Erratic Volume spikes on ES chart

[palinuro]

Since thursday I have been experiencing strange volume spikes on my ES charts. This coincides with the new contract, but I don't see why that would make any difference.

The forming volume bar will suddenly begin to 'stutter' and jerk higher, as if huge numbers of contracts were suddenly being exchanged. But T&S shows no such behavior. I've also started running the IB TWS chart for comparison, and it remains normal. By the end of the bar NT shows around twice as much volume as it should, and the only remedy is a historical redownload.

Since I rely heavily on intrabar volume analysis, this is making trading very difficult, if not dangerous.

I've stopped recording replay and live data, but that makes no difference.

Any suggestions for what could be going on, and what to try next?

Thanks
- palinuro

[NinjaTrader_Jason]

Hello palinuro,

NinjaTrader acts like a radio receiver in that we display data as it is provided. Please tell me what data feed provider you are connected to.

I suggest to contact the provider and check why volume data received in real-time could be displaying such numbers.

In addition, we provide a real-time tick filter. More information can be found at the link below.

http://www.ninjatrader-support.com/HelpGuideV6/Real-timeTickFiltering.html

You can enable it via Tools-->Options-->Data-tab.

[palinuro]

Yes, I understand that - but I'm using IB data, and IB's TWS chart doesn't have this problem.

I've also checked with other NT/IB users, and no one else appears to be having this problem (and no one else has reported it in this forum, either).

Also, if NT's T&S doesn't show the volume being reported on the chart, this seems to indicate something is happening in the charting itself. The 'stuttering' effect I described is unlike anything I've ever seen, and it would certainly be traceable in T&S.

If it's unique to me and my setup with NT, it doesn't seem that contacting IB would be of much use.

I'll try the tick filter and see if that helps, but again, it would seem those ticks should show up in the unfiltered T & S...and this isn't a price problem, only volume.

[NinjaTrader_Jason]

Please ensure NinjaTrader is upgraded to our latest version, 6.5.1000.8. You can download and install the latest version on top of your current version at the link below.

http://www.ninjatrader.com/webnew/download_download.htm

In addition, make sure you have the official supported version of TWS installed, version 887.2.

http://www.ninjatrader.com/webnew/support_interactivebrokers.htm

[palinuro]

Please ensure NinjaTrader is upgraded to our latest version, 6.5.1000.8. You can download and install the latest version on top of your current version at the link below.

http://www.ninjatrader.com/webnew/download_download.htm

In addition, make sure you have the official supported version of TWS installed, version 887.2.
http://www.ninjatrader.com/webnew/su...ivebrokers.htm

I was thinking of reinstalling anyway, so I updated both programs. No
change.

So you can see what I mean, I've attached a picture from a few minutes ago of the TWS live volume, followed by NT's live volume, followed by NT after a historical redownload. As you can see, the difference is not subtle.

[NinjaTrader_Jason]

Hello Palinuro,

Can you please tell me if you compare the VOL indicator or volume bars in NinjaTrader to the volume chart in TWS.

[palinuro]

Jason,
As indicated in that pic, I was comparing the NT volume to TWS, and then the NT volume live to the NT volume after historical redownload.

However, I decided to trial Zenfire yesterday, and it seems to have no problems so far.

My guess is that IB supplies different data to TWS from that available throught the API - do you know if that is correct?

However, it still seems strange that the extra volume doesn't show up in T&S.


Thanks

[NinjaTrader_Jason]

I suggest to contact IB regarding this inquiry. I am not sure if this is the case.

[Harry]

I have reported erratic volume spikes with NinjaTrader for years. This is not a problem of IB, but a Ninjatrader problem. It applies to both NT 6.5. and NT 7.0 and I have cases every week.

[NinjaTrader_Jason]

Hello Harry,

I assume your reports have been troubleshooted on other threads. Can you tell me what threads you corresponded your issue. Also, what was the outcome of troubleshooting the issue?

[Harry]

Referring to this thread. Troubleshooting does not seem to be easy. It is an old problem that occurs with NT 6.5. as well.

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

[NinjaTrader_Jason]

Hello Harry,

I see that Josh reported they are looking into it. Please keep working on that thread regarding your issue.

[Harry]

Hi Jason,

it is a strange bug and definitely not easy to reproduce. But it is vicious, as it hits, when you do not expect it. The volume spike carries wrong information. I use better volume for trading, and this spike does away with my expansion and churn bars and any attempt ot integrate volume spread analysis into my trading approach.

Reloading the chart always solves the problem, but you first have to see that spike and understand that it is not real!