Volume not displayed correctly for IB

[NinjaTrader_Ray]

Hi Harry,

We are aware of this issue and unfortunately this is a limitation. The main problem is that the IB volume reporting is not straightforward. We have worked with their API support numerous times on volume related issues and unfortunately, their help is never helpful. There are many moving parts and if we pull on one string, it raises another meaning, trying to shoot some arrows in the dark to try and resolve this has downstream implications. Thus, we are leaving it as is for the time being.

[Harry]

The problem is the following. If you display a 1 min chart, it is obvious that NT displays fake volume and you can reload (I even use a sound alert, lol). However on a 5 min chart, the volume bar looks quite convincing and you do not get the idea that the volume displayed could be false.

I never use 1 min charts, but 5 min charts, and sometimes I forget to reload. This leaves false volume on the chart, and hence my volume indicator, which has a lookback period of 20 bars, will not work correctly for about 1 and a half hours, but display false results.

Not good.

Hi Harry,

We are aware of this issue and unfortunately this is a limitation. The main problem is that the IB volume reporting is not straightforward. We have worked with their API support numerous times on volume related issues and unfortunately, their help is never helpful. There are many moving parts and if we pull on one string, it raises another meaning, trying to shoot some arrows in the dark to try and resolve this has downstream implications. Thus, we are leaving it as is for the time being.

[John.2000]

Related Volume Descrepancy

The problem I've noticed is similar, but different in that the volume is reported LESS during the live update, but once you reload historical data, the volume is reported HIGHER. You'll only notice it if the Volume indicator's "Calculate on Bar Close" is set to False. It occurs not only on IB, but also TD Ameritrade and Gain feeds as well. It occurs on all time frames including daily (Just have a daily chart up with any Volume indicator, and midday, reload historical data, and you'll notice the Volume number jumbs dramatically). I've included a "Before" and "After" examples of a 720 minute forex chart. The "After" image is after I reloaded historical data. (I realize forex instruments only report tick volume, however the same volume descrepancy also occurs on stocks or futures).

It seems that no matter which data feed is used, the volume is always reported differently until you reload the historical data. So it's either a NT issue, or how all data feeds report thru NT. Very puzzling!

[NinjaTrader_JoshP]

John.2000,

What version of NT7 are you on?

[John.2000]

John.2000,

What version of NT7 are you on?

Josh,

The issue is occurring with V6.5.1000.16. I've not looked into it in Version 7 yet since ai have not fully switched over to Version 7.

Thanks,

[NinjaTrader_JoshP]

John.2000,

Volume spikes can happen in 6.5 and one such bug has been addressed in NT7. There are other scenarios that would appear as volume spikes as well that are still currently limitations as Ray has mentioned earlier though.

[Harry]

Today. Just false information.

I do not know whether this is due to false volume information supplied by Interactive Brokers or by the NinjaTrader handles the information.

This is my plan: I will check into this by using a different front end with Interactive Brokers. If the issue persists with other software, it is not related to NinjaTrader and I will dump my datafeed.

If it is not data feed related I will keep the other software and use it.

I am not going to accept it the way it is.

[Harry]

Test Results

I have made a quick test with TWS, NinjaTrader and Amibroker. I let all three programs run in parallel. Result: NinjaTrader and Amibroker, both connected to the API, show the real-time same volume, while TWS charts display a different volume. See charts below.

This points to a problem with the TWS API.

After reloading the chart (substituting real-time data with historical data) NinjaTrader and Amibroker display an identical volume as TWS (not shown below).

Again the question is here: Why shows TWS identical eral-time and historical volume, where NinjaTrader (and Amirbroker) have a significant difference?

[NinjaTrader_JoshP]

Harry,

This is the case because the TWS API is unfortunately not equivalent to TWS. This is unfortunately out of NT's control.

[Harry]

Harry,

This is the case because the TWS API is unfortunately not equivalent to TWS. This is unfortunately out of NT's control.

Thank you for answering.

This problem is one the side of Interactive Brokers as the test has shown.