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Time and sales - IB data

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    Time and sales - IB data

    Noticing time and sales windows are reporting duplicate trades at the same price & quantity of the previous legitimate trade any time the bid or ask size changes, for example:

    2:00:10AM 51.25 5 (this time bid size changed)
    2:00:05AM 51.25 5 (not a trade, just reported since ask size changed)
    2:00:00AM 51.25 5 (actual trade of 5 lots at 51.25)

    I recently updated to Ninja 6.5.1000.9 and TWS 893.4, I don't recall having this problem prior to these updates.

    #2
    Can you please tell me what instrument you had selected in the T&S window. Does the behavior occur with other instruments as well.

    Are you able to reproduce this behavior?

    Could it be the T&S window reported 3 trades, all three with a quantity of 5?
    http://www.ninjatrader-support.com/H...verview19.html
    JasonNinjaTrader Customer Service

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      #3
      These in particular were Globex crude oil (CLK09), I'm 100% certain only the first trade was unique, the other two were generated from either a change in the bid or ask (volume did not change).

      I've been able to reproduce this multiple times, including right now. It's best visible on a lesser traded contract like CLZ09, wait about 10 seconds for the first legitimate trade to hit, then any subsequent bid/ask change will generate bogus duplicate trades without any increase in volume.

      Again this is TWS 893.4 and Ninja 6.5.1000.9

      Originally posted by NinjaTrader_Jason View Post
      Can you please tell me what instrument you had selected in the T&S window. Does the behavior occur with other instruments as well.

      Are you able to reproduce this behavior?

      Could it be the T&S window reported 3 trades, all three with a quantity of 5?
      http://www.ninjatrader-support.com/H...verview19.html

      Comment


        #4
        Did some further testing, I don't appear to have this problem on my laptop with TWS 892.7 and Ninja 6.5.1000.8

        Comment


          #5
          I suggest to use TWS 892 as per the IB connection guide at the link below.
          http://www.ninjatrader.com/webnew/su...ivebrokers.htm

          Currently, TWS version 892 is the supported version with our software.
          JasonNinjaTrader Customer Service

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