wrong Real time data from API

[levikNT]

Hi,

I am using the IB API for real time data.
unfortunately, in real time the data that ninja display in chart is different from the IB chart.

The basic data like O,H,L,C and especially the volume are not the same!!!

I would like to solve this problem its effect my trading decision.

Sincerely,
Kobi

[NinjaTrader_JC]

Hello Kobi,

This is a limitation of the IB API when getting real-time data which has been identified. You may read more about this at the following forum thread.

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

As for the real-time price, the IB API sends information in a snap shot data so it is not a tick by tick data like you get inside of an IB Chart so there would be some slight differences in comparing a chart.

To get around these limitations you may use another Market Data Provider like Kinetick for all of your Instrument Data and then route all of your orders to IB.

You may view prices for Kinetick at http://www.kinetick.com/

So if you connect to a Data Provider like Kinetick first and then IB all of the Real-time and Historical Data will come from Kinetick instead of IB but you will still be able to place orders to IB.

http://www.ninjatrader.com/support/helpGuides/nt7/multiple_connections.htm

Happy to be of further assistance.

[levikNT]

Hello Kobi,

This is a limitation of the IB API when getting real-time data which has been identified. You may read more about this at the following forum thread.

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

As for the real-time price, the IB API sends information in a snap shot data so it is not a tick by tick data like you get inside of an IB Chart so there would be some slight differences in comparing a chart.

To get around these limitations you may use another Market Data Provider like Kinetick for all of your Instrument Data and then route all of your orders to IB.

You may view prices for Kinetick at http://www.kinetick.com/

So if you connect to a Data Provider like Kinetick first and then IB all of the Real-time and Historical Data will come from Kinetick instead of IB but you will still be able to place orders to IB.

http://www.ninjatrader.com/support/helpGuides/nt7/multiple_connections.htm

Happy to be of further assistance.

Hi,

You didn't answer why NT chart display false volume.
In volume it is not a slight difference, I am getting Fake or false volume in real time of 5 min bar. i assumed that in 1 min bar is worse.
according to your answer I expect that the volume should be updated in the next snapshot like the last price is updating, especially in the end of the bar (5 min), in the end the Volume should be the same as in IB chart.

Sincerely, kobi

[NinjaTrader_JC]

Hello Kobi,

The Price I would expect to be very similar, but the Volume I would not expect to be similar unless your reload the chart using Historical Data (right click -> Reload All Historical Data).

From the link to our Support Forum above:

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

The first post on that page (Post #76), the main problem stems from the IB Volume reporting is not straightforward thus making it difficult to resolve. Not having the volume being reported in a straight forward way can lead it to be a very significant different in Volume all the while the Price data will stay very close.

Happy to be of further assistance.

[levikNT]

Hello JC.

1. What you mean by "the IB Volume reporting is not straightforward" ?it is just a number like O,H,L,C?
2. These post is since 2010, Is it IB API code problem? if so they have the source code of there API in there site.
3. Since the IB API source exsist , I assumed that you would like to log the input of the real time data received from IB to see if there is a problem with reported IB data .
4. I don't understand why there is no problem with historical reported volume but in real time there is a problem.
It doesn't make sense to reload historical data in order to see real time data,? what will happen if I will trade using strategy based on false volume?

sincerely, Kobi

[NinjaTrader_JC]

Hello Kobi,

No, this is only to effect Volume data, the Price like Open, High, Low, Close is not going to be affected. While, I do not know the specifics, the volume data being reporting in real-time can vary that is causing the issue. Our Development team has tried to work with the IB API team on this but to no avail. This is something that we are looking into our next major release of NinjaTrader but most likely will remain in NinjaTrader 7.

If you are using a Volume based strategy you may want to connect to a different data provider for real-time data to ensure Volume data is going to be as expected.

Let me know if you have any further questions.

[levikNT]

Hi JC,

I purchased NT life time license because NT said that it support IB API.

now I see that there is a major problem getting basic real time data like O,C,L,H and valid volume. this problem is since 2010 and I don't understand why NT didn't solved this basic issue till now!!!

Sorry, but I don't understand I read the IB API manual and they even support several tick type request like tickPrice().

they even support RTVolume() which is one of the generic tick tags that can be requested as part of a market data request. RTVolume returns the following:

Last trade price
Last trade size
Last trade time
Total volume
VWAP
Single trade flag - True indicates the trade was filled by a single market maker; False indicates multiple market-makers helped fill the trade
RTVolume is the API equivalent to opening the Time and Sales Window in Trader Workstation and viewing the updates in real time. To implement this, you must include 233 in the genericTicklist parameter in your market data request.

You will receive the RTVolume update through the tickString() event within field value 48.

Example

Here is an example of the RTVolume formatting for AAPL:

RTVolume=701.28;1;1348075471534;67854;701.46918464 ;true
RTVolume=701.26;3;1348075476533;67857;701.46917554 ;false
RTVolume=701.27;3;1348075482034;67860;701.46916674 ;true


https://www.interactivebrokers.com/e...re/api/api.htm

1. are there other problems in IB API?
2. According your Answer it is going to be fixed in NT 8? if so I understand that the problem is in NT side.

when NT 8 will be released?

Sincerely, Kobi

[NinjaTrader_JC]

Hello Kobi,

1. Each broker connection comes with their pros and cons but the main ones for IB are going to be 24hr maintenance shutdown using the TWS application if you are not aware of this, No Historical Tick data, and the one that I mentioned about the volume.

2. This is going to be a limitation of the IB API, we are trying to see if we can handle this on our side manually but with all of the legacy items if we try fix this we can break other items. Since NT8 is going to be a fresh build then we can try to handle this in the start.

Unfortunately, we do not have a release date yet for NT8 but our development team is hard at work for this. We will announce a release date on our website when we have one.

Let me know if we can be of any further assistance.