volume gap

[frankduc]

Hi,

There is a volume gap that appear every time during the day.
For exemple, if i ask refresh hist data volume increase. During the day there is a cumulative deficit on the emini sp500. Once refresh some volume candle spike from 40k to 60k.
To keep the volume up to date i have to refresh several time a day.
I use IB connection. Is them ib or nt?
Any idea why it does that?

ty
Frank

[NinjaTrader_PatrickG]

The difference you're seeing in data before and after a reload would be expected when using Interactive Brokers data feed. This will be most noticeable when viewing volume data.

The real-time data which is sent to NinjaTrader by Interactive Brokers is filtered. Historical data sent to NinjaTrader by Interactive Brokers is not filtered.

When you connect to Interactive Brokers in NinjaTrader, historical data (unfiltered) is loaded up until that exact moment, and then real-time data (filtered) is used to populate your charts in real time.

When you 'reload all historical data' on your NinjaTrader charts, this causes historical data to load up to that exact moment and then real-time data is used to populate your charts with data in real-time. Because of this, it is expected that you should see different data after a reload.

Here is an example:

• Let's say 5 ticks of data come in which each has 1 volume.
• The real-time data that NinjaTrader uses from Interactive Brokers is filtered, so you may only receive 3 of those ticks and a volume of 3.
• If you then reload this historical data, this is unfiltered and you will see 5 ticks and 5 volume.

We are tracking interest in a change so that unfiltered real-time data is received into NinjaTrader from Interactive Brokers. I'll add your vote. The tracking number is SFT-2738.

[frankduc]

very important

This is very important cause we pay consultants to script our strategies and indicators. If we cant trust the volume we receive on the chart it can send fall signals.
It should be a priority to solve this.

Thank you in advance.

Frank

[NinjaTrader_PatrickG]

I'd like to clarify that this is not a bug with NinjaTrader. This is simply how Interactive Brokers provides the data to the NinjaTrader platform currently.

If you need an immediate solution, I would suggest researching a supplementary data provider (Kinetick, for example) which does not have this limitation.