• If this is your first visit, you will have to register before you can post. To view messages, please scroll below and select the forum that you would like to visits. Questions? Be sure to check out the Forum FAQ.

Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Volume Bar confusion: NT 8.0.10 & IB data feed

Collapse
X
 
  • Filter
  • Time
  • Show
Clear All
new posts

    Volume Bar confusion: NT 8.0.10 & IB data feed

    Hi,

    I have a question regarding Volume bars. I have a chart of CL 02-18 showing 5000V bars. The Session is set to Energy ETH. Now, one would logically expect that the total number of contracts traded in CL 02-18 on any given day would match the product of: 5000 x number of bars in a Session. However, this is not what I find. For example, on 20DEC the CL front month volume was around 420k contracts, but I am only getting 43 bars x 5000 = 215k contracts. Where did the remaining contracts go?

    Any help in understanding this is appreciated....

    #2
    8.0.10.0 is an older version. Please upgrade to the latest version (8.0.11.1). To upgrade NinjaTrader, please follow the steps below.
    • First get your license key from NinjaTrader under Help> License Key then exit NinjaTrader
    • Click on the link: http://ninjatrader.com/PlatformDirect
    • Enter your license key and press Submit
    • Select 'NinjaTrader 8'
    • Select 'Download'
    • Critical: Before running the installer, ensure NinjaTrader is closed
    .
    This may have to do with the source of data - Interactive Brokers. Real-time data sent to NinjaTrader from Interactive Brokers is filtered, while historical data is unfiltered. This is most noticeable on tick based charts like volume.

    What do the volume charts look like when compared to Trader Workstation?

    Do the volume bars change if you right-click on a your NinjaTrader chart and select 'reload all historical data'?
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Using CQG Continuum and latest NT version here. I use volume charts. The volume totals shown in the Market Analyzer volume column are always substantially more than the volume shown in charts. A few days ago, for RTY, I calculated the chart volume total at 30% of market analyzer volume total for the day. Don't know why.

      Comment


        #4
        Lacer,

        Different data feeds are likely to produce different results. Since you're not using the same data feed as ours_solaire, this would technically be a different issue.

        While connected to NinjaTrader Continuum (CQG), I was able to get almost exact values when comparing a daily chart with the volume indicator applied with the Daily Volume Market Analyzer column:

        https://www.screencast.com/t/MgFYyMDK3gG

        I also get 37 1000 volume bars which matches my expectations compared to the 36k shown in the Market Analyzer:

        https://www.screencast.com/t/ihLgsX5IceZA

        I would suggest starting your own thread or writing into PlatformSupport[AT]NinjaTrader[DOT]com for further assistance so we can work with you and your data feed and keep this thread for Interactive Brokers expectations.
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          Hello Lancer,

          The second screenshot in my previous post displays a 1000 volume chart coinciding with the Daily Volume Market Analyzer column:

          https://www.screencast.com/t/ihLgsX5IceZA

          If you add up the volume bars on a chart and this does not match up with the Daily Volume column of the Market Analyzer, this may be expected for a few reasons:

          Daily Volume is data supplied by the data provider, and the data is based on the data provider which includes custom sessions. Some providers will include non-last qualifying trades and some will not. In NinjaTrader, this data is loaded in the Time and Sales window and in the Market Analyzer's volume column.

          The following is how Daily Volume bars are different which will likely cause different volume results:
          • Trading hours template
          • Break EOD may affect this
          • Volume bars are built purely on last qualifying 'ticks' and historical bars are created solely by historical 'ticks' coming from whichever historical data provider is connected

          In conclusion, each data provider may provide different quotes for Daily Volume and Volume Bar, if you're curious about exactly how this is calculated, I recommended that you contact your data provider.
          Patrick G.NinjaTrader Customer Service

          Comment


            #6
            Hi guys,

            Thanks for the suggestions. Regarding comparison with TWS - I wasn't even aware we could get volume bars charts on that platform! Nor can I reload historical since NT is not able to request historical tick data from IB (even though they do offer it - I checked with them on this).

            If I could make a feature request for NT to be able to accept this data from IB, it would save me having to save RT data as historical and be constantly connected to record it live...

            I still think that the Volume numbers should be closer than what I'm getting - so I have to wonder whether my RT data bears any resemblance to whats really going on in the market??? A nearly 50% difference is way beyond an acceptable amount.

            Comment


              #7
              ours_solaire, the root of what you're experiencing is a combination of what I explained earlier about expected differences regardless of data provider, and mainly due to real-time data from Interactive Brokers being filtered while historical data is not.

              Let's say 5 ticks of data come in, each with 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.

              I'll submit a feature request for two items:
              • Pull historical tick data from Interactive Brokers - SFT-2837
              • Pull unfiltered real-time data from Interactive Brokers - SFT-2738

              I'll update this post with the tracking numbers when I receive them.
              Last edited by NinjaTrader_PatrickG; 12-27-2017, 06:32 AM.
              Patrick G.NinjaTrader Customer Service

              Comment

              Latest Posts

              Collapse

              Topics Statistics Last Post
              Started by martyn73, Today, 02:29 PM
              0 responses
              7 views
              0 likes
              Last Post martyn73  
              Started by cls71, Today, 12:28 PM
              0 responses
              6 views
              0 likes
              Last Post cls71
              by cls71
               
              Started by NeverDownMoney, Today, 12:19 PM
              0 responses
              3 views
              0 likes
              Last Post NeverDownMoney  
              Started by NT-Roland, Today, 11:24 AM
              0 responses
              7 views
              0 likes
              Last Post NT-Roland  
              Started by NeverDownMoney, Today, 11:05 AM
              0 responses
              3 views
              0 likes
              Last Post NeverDownMoney  
              Working...
              X