Volume wrong when rollover E-mini

[frankduc]

I reported this last contract and i will report it again even if nobody seems to care.

Volume for today is 1 716 000 contracts for ES06 but when you use historical data manager edit 06-11 last, minute june - export to excel in the grid (mouse right button).
You add up volume from 2011-06-08 16:15 to now 2011-06-09 16:15 the sum gives 1 287 688 contracts.

The problem will last all the period between the rollover till the end of the actual contract.
From june the 9th till june 7th they will be a deficit in the number of total contracts for both contracts (june and september).

Tomorrow the volume of the september contract will surpass the june contract but on ninjatrader the volume that will be display after sum will be inferior to the volume shown by IB and CME.

Frank
thank you
ps: please take this seriously and solve the problem

[NinjaTrader_Kyle]

Hi Frank,

So I can get up to speed with what analysis has already been done on this case, please provide me with a link to the other forum thread or the number of the other email you're referring to.

[frankduc]

http://www.ninjatrader.com/support/forum/showthread.php?t=39404

post 4090

[NinjaTrader_Kyle]

Hi Frank,

Thanks for providing that link.

1.) Did you contact IB support on this issue? If so, what did they report?

2.) Is it still the case that NT volume matches the IB chart?

[frankduc]

Why contact IB this is a NT issue.

If you just do what i said in my post at 1:33 pm you will see that the volume of the ES06 is 1 716 000 contracts for IB in the TWS and same number from CME and NT gives 1 287 688 contracts.

Whats so complicated in that?

NT lost 500 000 contracts somewhere. You sum the contracts in the time and sales using historical data manager edit 06-11 last, minute june - export to excel in the grid (mouse right button).

[frankduc]

Im sorry i just checked something with TWS IB and i think i know what you mean now.

When i go to the time and sales in TWS and i ask in show data outside of regular trading hours it gives me that 1 287M cumulative.

But when i check in the trading page the volume was giving me 1 716 000 contracts than after the close at 4:15 a bit more than 2 M.

Maybe its not NT after all. Ah man how do i solve that?

And why does it happen only between rollover period and the end of the contract?

If i click on the little clock it gives me 973K which is about the missing volume.

But Nt seems to gather or receive only the 1287 part.

Any idea?

[NinjaTrader_Kyle]

Hi Frank,

Do you know what difference there is between what volume figure is shown in the T&S window and the figure shown in the trading page? I'm not 100% familiar with TWS, but is there something similar to session templates being used?

[frankduc]

I'm not sure i understand your question.

But if i take the volume in NT from 16:15 yesterday till 10:13 this morning i get 402k (see file attach below NT grid 2011-06-10 end of the page)

But actually TWS trading page give me 460k theres a difference of 58k and it will get larger at the end of the day. Something near 500K.

Cant reach IB for now and the tech support send me to API support. So it looks like they want to play go fetch with me.

Quite bizarre the time and sale of TWS tells me the same number in the TS then in the the trading page but when you sum the result is something else and it happens only between rollover time and end of contract date 3rd friday of the month exp.

[NinjaTrader_Kyle]

Hi Frank,

In the Options menu's data tab, (Tools > Options > Data Tab) what is your merge policy setting?

[frankduc]

mergenonbackajusted

i checked save chart data as historical

[NinjaTrader_Kyle]

Hi Frank,

Could you please switch the merge policy to 'DoNotMerge', then reload your charts?

Does this cause the volume to match?

[frankduc]

Good morning,

I thought about that and tried that trick last week but no it doesnt change anything.

Worse sometimes the chart goes all wrong when i switch to an other setting. You lose data, chart miss half of the data. The mergenonbackajusted is the only way things seems ok for the chart visually but its not solving the missing volume issue. Cant say if its IB or NT the problem. Cant you reproduce the problem? I suspect your not using TWS but maybe i thought you guys had a connection somehow since the software was built to work with TWS.

Frank

[NinjaTrader_Kyle]

Hi Frank,

Explain to me again how you're reaching the volume figure you've come up with. Are you adding this manually, or are you using a plain figure which is provided by the TWS software. NinjaTrader will list only what is sent to it, so you'll likely want to refer to the the whole value rather than a value you arrive at independently.

[frankduc]

Check firt post:

"Volume for today is 1 716 000 contracts for ES06 but when you use historical data manager edit 06-11 last, minute june - export to excel in the grid (mouse right button).
You add up volume from 2011-06-08 16:15 to now 2011-06-09 16:15 the sum gives 1 287 688 contracts.

The problem will last all the period between the rollover till the end of the actual contract.
From june the 9th till june 7th they will be a deficit in the number of total contracts for both contracts (june and september)."

I take the volume from NT in hist manager. Now is it possible that TWS send the right data but NT dont display it right?

I know my english is not perfect cause its not my speaking language but it seems clear to me. You take the volume in hist manager from 16:15 to 16:15 open it on a excel spreadsheet and sum the total. The total dont match the official number! Thats it.

[NinjaTrader_Kyle]

Hi Frank,

Does the IB/TWS time and sales window display a volume total? If so, what number is shown there?