Volume chart error fro mini russell

[ubp22]

Hi,
I am using ninjatrader 7 and I am noticing major problems in the volume charts of the mini russell (ICE). What is occuring is a straight line across the chart at various times, so basically a gap across with a line drawn horizontally. I've never seen this before. I tried reloading data, and it is still showing. in current time, the gap across makes the chart look all spaced apart, with this horizontal line.

I am also using GOM indicator for cumulative delta, and it shows massive spikes in ask/bid deIta when these gaps occur, and also at other times. I looked at tick charts, and they look fine, but still have delta spikes. on volume chartts, they are evreywhere. I am using IQfeed , and they told me there were no data issues with the russell, and that volume was clean and normal.

for example, At 2:49 CST, there was a major line across , with a GOM CD spike showing, not normal at all. When i reload the chart, and strip off the indicators, it still is there.

I am completely confused as to what is going on, but if its not a data issue, then what is it?

I am not having any issues with\ the YM.

[ubp22]

view of chart



I have attached what im referring to as this is occurring a lot. Very confused as to why it occurs with the GOM cumulative delta spike, but there is no way a 700 contract spike occurred in the TF at this time as shown in my delta indicator. Also, iqfeed shows nothing like this in there data.

[NinjaTrader_Kyle]

ubp22,

Thank you for your note.

1.) Which build of NT 7 are you using? (Help > About)

2.) Which session template is used in the chart?

[ubp22]

session template 24/7

NT 7.0.0.18

Also, no issues with ES or YM. Gom indicator is completely messed up as spikes are showing all over the TF at these gaps. Youll notice other small gaps at 14.05, 14:12 . On my other charts, these show up at differing volume charts, with indicators or not.

i thought it was a volume data feed error due to the GOM indicator spikes at the bid/ask, but iqfeed says no such problems. it makes this instrument untradeable.

EDIT, i have added GOM to show what im referring to. please note this is a stripped down chart from my normal, but the it is the same result that shows.

[NinjaTrader_Kyle]

ubp22,

Please upgrade to the current release via the following link, then reload your data: http://www.ninjatrader.com/webnew/download_download.htm

[ubp22]

Implied volume the cause

The following was an explanation from iqfeed. This is occuring in the Russell. Investor RT and other trading software does not register this. Can ninjtrader do the same, as delta studies are severely effected by this. I'm not sure how these trades are not recorded, but there are no actual prints in time and sales for them, and the jump in volume is the implied trades, which spikes volume analysis.
Please advise.


available in an existing futures market. Implied IN spread orders derive from existing outright orders in individual legs. Implied OUT outright orders are derived from a combination of an existing spread order and an existing outright order in one of the individual underlying legs. Implied functionality fills in “holes” in the market. In other words, it allows both spreads and outright futures traders to participate in a specific contract where there would otherwise have been little or no available bids and asks. Such implied quotes are critical to building volume in new electronic markets like the NYMEX energy contracts. This is particularly true with lightly-traded and longer-dated futures and spreads. In mature markets like CME Eurodollars, implied functionality adds an estimated 16.1% to trades and 11.5% to volume at a given point in time. An impressive 44.6% of NYMEX energy trades on CME Globex are achieved via implied trading. So, implied functionality also provides a great deal of liquidity and depth to mature markets.

[NinjaTrader_Kyle]

ubp22,

Unfortunately, I don't follow your last reply.

After upgrading to the current version, are you still seeing the same data issue. Note that NinjaTrader displays only what data it received from the connected data provider - there is no modification to the data set.

[ubp22]

Updating the version has no effect.

Explanation is,

The exchange (ICE) had additional volume called implied volume which adds to the total volume. However, this does not record in the printed time and sales. I have an excel file which shows total volume spiking up , and not spiking up in actual time and sales. As a result, GOM, and volume analysis is incorrect because of these incorrect spikes, and delta is calculated on actual trades of the bid and ask.

Is there a way to filter this implied volume, as the data is not actual time and sales, and simply implied. I'm not sure how this data is calculated and how it ends up in total volume from the exchange to the data feed.

i believe investor rt and tradestation somehow filter theses trades out, which would then leave actual trades, not this additional implied trades.

[gomifromparis]

There is no way a 700 contract spike occurred in the TF at this time as shown in my delta indicator.

Well this is actually why there is a long horizontal line : the 700 contracts tick is split on 14 consecutive 50 volume bars.
When you reload the chart from IQfeed, this tick and removed and your chart look normal again.

[ubp22]

Problem is real time trading is effected by these gaps, and GOM is not correct because of these spikes in real time. this 700 spike in volume is implied volume, not actual trades, which makes the real time view a mess.

[ubp22]

Gomi led me to the right solution in another thread.