MBT issuing more than 3 consecutive ticks at incorrect price level=0.

Well, it is related both to the data provider issues and to limits of your filtering algorithm. I hope you're going to add an "out of range" filter I proposed here. I hope either you'll discard 0 value ticks in real time.

Please do not forget a real world. No instrument cannot be traded on zero value, a bankruptcy of the issuer would occur before.

[NinjaTrader_Dierk]

>> No instrument cannot be traded on zero value
That is incorrect. The real world is that there even are instruments which trade at negative prices (that's why NT7 supports that).

Could you please provide info I requested in my post below? Thanks

[xTrader1]

That's another interesting issue.

Thanks for feedback. Curious: your screenshot below suggests that you had seen the price=0 issue on weekends. Have you ever seen them during the week though? If so, around what time? Thanks

I collected 0 values printout for several currencies pairs I'm working with. All of them happened on Beta 13.
Most of them occurred around 5PM EST , when MBT stops and resumes broadcasting , and I'm aware of this issue from my work with MBT API. Something new for me was quite consistent 0 value just on midnight EST on several instruments.
Except of it , spurious data occurred sometimes on random time of day.
I can send you by Email a file with list of 0 valued ticks, I don't think its of general interest here.