NT7 Daily Bar Settlement Price Problem with Interactive Brokers Data Feed

[Vispilio]

Hi,

I'm using Interactive Brokers data feed and executing our NT7 strategies (running on daily charts) on the Trader Workstation.

I'm noticing that when I leave the strategies running overnight, the closing price of the last closed daily bar becomes the last traded price at session close, as opposed to the settlement price as printed by the exchange.

This Settlement Price updates on IB at different times (they even said that there is no definite time when the settlement price for the last day gets published on the IB database, but maybe their support was clueless because it would be a serious negligence on their part) but doesn't register on our NT7 daily charts unless I do a "reload historical data" at the end of every day...

How can we make sure that we are getting the correct settlement price for our last closed day without having to reload historical data for every product every day ?

Best,
Vispilio

[NinjaTrader_DrewO]

Hello,

Thanks for your note.

Does the platform stay connected throughout the entire night?

What session template is in use for the strategy/chart? In the strategies tab, you can right-click a strategy and select "Edit Strategy" to view it's parameters. If applied to a chart, you can right-click within the chart and select "Data Series" to view the chart's session template.

[Vispilio]

Hi Drew,

I'm using custom session templates, would this have an effect on us not acquiring the correct daily settlement price ? I was previously informed that the daily chart would always get the correct closing price regardless of the session template ?..

And yes the strategies and platform stay connected overnight. I just got a response from IB about this, let me know what you make of it. We are just trying to make sure that we get the daily settlement price published as the close price, and not the last traded price of the session:

"" Thank you for contacting Interactive Brokers.

Please note IB host our own historical data and by definition for the data we provide, we do not offer settlement price with our charting data. We only provide the last trade that occurred during the time period of the bar (This is identical to the charts we provide within our own Trader Workstation Platform).

As an alternative for Level I market data request IB does offer the official settlement price, it would be advised to contact Ninja Trader and inquire if there is a way to use the close price from IB's level I data. ""

[NinjaTrader_RyanM]

Hello Vispilio,
Can you please clarify the times of your custom session template including your current time zone?
This may cause NinjaTrader to report a different close due to daily bars having a definitive closing time on the bars.

[Vispilio]

Hi, for example for Gold I"m using 6pm to 5pm NY time,

and for Euro Bund (FGBL) I'm using 8am to 10pm CET.

Would these cause a problem, Interactive Brokers just confirmed that we need to restart TWS after their server reset every day to get the correct settlement prices from their servers, or alternatively reload historical data on NT7... I'm just wondering is there a way to automatically achieve this, as it's not really automated trading if I have to reload data for 50+ products every day ?


Best,
Vispilio

[NinjaTrader_PatrickH]

Hello Vispilio,

Thank you for your response.

It is possible to reload the historical data in NinjaScript. However, the function to reload the historical data should not be called in any of the OnStateChange() states nor in a method that works with market data. The method to reload the historical data was designed to do so on a connection status update.
ReloadAllHistoricalData(): http://ninjatrader.com/support/helpG...oricaldata.htm

Please let me know if you have any questions.

[Vispilio]

Hi Patrick,

that is the whole problem. IB is telling us that we cannot get accurate settlement prices from their servers unless we restart TWS or reload all historical data every day after their servers update.

This messes up with the continuation of my strategies; I need the strategies running uninterrupted for the whole week...

That's why I'm looking for a way to get the accurate daily settlement prices from Interactive Brokers without doing what they are recommending, so let me know if we can find a way to achieve this...


Best,
Vispilio

[NinjaTrader_PatrickH]

Hello Vispilio,

Thank you for your response.

There would not be a means around this without reloading data (or re-connecting which also reloads the data).

Please let me know if you have any questions.