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IB T&S tape data info

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    IB T&S tape data info

    First, apologies if this is not the correct area to post this question.

    I use Interactive Brokers and was looking Time & Sales and am trying to understand where that data is coming from. I'm aware there are issues with IB and its a mess but I would like to know how NT constructs the T&S.

    IB can send tick data using tickPrice or RTVolume, so the question is. Does NT use RTVolume only and the tick data I see is the output of that data request. Or does NT make both requests for TickPrice and RTVolume and then try to remove duplicates or try to do the best it can with junk

    Any expert comments would be very helpful.

    Thanks

    #2
    Hello alphatalk,

    I am not sure what RTVolume is.

    However, as ticks are received the volume is received with them. I am not aware of these being separate at all.

    Attached a sample indicator I've written that reproduces the Time&Sales window to give you an idea of what is being received and how it is being used.
    Attached Files
    Chelsea B.NinjaTrader Customer Service

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      #3
      Hello Chelsea,

      Thanks for your reply. IB is crappy about the whole thing so I don't blame you for not knowing. Without going into too much detail, there are two ways of requesting tick data from IB. One request gives you back tick info via a method called tickPrice and another via RTVolume. RTVolume is supposedly the "real time" tick price and volume(as we want it). While with tickPrice you have to build the tick by using tickSize (another method), totally messed up, also these prices are aggregated somehow.

      Anyways, If you can find someone who knows it would be great or I'll wait for some NT expert to post a reply

      Thanks again
      Last edited by alphatalk; 01-20-2015, 10:24 AM.

      Comment


        #4
        Hello alphatalk,

        I checked with our development and found the following information, however, this does not specify which datafeed is access:

        TWS's T&S window runs on a different, less filtered stream than the Level 1 data stream NT would access via the IB API, so there can be slight differences expected, which according to customer observations can be more pronounced during rollover periods. From our testing and comparisons, NT's TWS API stream access matches what other 3rd party programs receive and display.

        Whichever feed is more filtered is likely the feed that NinjaTrader is able to access through the IB API. From what I've read the RTVolume is the unfiltered, meaning NT accesses the TickPrice feed.

        For clarifications how TWS's feed used internally works, please contact Interactive Brokers support.
        Chelsea B.NinjaTrader Customer Service

        Comment


          #5
          Hi Chelsea,

          Thank you for checking with the development team.

          From your reply NT is using tickPrice to build the T&S, I am quite happy to know what is used, aggregated is fine for my purpose.

          The issue at the root of my post was that I tried to use tickPrice data with some code and build standard tick data and I notice differences in what I see in NT and my implementation (my code misses 15% trades). I was wondering if I could use the indicator you attached or another to read the raw data that comes from IB to NT? Id like to print out raw IB_Tick as it comes in and NT_Tick built from it and iron out the differences.

          Please let me know if this is possible, thanks for your help.

          Comment


            #6
            Hi alphatalk,

            The script I have written only prints last data which is what the time & sales prints.

            If you want each ask and bid tick, then print the e.Price without a filter that returns if the print is not a last print.
            Chelsea B.NinjaTrader Customer Service

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              #7
              Chelsea,

              Last is fine but that tick is after NT has processed the IB_Tick that it gets from IB methods tickPrice and tickSize. If I were looking to print the IB_Tick where and how can i do that?

              To explain to you,

              NT_Tick is say -> 15:30:00.107, 1944.00, 50 to get this NT would need to process 2 ticks from IB
              from tickPrice: 15:30:00.107, 1944.00, 4 [4 says its of LAST type i.e. a trade tick at price 1944.0]
              from tickSize : 15:30:00.107, 50, 8 [8 says its LAST_SIZE ie last trade size]

              NT puts these two together and I want to print these IB ticks and NT_ticks

              Thanks

              Comment


                #8
                Hello alphatalk,

                The tick that appears on the chart is the tick that triggers OnMarketData which is triggered anytime data is received.

                You will not have access to any other way of getting real-time data in NinjaTrader.
                Chelsea B.NinjaTrader Customer Service

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