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**NinjaTrader_Bertrand** · 11-24-2010, 07:11 AM

Hi Gomi, NinjaTrader would not drop any ticks - we display the data we receive from the provider and relay it without processing. Are you sure you're comparing 'apples to apples', i.e. the same range of timestamps (considering NT's end of bar stamping) and events leading to the updates?

Would you mind sharing the code and steps I would need to take a look here on our end for comparison?

And also: which feed are you working on here?

Thanks,

**gomifromparis** · 11-24-2010, 10:50 AM

OMG the "timestamp" again !

Problem with GetNextBeginEnd => timestamp !

Problems with ticks happening at session EndTime - NinjaTrader Support Forum

http://www.ninjatrader.com/support/forum/showthread.php?t=35529

Ask questions here and post bug reports.

Problem with volume on Renko charts => timestamp !

Volume total seems to depend on chart settings - NinjaTrader Support Forum

http://www.ninjatrader.com/support/forum/showthread.php?t=34961

Ask questions here and post bug reports.

And now problem on the Db => timestamp again !

Here's an indicator you can test with :

PHP Code:


        StreamWriter sw;

        protected override void Initialize()
        {
            Overlay                = false;
        }

        protected override void OnStartUp()
        {
            sw=new StreamWriter(@"c:\temp\datatest.txt",false);
        }
        
        protected override void OnBarUpdate()
        {}
        
        protected override void OnMarketData(MarketDataEventArgs e)
        {
            if (e.MarketDataType==MarketDataType.Last)
                sw.WriteLine(e.Time.ToString("yyyyMMdd HHmmss;"+e.Price+";"+e.Volume));
        }
        
        protected override void OnTermination()
        {
            sw.Close();
            sw.Dispose();
        }

This will write the ticks incoming in OnMarketUpdate in c:\temp\datatest.txt
Then do a Ninja export and compare both files.

Here are my results, on an excerpt of 15:30 to 15:35 :
Pic : 1 missing ticks in ninja internal database
Pic 2 : missing ticks in ninja internal database
Pic 3 : timestamp differences
Pic 4 : timestamp differences

So it appears the ticks are all processed, because in real-time there is no problem, but some of them are not stored.

Moreover, on some ticks the timestamp is different than what was recorded in OnMarketData . How can that be, as my esignal client timestamps the ticks, they have a unique timestamp. How can this be tampered ?

Attached Files

**NinjaTrader_Bertrand** · 11-24-2010, 01:05 PM

Gomi, yes as we demonstrated in the other threads this would be an important concept to understand - eSignal data is natively timestamped, correct - if ticks are recorded with sub second resolution they would all be stored in their proper sequence but the timestamps showing in the HDM would be down to second only.

I'll take a look and try running your indicators here for comparison.

Also: reloading data normally produces a different tick formation, so subtle differences are to be expected here.

**gomifromparis** · 11-24-2010, 01:15 PM

Originally posted by NinjaTrader_Bertrand View Post

Gomi, yes as we demonstrated in the other threads this would be an important concept to understand - eSignal data is natively timestamped, correct - if ticks are recorded with sub second resolution they would all be stored in their proper sequence but the timestamps showing in the HDM would be down to second only.
.

OK but why are the timestamps different in NT database and in the file made using OnMarketData ?

**GoldStandard** · 11-24-2010, 01:16 PM

What would be the effect of differences between data displayed in live indicators and ticks recorded NT's database? Would it mainly affect backtesting or would it also affect the way indicators display data? I wonder if replay data (recorded not downloaded) is affected the same way?

**playafh69** · 11-26-2010, 07:07 PM

I would like to know why its dropping ticks as well? I ran his test, compared it with both sierra charts and iRT.... sierra charts and Investor RT match, ninja on the other hand seems to drop ticks like gomi mentioned. Im using his gomvoltest.. and I see what he's talking about... So therefore its definitely reproducible...

Reloading the data seems to correct the problem for the most part. It looks like as you do it in real time, it drops data....

Gomi, could it be that you changed some settings on another chart or indicator? When you do that, ninja hangs for a few seconds as it recalculates the data and reloads the chart. This is a problem that ninja has had for a long time, and has never been fixed. That could be it but I've never verified it.
When i even change the time interval from a 30 min to a 15 min on my chart with a look back period of 30 days, it causes prices to stop updating( even my dom freezes till the chart reloads) for about 2-3 seconds... That would be enough time for a few thousand cars to go off on the ES.

What i mentioned above has nothing to do with how many charts i have loaded, or my computer, since I've tested it on different machines and with only one chart on. I have a very high end 64 bit machine with 8 GB of ram, and a quad core processor. I also have a 25Mbps internet connection. I really don't want to hear you guys blame my internet or computer.

**timmyb** · 11-26-2010, 07:23 PM

Ninja

I am here to say I am one of probably 100 or more users using the Gom indicators. I am also a person who is developing alongside this framework. IMO Gomi has helped ninja 1000% by providing an accurate back fill of bid/ask data. I would assume ninja will get to the bottom of this in a timely manner. Otherwise us coders for this area will be leaving in flocks. I was able to speak with vey helpful people at the traders expo in vegas last week. I hope this will be extended to the support area.

I am sure i can get a tally of over 100 users who will be leaving this platform to wherever gomi goes. just let me know i will get a email list.

Please look into this and let us know what is going on

**palinuro** · 11-26-2010, 09:33 PM

Much as I like the NT framework, I would have left well over a year ago if it weren't for Gomi's work. He has single-handedly made your software a rival to Market Delta, and superior in several respects, without you having to invest any resources whatsoever, and despite the fact that he has had to overcome fundamental design issues. You ought to be paying him, rather than presenting obstacles to his work. I would leave without a second thought if he gives up on the platform.

And how about actually helping this work by disclosing the format of the market replay data so that we can access it directly and don't have to go to absurd lengths to gather missing data?

I would estimate there are far more than 100 serious users; only a small percentage of those I know post on the internet.

**metaltrade** · 11-27-2010, 05:25 AM

It's because of people like Gomi that serious traders stay on Ninjatrader. The lousy programmers at Ninjatrader are the reason that traders go away from ninjatrader.

**gomifromparis** · 11-27-2010, 06:39 AM

Originally posted by playafh69 View Post

Gomi, could it be that you changed some settings on another chart or indicator? When you do that, ninja hangs for a few seconds as it recalculates the data and reloads the chart. This is a problem that ninja has had for a long time, and has never been fixed. That could be it but I've never verified it.
When i even change the time interval from a 30 min to a 15 min on my chart with a look back period of 30 days, it causes prices to stop updating( even my dom freezes till the chart reloads) for about 2-3 seconds... That would be enough time for a few thousand cars to go off on the ES.

I checked that. A lot of dropped ticks come from 15:30-16:00 Paris time, and at that time I'm getting the kids at school. So unless there is a F5-key-striking gremlin at my office, I would say this is not the issue.

**PrTester** · 11-27-2010, 07:14 AM

Originally posted by NinjaTrader_Bertrand View Post

Gomi, yes as we demonstrated in the other threads this would be an important concept to understand - eSignal data is natively timestamped, correct - if ticks are recorded with sub second resolution they would all be stored in their proper sequence but the timestamps showing in the HDM would be down to second only.

I'll take a look and try running your indicators here for comparison.

Also: reloading data normally produces a different tick formation, so subtle differences are to be expected here.

Bertrand,

Is there any "official" statement from NT management/developer on this issue?, do you guys recognize the "problem"?, is there an intention to fix it?, as a multiple paying customer I would like to have an answer to my questions.

I really think is a shame that people without asking nothing in return, help develop your application, make it better, give his work for FREE, increase the list of your client and NT doesn't take them seriously.

**GoldStandard** · 11-27-2010, 01:07 PM

Data integrity ought to be the highest priority for a trading application. How can a trader depend on Ninjatrader if the integrity of the data it uses is in question?

Already we know the recording/storage of bid/ask data has problems (ticks not saved in correct order, only stamped with 1 second resolution) which NT does not seem to place a very high priority on fixing. Thankfully Gomi has provided a data recording framework which fixes those problems, at least for indicators which use his GOM framework.

And now we're hearing that NT might be dropping ticks from the main processing engine? Hopefully the NT team will take this more seriously than they have the bid/ask data issue.

**playafh69** · 11-27-2010, 04:22 PM

I understand the frustration, but lets not point fingers, and call people lousy programmers. It's not gonna solve anything.

Lets just get to the bottom of this.

**zikonc** · 11-27-2010, 04:44 PM

NT support please work with Gomi to resolve tick dropping issues ........ you must know by now that his work is the main reason why you have the current group of subscribers .......

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