IB ^VOL symbol not plotted properly

[zoltran]

Howdy

NT added support for the Interactive brokers ^ADD symbol.
This is an unusal symbol in that uses the bid/ask/lasts to show show Advancers/Decliners/unchanged

The IB ^VOL symbols is similar. Bid has up-volume, Ask has DownVolume, Last has unchanged

NT will show the bid/ask but not last for this symbol in a MarketAnalyser.
Does not show anything in a chart. Whereas ^ADD plots fine.


See this link for a great explanation and example
mhtml:http://www.ensignsupport.com/email/890.mhtml

(link needs IE.. won't work with Firefox)

[NinjaTrader_Dierk]

Not sure I follow: Last price for ADD is calculated by NT as Bid price - Ask price.

How do you want us to calculate last price for VOL?

[NinjaTrader_Dierk]

Also:
- VOL is not an NT standard index
- there already is UVOL, XVOL, DVOL which probably is what you are looking for

[zoltran]

Not sure I follow: Last price for ADD is calculated by NT as Bid price - Ask price.

How do you want us to calculate last price for VOL?

I'd like VOL to be formated just like you do for ADD.

[NinjaTrader_Dierk]

Thanks for your suggestion. We'll add it to the list of future considerations.

[zoltran]

Also:
- VOL is not an NT standard index
- there already is UVOL, XVOL, DVOL which probably is what you are looking for

Yes, but NT doesn't display anything for those symbols when using the IB feed.

So .. after some research I found IB does provide 'VOL' which gives me what I need.. Just need NT to display it the same as is done for ADD

[NinjaTrader_Dierk]

Next update will hold similar logic for new VOL instrument. Don't forget to Tools->Misc->Reset instruments.

[zoltran]

Excellent !
Thanks again Dierk !!!

[Ricardo Salas]

Ib Vol-nyse Not Plotted Properly

I was searching on this during the last 2 past weeks.
Now it is possible to plot on Ninjatrader the VOL-NYSE that is the NYSE UP minus DOWN VOLUME or the $VOLD according Tradestation.

Besides it is possible to plot the ADV_DEC ISSUES.

Since I am comparing datas with other softwares, I realized that even though the plot was good, it did not match with my friend's plot, then the problem is on IB data (Market Statistics data).

I called twice IB to know about what kind of data for NYSE Indeces they are supplying to their customers giving me incredible answers.

I compared Tradestation, Ameritrade, Nyse.com and IB data on this point:

As you will see, the datas from Tradestation, Ameritrade and Nyse.com were almost the same, with few acceptable differences, but th IB data was out of the range in some cases.

Here I show some comparison fyi:
Data 26/01/09
------Ameritrade -------Nyse------------ IB----------- TRADESTATION
UVOL 708536000 ----708509190 -----857767808
DVOL 552700000 ----552722187 -----387717376
TVOL 1270393000--- 1270419467 ---1258942559
VOLD 155836000 -----155787003 ----470050432

Data 28/01/2009

UVOL 1370233K -----1369601863---- 1351367936-------- 1373092K
DVOL 165682K -------166305250 -----184489056-------- 168558K
TVOL 1550254K -----1550278243 ----1543750422 -------1551130K
VOLD 1204550K----- 1203296613 ----1166878880 -------1204534K

One of the answers that I got from IB's customer service is that each company provides and is responsible for its own data............????????

What I am looking for is to force IB to give us accurate data, not the data base on its own calculations as they told me today.

Thank you

[Ricardo Salas]

Not Accurate Data From Ib For Nyse Indeces

Here we have the comparison for the NYSE indeces for today 29-01-09:

-----AMERITRADE--------NYSE.COM------TRADESTATION---------IB
UVOL 122530K-----------122527870----------122516K-------140362448
DVOL 1311613K---------1311601837---------1313099K------1279375104
TVOL 1438756K---------1438781907---------1439915K------1426461962
VOLD 1189082K---------1189073967---------1190583K------1139012656

Today again we have differences with IB data for this indeces, thus VOLD in all the cases is 1189M except for IB 1139M.

[NinjaTrader_Jason]

Hello Ricardo,

Unfortunately there is nothing we can do regarding this; NinjaTrader acts like a radio receiver in that we display data as it is provided.

You will need to work with Interactive Brokers support on this one.

[Ricardo Salas]

Hello Ricardo,

Unfortunately there is nothing we can do regarding this; NinjaTrader acts like a radio receiver in that we display data as it is provided.

You will need to work with Interactive Brokers support on this one.

Hi Jason:

Thanks for your answer.

I talked yesterday feb 04 with IB customer service to solve this problem and I sent them an email explaining what I find need to be solved.

Here is the copy of my email:

I called today twice to IB"s customer service to know why the data that IB provides regarding Market Statistics is not in the average range that other softwares provide to their customers.

I has been making this comparison for the past days and I send you in
the file attached the differences at the end of today's Market activity.

For Ameritrade and Tradestation I used my friend's data (Real time)

For Nyse, you can check them at www.nyse.com (the symbols are: VOLADVN for the Vol up, VOLDECN for the vol down, VOLTOTN for the total vol.

For Bloomberg I used www.bloomberg.com (the symbols are: UVOL:IND,
DVOL:IND and MVOLNE:IND.

I know that maybe this problem is not easy to identify since few people use the difference between UP and Down volume. Besides the ticker that IB give for this difference VOL-NYSE, is not possible to see it in the TWS, it is only through and API (external charter like Ninjatrader) that is possible to plot it.

The last person that was talking with me from IB's customer service
told me to send this information, since there could be an issue that programmers should solve the soonest.
.................................................. ...................................

On the other hand, I'd like Ninjatrader to let us build our own indicators based on the standard indicators that data providers give us. I mean for example if we have an stardard indicator A and standard indicator B we could create for example news indicators like:
A+B, A/B OR A-B/(A+B), etc.

according to our needs and we should be able also to plot them. I saw that Market Delta provides that flexibility of creating new indicators.

Cheers

Ricardo

[NinjaTrader_Jason]

Hello Ricardo,

You can create custom indicators in NinjaTrader using the Wizard or Ninjascript. Please see the link below for more information.

http://www.ninjatrader-support.com/HelpGuideV6/Overview18.html

[Fire1]

Up Down Vol IB API

Can the IB Symbol for NYSE up Vol, Down Vol be displayed through the IB API?

Thanks

[NinjaTrader_Jason]

Hello Fire1,

If you receive data for these instruments in TWS, you will receive data in NinjaTrader as well once connected to IB.