IB: Incorrect realtime volume bars created by NT

[svrz]

NT Version: 7.0.1000.7
TWS Version: 918.9b

For the past two days, I have noticed highly unusual volume bars for the instrument 6E 12-11 on NT created 5 minute charts in which IB is the data provider. When all historical data are reloaded, the problem is resolved. My initial thoughts were that this is a problem with IB. However when I compared the volume data for this instrument between a TWS realtime chart and one created by NT, the TWS realtime chart plots the correct volume at all times. For some reason the NT created volume bars, at times, are highly erroneous and the error is invariably on the high side.

Here are two images to illustrate the problem. This is a TWS created realtime chart:

http://tinypic.com/r/nguis6/5

and here is the equivalent chart created by NT:

http://tinypic.com/r/2z4ei4o/5

The volume bar on 14:20 CST (3rd from the left) on the TWS chart is a volume bar that is below 2500 contracts. However the NT created chart for the same bar (13:20 MST - 2nd fromt he left), shows the volume to be in excess of 5000 contracts. As I stated previously, a historical data refresh corrects this problem. However it appears that somehow NT is incorrectly calculating the realtime volume.

I understand that the most recent NT supported TWS version is 917 and what I have is 918. I was forced to upgrade to this version due to instability issues that I experienced with 917.

I have been using this version for quite a while and I noticed the first occurrence of this problem only yesterday.

Please advise.

Thanks in advance.

[NinjaTrader_AdamP]

svrz,

One thing I noticed is you are looking at an expired contract. Is this intentional?

It is possible to have real-time spiking of volume. Reloading historical data will repopulate in historical data from IB to make it correct again. This is a limitation of TWS API.

Please see the following link for more information.

http://www.ninjatrader.com/support/forum/showthread.php?t=25700&page=6

Please let me know if I may assist further.

[svrz]

Hi Adam

Thanks for the prompt reply. According to IB, the December 6E contract expires on December 19, 2011. Please see:

http://tinypic.com/r/2laejbo/5

Currently, the 6E March contract, compared to December, has much lower trading volume. So most traders have not switched as of yet.

>It is possible to have real-time spiking of volume. Reloading historical data will repopulate in historical >data from IB to make it correct again. This is a limitation of TWS API.Please see the following link for >more information.

>http://www.ninjatrader.com/support/f...t=25700&page=6

Thanks for this but I'm not sure how it is related to this problem. It seems that the poster was experiencing volume spikes during NT initialization. The problem that I'm seeing is relatively new to me which is random and erroneous volume spikes that can occur at any time after the NT initialization phase.

As I stated in my original message, the TWS realtime chart shows the correct volume at all times. I think TWS uses the same technique in reconstructing its volume bars as NT, which is to aggregate all trade sizes obtained from T&S for a desired duration (1 min, 5 min, etc.). The questions are:

1) Is NT somehow receiving bad realtime T&S data?

2) If so, why?

3) Again, if so, why doesn't TWS suffer from the same problem?

4) Adam, you mentioned the TWS API having limitations. Being somewhat familiar with the APIs and receiving all the TWS developer messages from the Yahoo TWS API support group daily. I don't recall reading anything about any major T&S issues or limitations. Can you kindly be more specific?

Thanks again and take care.

[NinjaTrader_AdamP]

svrz,

1) Is NT somehow receiving bad realtime T&S data?

2) If so, why?

3) Again, if so, why doesn't TWS suffer from the same problem?

4) Adam, you mentioned the TWS API having limitations. Being somewhat familiar with the APIs and receiving all the TWS developer messages from the Yahoo TWS API support group daily. I don't recall reading anything about any major T&S issues or limitations. Can you kindly be more specific?

1) We are receiving data IB sends us through their API. The volume spikes are a known issue and we are awaiting development on IB's side to correct the issue.

2) Unfortunately, I can't comment on why its occurring other than to say that development is aware of the issue after extensive testing, and they have concluded its not something we currently have any control over. However, development has communicated this with IB and they are working together on a resolution.

3) Only applications connected through the TWS API have been shown to run into this current limitation.

4) Please see 2), apologies for any inconvenience.

Please let us know if you require any additional assistance.

[svrz]

Greetings Adam

I greatly appreciate you promptly answering my questions in detail.

>1) The volume spikes are a known issue and we are awaiting development on IB's side to correct the >issue.

>2) However, development has communicated this with IB and they are working together on a resolution.

>3) Only applications connected through the TWS API have been shown to run into this current >limitation.

Fair enough and points well taken. I will wait for a final resolution to this issue. Please follow up with IB as many times as possible. Furthermore if there is anything we the IB clients can do, please let us know.

Thanks again and take care.

[Mich62]

NT Version: 7.0.1000.22
TWS Version: 944.3

I am having the exact problem with the volume spikes. Please advice.

Thanks!

[NinjaTrader_Bertrand]

Mich62, welcome to our forums - unfortunately Adam's post #4 comments would still apply to the current situation.

[Harry]

The volume spikes occur when you run NinjaTrader / TWS for a while and then open a new chart with a different instrument. The volume shown is close to the cumulated volume between the time when you had connected NinjaTrader to TWS and the time when you open the new chart.

This is a known bug.


Workarounds:

(1) When you open a new chart - say for ES 09-14 - then you may switch to another instrument (anyone) and then back to ES 09-14. The volume spike should now be gone.

(2) The real-time volume supplied by Interactive Brokers is definitely false. Only when you refresh a (minute) chart, false real-time volume will be replaced with correct historical volume. I would therefore suggest to use Kinetick as a data feed (first connect) when you trade via Interactive Brokers.

[Mich62]

The problem occured the days just before contract expiration (of the FDAXM14 contract on Friday 20th.) Since rollover to the next contract, FDAXU14, I didn't have the problem anymore.

The original post, #1 from svrz, dates from dec 14th, just before expiring the december Euro contract (6E 12-11).

So, I believe it has something to do with contract expiration.

Try to rollover to the next contract month if you receive unexpected volume spikes.

[Harry]

The problem occured the days just before contract expiration (of the FDAXM14 contract on Friday 20th.) Since rollover to the next contract, FDAXU14, I didn't have the problem anymore.

The original post, #1 from svrz, dates from dec 14th, just before expiring the december Euro contract (6E 12-11).

So, I believe it has something to do with contract expiration.

Try to rollover to the next contract month if you receive unexpected volume spikes.

Problem is not related to rollover but may occur any time, when you connect to IB and open a chart a few hours later.