NT producing bad volume data for HKFE

[Tremblinghandtrader]

Hi

I'm having an annoying problem with NT producing very large data on Hong Kong Futures exchange for ticks that are only a few contracts. As you can see from the charts every 5 - 15 minutes Nt is showing individual trades of thousand of contracts when in fact there was only a hand full, mostly 1, contract traded.

I'm using NT 7.0.1.6
TWS 917.8 for data and trading.

When you compare the T & S of NT and IB you can see that IB is not showing the huge single tick trades but NTs T&S is. Same with the charts, nothing on IBs only NTs. As per the pics.

When you reload the charts the bad ticks go away?

I know that I'm not the only one with the same IB & NT configuration with the same problem.

[NinjaTrader_Matthew]

Hello Tremblinghandtrader,

Thank you for your post and reporting this issue.

We have seen reports of similar issues in the past. It is possible to have real-time spiking of volume when using IB/TWS.

Reloading historical data will repopulate in historical data from IB to make it correct again. This is a limitation of TWS API and there is no resolution from NinjaTrader's end.

Please let me know if you have additional questions.

[Tremblinghandtrader]

This is a limitation of TWS API and there is no resolution from NinjaTrader's end.

So....... you are saying that its the TWS. Why does it not happen when I use Multi charts or Sierra Charts connected to tws?

or,

Why does it just happen in one market but never with the 7 other exchanges I have charts for?

And why have I only just seen this in NT 7 but not for the previous 4 years ever???? But it now happens every 5 minutes?

[NinjaTrader_Jason]

Hello Tremblinghandtrader,

Unfortunately, I am not sure why the volume spikes do not occur in MultiCharts or SierraCharts nor why it occurred in 1 market so far.

Do you still experience the volume spike every 5 minutes today?

I suggest to contact IB support as well and verify why the TWS API keeps sending such volume data in real-time to NinjaTrader.

[Tremblinghandtrader]

Do you still experience the volume spike every 5 minutes today?

Yes this has been going on for months. On HKFE only. I know of others that are having the same problem with the same exchange since nt 7.

I suggest to contact IB support as well and verify why the TWS API keeps sending such volume data in real-time to NinjaTrader.

I have will report back.

But Its independent of what TWS is doing. As it doesn't show up in other API connected software nor within TWS T&S or charts.

What I forgot to mention is that the large Data values are the same as all the data back to the last occurrence of incorrect data. See attached pic. Somewhere the volume is being stored and spewed out in one tick??

[NinjaTrader_Jason]

Please note that TWS receives data a different way than NinjaTrader - NinjaTrader receives data via the API and TWS does not. So it is not a good way to compare. I am not sure why the other applications that connect to the IB API do not experience such volume spikes.

[Avion]

Hi, i have the exact same problem. I am using 6.5 version and same happens. And to top it off i've discovered that the price charts are not the same as IB charts but when you reload they become same. This is all for HK exchange trading HSI futures. Have not tested for the other exchanges. I will try and post some charts comparisons. This is a serious problem!!