Volume bar weirdness

[coolmoss]

Hello,

I have found quite an oddity. It appears as though the volume bar charts I have been observing are building too many bars. Way too many. For example, I compared a 49volume bar chart built in Multicharts with Ninja, and for the same time period in question, Ninja built almost 3 times as many bars.

I did not just assume Ninja was wrong and MC was right, even though longtime users told me that was the case. I looked at the time and sales for a couple periods. It is absolutely clear that Ninja bars are being built with odd numbers like 21 and 35 and 17 contracts, all when they should be being built for the 49 I have the chart set for.

I would love to get this cleared up to migrate to Ninja, but this appears a major problem. Thanks in advance for your help.

[NinjaTrader_JoshP]

Which data feed? Which version of NinjaTrader? Could you please provide a screenshot? Thanks.

[coolmoss]

Which data feed? Which version of NinjaTrader? Could you please provide a screenshot? Thanks.

Getting a bit late here, so I'll post some shots tomorrow. I have continued looking at this and continue to find what I reported. I'm using Ninja 6.5 side by side with Multi-Charts 2.1, both using Esignal data.

Let's say I'm looking at 9:40:13 to 9:44:27 in MC, I get 3 bars. For the same time period and price range in Ninja, I have 6 bars. If I open T&S for the same period, I will get the exact number of trades for 3 bars. Ninja is way, way, way off.

I also opened a Ninja chart with 1 contract per bar, and it shows more bars than contracts traded at a given price level at a given time range.

[NinjaTrader_JoshP]

Thanks. We will look into it. Can you inform us of the exact instrument you are charting, time period, volume settings (49 I presume?), and anything else that can help us reproduce?

[NinjaTrader_Ray]

Please post screen shots with the Volume indicator applied on the chart, thanks.

[NinjaTrader_Ray]

Let me clarify -

Checking a time period of time and sales to see how many bars are built within that time period is not a valid test. Its actually inaccurate since constant volume bars are not based on time. Its also important to understand how NT builds volume bars.

If you see 1 tick come into Time and Sales for 150 volume --> NT will plot 3 bars at 49 bars each (using your example) with a left over of 3 that will be used in the next bar. So if the next incoming tick had a volume of 50, we would add that to the 3 (53), create another bar and now we have a left over of 4 etc....Therefore, using a fixed time range in not accurate.

What you want to do is apply a volume indicator on the chart to see if each bar truly has a volume of 49.

Attached is a chart from eSignal feed.

[coolmoss]

Ray,

I understand what you are saying, and how you say volume bars are built is how I would expect. But, one can look at a group of volume bars, multiply by 49 (or whatever) and compare that number to the number of contracts T&S shows over the given time period of those bars. Granted, it won't be perfect, but it should be close. I did this exercise with MC and Ninja. In each case, MC very closely matched T&S, Ninja was off by almost double or more.

See my screen shots below. Note the arrows. They are showing relative price low and high for the exact same period. 18 bars for MC, 47 bars for Ninja.

Please understand, I'm not trying to attack you guys, I would love to use Ninja. I have checked with an Ensign user and they get 18 bars for this period also. I would be happy to chat on telephone with you if that would help, or let me know what else you need here. Thank you very much for helping to sort this out.

[coolmoss]

and in Ninja...

[NinjaTrader_Ray]

Is this 6.5?

If yes, please do me a favor, on the YM chart, right click and select "Reload Historical Data". Do you get the same chart or are the bars reduced by 1/2 ?

[coolmoss]

More strangeness....hope this info helps.

I setup my 49vol chart side by side with a 1vol chart, cursor on global tracking.

On the 1vol chart, in some places (but not everywhere) if I move the cursor over just a single (1) bar, the cursor moves 5 bars on the 49vol chart.

All of this research has been on YM#F. Later today I will compare other volume bar lengths and other markets.

[coolmoss]

Is this 6.5?

If yes, please do me a favor, on the YM chart, right click and select "Reload Historical Data". Do you get the same chart or are the bars reduced by 1/2 ?

Ray, you're on to something. When I reloaded, the bars appear at first glance to be correct. I will examine them more carefully to be sure, but it sure looks right to me.

OH, yeah, I'm on 6.5.0.4


btw- for any lookers on.... I believe that Ninja support is simply the most responsiive out there. THat is why I want to dump MC. I pay for MC charting and get no real support. Ninja is free charting and I think better.... go figure.

[NinjaTrader_Ray]

Great...

Here is what I would want you to do -

- Upgrade to 6.5.0.8 beta (we are 4 revisions ahead of where you are at)
- Assuming the reload plots the aproximate number of bars you expect --> That would point to a real-time issue
- Check on Monday to see if the perceived problem still exists
- If yes, let me know and I will run some tests here

Also, the skipping of bars with Global Cross Hair is expected. This is because with Volume bars you can have many bars with the identical time stamp. When moving on a 1 volume bar, the crosshair on the 49 volume bar will always go to the first bar of the same time stamp.

[coolmoss]

Great...

Here is what I would want you to do -

- Upgrade to 6.5.0.8 beta (we are 4 revisions ahead of where you are at)
- Assuming the reload plots the aproximate number of bars you expect --> That would point to a real-time issue
- Check on Monday to see if the perceived problem still exists
- If yes, let me know and I will run some tests here

Also, the skipping of bars with Global Cross Hair is expected. This is because with Volume bars you can have many bars with the identical time stamp. When moving on a 1 volume bar, the crosshair on the 49 volume bar will always go to the first bar of the same time stamp.

Will do, thanks very much for your assistance.