IB Issues

[Style]

I've recently moved my accounts to IB. I've connected NT to their data feed, but I'm having a few issues:

A) When I bring up a chart using IB's Trader Workstation (TWS), I get tons of historical data. For example, I get Ford back to 1980. When I bring up Ford, or any other stock or future, in NT, however, I get only from February 2009 forward. Please tell me more historical data is available than this for NT via the data feed! If so, how do I get it? Note that I am subscribed to their "US Securities and Commodities Bundle Non-professional - Level I " data package.

B) I'm having an issue where for some stocks the volume is being divided by 100. For example, the agricultural ETF DBA volume for 12/29/09 using daily bars inside TWS is 1091600. In NT, it's 10916. I'm seeing the same thing with TLT and others. I'm not seeing it across the board, however. For example, the volume for Ford in TWS matches NT. What gives? I spoke with IB support, and they confirmed that the right data for volume was being sent out the api for DBA, and thus concluded that it was a display issue on the NT side.

C) IB support confirmed that all of the market scanner data is available through the api. This includes things like market breadth (Advance decline, Trin, etc), sentiment (put/call ratio), and even fundamentals. Is NT capable of receiving ANY of this data? I would absolutely love to have this data available in NT. If so, please tell me how.

Any help you could give would be greatly appreciated. Thanks in advance!

[NinjaTrader_Bertrand]

Style, welcome to our forums -

1. This is unfortunately expected for access to historical data via the IB API.

2. I'm seeing the same volume values here in TWS 900 and NT 6.5 / 7 - this is just a display difference between TWS charts and NT.

3. You can access those date by adding custom instruments to the Instrument Manager, for many indices and breath data we already defined the needed master symbols (TICK, TRIN, ADD etc).

[Style]

Thanks so much!

I've went through the entire list of default indexes. I was able to get the following stock indexes with my subscription:

COMP - Nasdaq Composite Index
DJIA - Dow Jones Industrial Average
NDX - Nasdaq 100
RUA - Russel 3000
RUI - Russel 1000
RUT - Russel 2000 cash index
SOX - Semiconductor sector
SP500 - S&P 500
XAU - Gold/Silver
XBD - Security Broker Dealer Index

More importantly, I was able to get the following internals:

TICK
TICKQ
TRIN
TRINQ

I was also able to get the following, but only data for today. Is that right?

ADD
VOL

I received the error "Error in requesting historical data from IB: No security definition has been found for the request(200)" for the following internals:

DVOL
UCHG
UVOL
XVOL

How do i resolve that error?

What about some of the other things in the market scanner? Specifically, I'm very interested in Put/Call ratio and some of the market breadth indexes/indicators (New highs, new lows, Mcclellan oscillator, Mcclellan Summation index).

Thanks again.

[NinjaTrader_Bertrand]

Style, I'm getting the same here on our live account - would be best if you clarified with IB what kind data and history they offered via their API for the MarketScanner indices and breath data displayed. If there're symbols used we currently don't have listed, you can just add those as a custom index, but of course the granularity and history is determined by your connection (IB) as NT just acts like a radio receiver displaying the data.

[Style]

NinjaTrader_Dierk: Sorry, I inadvertently edited your post as I wanted to quote it. Please feel free to fill in your original post.

>> Again, IB confirmed that the volume figures going out of the api are

[NinjaTrader_Bertrand]

Hi Style, thanks.

Not sure I follow on the volume, perhaps you could post a screenshot - I'm seeing merely a display difference (scaling) between NT and TWS's charts.

[Style]

Not sure I follow on the volume, perhaps you could post a screenshot - I'm seeing merely a display difference (scaling) between NT and TWS's charts.

How do I get rid of the display difference?

Here's what I'm seeing for DBA, which is clearly displaying the wrong volume:



Here's another example. For TLT, I had historical data from yahoo with the correct data, and then connected to IB, which filled in the chart from 12/14 onward with bad volume data. Here the erroneous data is glaring, since it is shown in the same chart next to good data:




Obviously I could delete the historical yahoo data for tlt, and then use IB data only, so that the disparity on the volume scaling would go away, but I don't see why I should have to do that. I would much rather just have accurate data from IB, rather than having to wipe out the good data in an attempt to make the bad data not look so awful.

Please advise. Thanks!

[NinjaTrader_Bertrand]

Style, please do not mix different data sources when comparing the date. I would suggest you reload both charts on the IB connection and then compare volume values from NT's charts to the TWS ones, then please let me know which differences you see without bringing Yahoo data into the scenario. Thanks in advance.

[Style]

Style, please do not mix different data sources when comparing the date. I would suggest you reload both charts on the IB connection and then compare volume values from NT's charts to the TWS ones, then please let me know which differences you see without bringing Yahoo data into the scenario. Thanks in advance.

OK, well I'd deleted all historical yahoo data from the DBA chart before posting it, so let's just work from that chart, as it contains only IB data. You can clearly see on 12/29/09 the volume is 10916. In TWS charts DBA has 1091600 for the same day.

Please advise.

Thanks.

[NinjaTrader_Bertrand]

Style, was able to reproduce here in connection with another related issue - we're looking into it.

[Style]

Style, was able to reproduce here in connection with another related issue - we're looking into it.

Thanks so much. Let me know how it goes.

[NinjaTrader_Bertrand]

Development confirmed this issue is related to the IB API - we've reported it to them. Thanks for the sharp eye.

[Style]

Any word on this issue?

Thanks.

[NinjaTrader_Bertrand]

Style, this should be fixed with NinjaTrader 7, thanks for reporting in.