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Is the Tick data wrong? Or is the order flow chart wrong?


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  #1 (permalink)
 zhanglijie8 
ziboshandong/China
 
Experience: Beginner
Platform: NinjaTrader
Trading: Emini ES
Posts: 1 since Sep 2018
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About the order flow of gomi’s, is there any error in the tick data?when I refresh chart,the order folw chart data is
different。I'm not sure if the trouble is coming from plug-ins, data, or ninja8


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  #2 (permalink)
 SpeculatorSeth   is a Vendor
 
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The way these order flow indicators work is by comparing the best bid/ask to the orders coming in to determine if they were buy or sell orders. The level 2 feed and the orders feed are not always completely in sync. Particularly when markets are moving really fast. This can result in a slight discrepancy between what the indicator shows, and what really happened.

This effect is magnified when you're using tick replay. The historical bid/ask don't match up with the historical order timestamps the same as they were when you received them live. When you refresh the chart your live data will get replaced with the historical data, and that's why it appears to change.

In practice these differences are very trivial unless you're trading on second timeframes.


- SpeculatorSeth
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