Forum Request/Poll: Erroneous AAPL Volume Data from IB?

[fosch]

Ninja users and Ninja moderators,

I've stated a dialogue with Christopher on this topic, but I wanted to post this to the forum to see if anyone that is using Interactive Brokers (IB) as their broker is having the same issues with the real-time volume that is being supplied for AAPL.

If you use IB, could you please bring up a chart of AAPL and see if you are getting correct real-time volume data? If yes, or no, please post your result. If you have ever experienced this issue with any other stocks, please mention that as well. I'm wondering if this is an isoloated issue with my machine or if it's an IB/NT issue? Thanks!

[Note: After you load AAPL into a chart, you will need to let let an entire bar form from start to finish (1-min works best) to see the discrepancy asgainst the historical volume.]

Here is the problem that I am experiencing:

When I bring up a minute chart (5-min, 1-min, does not matter), all the historical volume data appears correctly. However, the incoming volume data is both "incorrect" and "exceptionally large". (see my attachment for an example). When I right-click the chart and select "Reload All Historical Data", all the historical data is corrected and now appears correctly. However, the incoming real-time data continues to flow in exagerated?

Help.

fosch

[fosch]

Additional pieces of information on this issue... I was able to recreate the issue on two separate computers using both NT v6.5 and v7. Perhaps an IB problem with their data for AAPL?

1st Computer:
NT v7 64-bit
Windows 7 64-bit

2nd Computer:
NT v7 32-bit and NT v6.5
Windows Visa 32-bit

[fosch]

Update

Something new... and maybe related.

I was comparing intra-day volume between my IB TWS charts, ThinkorSwim charts, and NinjaTrader charts (using IB data feed), and I noticed the following:

1) When running in real-time with the three 1-minute charts side-by-side, the NinjaTrader chart volume appears different from that of both IB and TOS. IB and TOS were identical. (please see attached JPG)

2) Also, I noticed that when I right click on the NinjaTrader chart and select "Reload all historical data", the NinjaTrader 1-min chart updates and then resembles both the IB and TOS charts exactly.

I also took a look at the tick data (both before and after I reloaded historical data), and it appears that the historical minute data was updated, while the tick data was not.

So, it appears to me that there is some issue with receiving real-time tick data from IB, as the historical data is working fine. I had 10 charts pulling in intra-day tick data today, and when I ran this test on each of them, they all exhibited the same behavior; namely, incorrect 1-minute volume bars (and small discrepancies in price) based on the tick data, but clean minute charts off of the historical update.

fosch

[NinjaTrader_ChristopherJ]

Unfortunately IB does not provide historical Tick data so the data that you see within your Tick based chart is data that is stored on your PC as apposed to being pulled from the IB historical data servers.

I have provided a link below to the data providers supported by NinjaTrader. This page will go over the types of data they offer as well as the asset classes they support.

http://www.ninjatrader-support.com/HelpGuideV6/HistoricalData.html

[fosch]

Well that makes sense as to why reloading historical data will not update the tick data then. Thanks for the clarification.

Does IB provide time stamps with their data feed?

[NinjaTrader_ChristopherJ]

IB Data is locally timestamped based off of your Local PC clock. I have provided a link below that goes over what data providers time stamp Natively or Locally.

http://www.ninjatrader.com/support/helpGuides/nt7/historical_data.htm

[fosch]

Thanks Chris-

I sent you an e-mail update just a few minutes ago to let you know that the erroneous huge volume is not occurring for AAPL or FAS today.

Did your programmers change anything? Any news on their front?

p.s. Would you prefer me to send e-mails or post to the forum?

[NinjaTrader_ChristopherJ]

Nothing has been changed on our end at this time. We can communicate via email if that is ok.