How is live data feed collected for use in Historical Data Manager?

[adamus]

It would be great if you could tell me how NT7 collects data for the Historical Data Manager from the live feed.

First I noticed that there were differences in the backtested results of my strategies when I collected the data from IB into the HDM and from backtesting on historical data that I download direct from the IB history servers.

I asked IB what they do to create the 1 mins bars that they provide as historical data and this is what they replied:

We provide historical data as snapshot requests taken at 300 millisecond intervals which is stored locally by IB and used to calculate the time bars generated by IB.

I noticed that the bars in the live-collected data were bigger. And what IB says confirms it. They just don't read all the ticks.

So it looks like NinjaTrader has a more logical and efficient algorithm for collecting the data from the live stream. Would you care to share?

My second question is whether the HDM merges live feeds into the HDM when there is more than one available. At this time I have the feed from IB, and another from IQ-Feed.

[NinjaTrader_Jason]

Hello adamus,

If you have 'Save chart data as historical' enabled at Tools-->Options-->Data-tab enabled, it will save incoming real-time data in the database. It will be saved as how we receive the real-time data.

IB uses different sources for historical data and real-time data, which causes the difference. This is not caused by how NinjaTrader collects the data.

No, NinjaTrader does not merge real-time data when you use multiple connectivity providers. It will save the real-time data from the connectivity provider that it receives real-time data from.

[adamus]

Jason,

when I enable saving chart data as historical, will it save every tick?

Thanks

[NinjaTrader_Jason]

Yes, it will save every tick that we receive from the connected connectivity provider.

[adamus]

Yes! That is a good thing.

Thanks