IB Forex: value is 0 for some Pairs

[zark.be]

Hello

we are trading forex on IB using NT, reverything was going fine since january, but this past weeks we are having many problems.
Most of these are resolved doing a reload-historical-data.

One problem we've noticed recently, is that we are seeing (in the control center, or on a chart) a bid or ask or last of 0,0 but NOT in the IB TWS.

But this seems to affect only a couple of forex pairs.
so far we noticed EURCAD, USDCAD and NZDJPY


NT Version : 6.5.1000.14
IB Version : 900.6 (as recommended)


find attached a screenshot, where one of our strats displays 0,00 as the value of its Entershort, and on the right you can see 0,00 as current value !
I've exported the historical data, and can't find any traces of any 0,00 values (both in a minute export and a TICK export).
Doing a reload-historical-data fixes the problem for past data... but 0,00 still comes back in live data.

[zark.be]

Seems like the ticksize defined in NT wasn't the same as the one in IB, we fixed the ticksize in NT and that made the 0,00 disappear.

basically USDCAD is 0,00005 for every bank IB uses except IDEAL where its 0,0001 .


btw, does anyone know what the POINT VALUE parameter changes for FOREX pairs ?

[NinjaTrader_Jason]

Hello zark.be,

The point value defines how many units (of the currency type that is selected) represent 1 point. The USDCAD is set to a point value of $100,000, which means that 1 point = $100,000.

In addition, I noticed you have an older version installed. Could you please download and install NinjaTrader 6.5.1000.16 on top of your current version at the link below.

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

[zark.be]

The updates release notes :

.15 >fixes IQFeed & ZenFire
.16 > fixes Tradestation ELD file


no point in updating then.



Do we need to update the point value if we change the ticksize ?

[zark.be]

we have noticed other issues with the 0,00 bug ..

1/ NZDJPY has the right ticksize in NT and IB
but the display is wrong, it shows ex: 65,1200 instead of 65,12 (like with other instruments). and any odd value shows 0,00 in NT but not IB

2/ USDNOK + USDSEK
they have the right ticksize, but any odd value shows 0,00 in NT but not IB.

[NinjaTrader_Jason]

Please use the default tick size and point value for forex instruments. Make sure to set 'Quote currencies (FX) in' to HalfPip when you connect to IB. Check if the issue persists.

Are you still referring to the values displayed in the chart as per the orders your strategy submitted? What value is reflected in the Orders-tab for these orders?

[zark.be]

Please use the default tick size and point value for forex instruments.

No ... some of them are wrong. And as mentionned, putting them to the correct value fixes problems for most forex pairs.
We've had issues in the past with orders rejected by IB because your default ticksize was invalid in NT. (can check my post history on the forum, i've had that issue discussed).

Make sure to set 'Quote currencies (FX) in' to HalfPip when you connect to IB. Check if the issue persists.

That has been done since day 1 .

Are you still referring to the values displayed in the chart as per the orders your strategy submitted? What value is reflected in the Orders-tab for these orders?

I'm referring to stream data displayed by NT, whether its in the control center or on a chart, the value displayed for orders on the chart, the value displayed in the orders tab ...
BUT my strategy is never sending a 0,00 order, that's for sure, and in emails i send in the onExecution, the order value is 'normal' .

[NinjaTrader_Jason]

The NZDJPY displays values as expected on my end, see screenshot. It uses the default tick size of 0.005 and a point value of 1000.

I do not see any 0.00 values reported for the other two instruments either. What settings do these instrument use on your end? Does the issue persist if you reset the instruments at Tools-->Options-->Misc-tab?

[zark.be]

Okay what apparently happens is that

NZDJPY's REAL ticksize is 0.01 (see attachement)

in NT it's defined as 0.005 and everything works fine

if we update the instrument to 0.01, then we get that same problem with 0,00


Why do we want ticksize to be 0,01 ? Because our strategies use the round2ticksize method, to avoid having rejected orders from IB, and if ticksize is wrong, then we CAN get rejected orders . (which disconnects the strat and throws everything off )


attachement: screenshot from IB's nzdjpy detail page.
(from IB TWS right click on the NZDJPY line . Contract Info . Details.

[NinjaTrader_Jason]

Because 'Quote currencies (FX) in' is set to HalfPip, the tick size is changed accordingly to 0.005. So the NZDJPY is actually set to 0.01, however it changes to 0.005 because each half pip will be displayed as a separate pip.

[zark.be]

Okay ... little update


So, i did as you suggested, putting the ticksize in the instrument manager to your "default" values.

the displaying is indeed solved .... BUT

Round2TickSize uses the defined ticksize, and right now, minutes ago, we just got an order rejected because IB didn't appreciate the value we sent him.

The value ? 7,64615 since IB WANTS a 0,0001 ticksize, this puts problems

and since NT WANTS 0,00005 ticksize because of this halfpip thing, we have a good display but risk an order rejected !


BTW : why on earth does NT flatten the position if it gets an order rejected ? Can we customize that behavior ? It'd be much better if it threw an exception in the strategy that we could catch, or execute an OnError method or something.





SO ... what should i do ? Right now i'm thinking that the round2ticksize function is totally useless in my case and that i should just write my own and customize it for each symbol ...

What would happen if i didn't put the "HalfPip" setting in NT ?

[NinjaTrader_Jason]

This issue has been fixed in NinjaTrader 7. It is currently still in beta fase, but you can download and install it from the link below.

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

Please be cautious when trading live with NinjaTrader 7, since it is still a beta version.

Unfortunately when a strategy order is rejected, the strategy will be terminated and it will close your position(s). This behavior is not configurable.

I am not sure what would happen when you setup a different setting than HalfPip - this is on own risk.