False Price Spikes Occuring with IB FOREX

[Harry]

Harry,

For your test we need to remove variables. Please remove all custom indicators and just use vanilla charts. We want to try and find a scenario that does not contain any extras to be able to eliminate those as potential causes.

Here are 2 plain vanilla charts with new spikes. New charts added to my default workspace.

STRANGE:

Form the 9 currency pairs that I tested, it was again EURUSD and GBPUSD. Those are exactly the same instruments as this afternoon. I have checked instrument settings, everything correct and identical to the other instruments.

[NinjaTrader_JoshP]

Harry,

Are you willing for us to try your IB connection? What we are going to do is as follows.

1. Connect IB
2. Open a chart of forex instruments to download historical data
3. Close chart, disconnect IB
4. Wait several hours
5. Reconnect IB
6. Reopen the chart and see if there is a spike or not.

[Harry]

Harry,

Are you willing for us to try your IB connection? What we are going to do is as follows.

1. Connect IB
2. Open a chart of forex instruments to download historical data
3. Close chart, disconnect IB
4. Wait several hours
5. Reconnect IB
6. Reopen the chart and see if there is a spike or not.

Generally yes. However my workspace, which is open, has proprietary indicators. So I would first need to design a workspace that produces the same behaviour.

But I am really confused now. Problem only occurs with EURUSD and GBPUSD, no problems with other instruments! Why does it only affect these 2 currency pairs, but not the other ones? This is the third time happening today. If all currency pairs were equally affected by the problem, the probability of this happening is about 1 : 100,000,000.
So it must be related to those instruments.

[Harry]

Speculative

Observation:

All spikes point in the direction of the price that was observed prior to connection.

Conclusion:

The data point causing the spike has been taken from one of the real-time data bars that were observed during the time period when connected to IB without any FOREX chart opened. You can use the charts posted in this thread to find confirmation.

Further Conclusion:

As I have observed that the size of the spike depends on the connection time, the data point is probably taken from the first bar at the moment of connection. This means that, when NinjaTrader connects to IB, one data point of real.time data is collected for each FOREX instrument and stored somewhere. When I open a chart later this data point is retrieved and used to falsify the last bar of the newly opened chart.

[NinjaTrader_JoshP]

Harry,

That conclusion would mean it would effect all instruments equally which you have observed it does not. Any changes to the EURUSD and GBPUSD instruments done in the Instrument Manager?

[Harry]

Harry,

That conclusion would mean it would effect all instruments equally which you have observed it does not. Any changes to the EURUSD and GBPUSD instruments done in the Instrument Manager?

No changes in the instrument manager. All FOREX pairs have identical settings (except for the tick size). I have already observed it on the other FOREX pairs, but the spikes are smaller. This could be related to volume.

[nikole95]

When you say charts running in the background, do you mean in another workspace? So you are saying you already have a chart of the instrument that spiked somewhere else already going?

"-> open a new chart for a FOREX instrument, for which no chart had been open / no historical data loaded during the last hours"

At what time was this "last hours" observed? Perhaps this could be time sensitive as to the exact time the request was made.

Tried to reproduce with an empty workspace. Does not work. It apparently needs some charts running in the background to create this problem. I think it is linked to the synchronizing of real-time and historical data, when opening a chart. Something going wrong there. 1 tick of the first realtime bar is completely off.




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[NinjaTrader_Brett]

Hello,

Since Josh has been working closely with you on this I will leave this for him to respond too. He is off for the day currently I will leave this for him to respond when he is next in the office.

[NinjaTrader_JoshP]

nikole95,

Your post is contradictory to what Harry has been describing which is he has no background charts of the instrument open. Please have a T&S window open to see what events are your live events to verify if the prices are good or bad. Please check your timestamps and ensure your PC clock is in sync as well.

Harry,

Were you able to reproduce without any indicators?