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Currency ?

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    Currency ?

    I was under the assumption that you do not get volume info in FX, but when I hook up to IB's IdealPro it's giving me volume info, the VOL indicator works. But when I show Time and Sales for $EURUSB it looks like every time the Bid changes it records it as a transaction, it's all blue prints. There are no transactions at the Ask. What is going on?

    #2
    Hello Maxlobster,

    NinjaTrader acts like a radio receiver and displays the data it receives. IB provides historical volume data for a value of 1 per minute with forex. You will receive real-time volume data in much higher values.

    If you apply the VOL indicator in a chart and set 'Calculate on bar close' to False, it seems you do not display historical volume data. This is because of the low historical volume data. Real-time volume data is received in quantities of millions, so historical volume bars of 10 are not visible due to the extended price scale. If you scroll back in time, you will see historical volume data. Please see the screenshots that displays volume bars with a value of 10 in a 10 minute chart.

    When forex instruments are assigned to the Default exchange, NinjaTrader will receive the same volume data. This is not related to IdealPro only.
    Attached Files
    JasonNinjaTrader Customer Service

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      #3
      Hi NinjaTrader_Jason,

      I pulled up IB's Time & Sales on EUR.USD and no volume info is coming in. What NT7 is doing is each time the Bid changes it uses the Bid Size as a volume print (but does not use the Ask Size for some reason). Again I do not believe there is transcation info sent for Forex. No Last, Last Size, or Volume is shown in IB's Time & Sales and IB's TWS charts have no lower volume bar and volume is grayed out on the right-click menu. Would you please look into this for me because the volume action doesn't look right on the $EURUSD NT7 chart.
      Last edited by Maxlobster; 12-13-2011, 08:46 PM.

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        #4
        Unfortunately this is as expected behavior with volume data received from IB. Please note that Ninjatrader connects to the IB API which is different from TWS. Volume data is received this way from the IB API.

        I do not see any volume in the NinjaTrader T&S window. Are you saying that volume in the Time and Sales window is increased by one each time the bid price changes?

        Do you not receive historical volume values of 1 per minute in charts?
        JasonNinjaTrader Customer Service

        Comment


          #5
          Just got off the phone with IB trade desk. IB does not send volume data for forex. They explained that forex is a OTC market with no central agency that records transactions. What you do get is Bid/Ask quotes from market makers. The only info that IB API is sending NinjaTrader is Bid, Bid Size. Ask, Ask Size; that's it. The historical volume of 10 on a 10 min chart you are showing is a artifact of NinjaTrader. My charts show nothing for historical volume on NT. The problem is that after I open NinjaTrader it does begin calculating volume from real time data. When I open the Time & Sales for $EURUSD, for example, it should be blank because there is no transaction data being sent, but it shows sales. If you look carefully it just copying the bid/bid size print as a sale (this is technically not a sale but it could be using it as a proxy). Is Ninjatrader trying to create a proxy for volume? Is this a programming bug? What is NinjaTrader doing?

          I meant to say transaction print not volume print on the last post.
          Last edited by Maxlobster; 12-15-2011, 03:00 PM.

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            #6
            You should see historical volume data in your charts as well. Can you please scroll the chart back in time so it does not display any volume data you received in real-time. Do you now see historical volume data?

            Unfortunately I do not see any volume data in the Time and Sales window when connected to IB and I select a forex instrument. What NinjaTrader version do you have installed? You can check this at Control Center-->Help-->About.
            Attached Files
            JasonNinjaTrader Customer Service

            Comment


              #7
              Yes Jason, if I scroll back on a 1min chart of $EURUSD I see 1 on all the 1 minute bars, if I switch to a 10min chart I see 10 on all the 10 minute bars. There is no volume data here; it is an artifact of NinjaTrader probably to prevent divison by zero errors. Think about it, the $EURUSD trades hundreds of millions of dollars a minute.

              You are right there is no volume on Time & Sales, it shows the sale at the bid or ask and the size (I should of never said volume but size, sorry). But that's the problem. Please call the IB trading desk they do not send any sales or transaction info for forex, not to TWS nor the IB API nor to anyone. No sales, no volume. Really, there is no volume info on TWS charts, there is no historical volume info on NT7 charts either (the 1 or 10 bars do not count they're put there by NinjaTrader).

              Now open Time & Sales in TWS for EUR.USD. You will see Bid Size, Bid, Ask, Ask Size but no Last, Last Size. There is no sales/transaction data coming in. That's why you have no volume on the TWS chart for EUR.USD and volume is grayed out. No sales data, no volume. If you pay careful attention NinjaTrader is using the Bid Size, Bid as the Last, Last Size on the Time and Sales sales print and to build the volume bars. There should be no prints on NinjaTraders T&S because there are no sales (no Last, Last Size info). There are no sales so there should be no volume bars. This is the problem.

              Comment


                #8
                I see, thank you for clarifying. Yes, I see the same in the T&S window. Real-time volume data is build by last traded size which is derived from the bid price for forex instruments.

                I assume you like to see an option to disable the traded size data on forex in the Time and Sales window. I will forward this suggestion to Development.
                JasonNinjaTrader Customer Service

                Comment


                  #9
                  Yes that would work. Another solution would be to use both the bid and ask info (bid,bid size, ask, ask size) to create a more accurate proxy for volume on forex pairs, and would make Time & Sales at least somewhat useful. But it any case, NinjaTrader should warn forex traders that it is creating proxy volume for forex pairs and that all indicators that use volume are approximations at best.

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