Interactive Brokers connected to NT8 but delta calculations are incorrect

[koalaaop]

Hi, I connected my Interactive Brokers to provide live data to NT8. When i create candlesticks charts and add indicators, everything looks correct. The price of CL (crude oil futures) was real time and correct.

The problem occurs when I installed an add-on indicator that calculates delta, delta %, max delta, min delta, etc. I have a friend who has the exact same workstation (bc he emailed me the workstation file) and he is on continuum live data and he gets totally different calculations on his charts for delta, delta %, etc.

So I signed up for a free 14 day live data trial of continuum and ran it on my NT8, and with continuum's live data, the delta calculations are correct. So there must be something wrong with IB's data bc once i switch the connection over, the delta number are again wrong. Btw, all the connections are "green" so that is not an issue.

Any help to figure this issue out would be greatly appreciated. Thanks

[NinjaTrader_Kate]

Hello koalaaop,

Thank you for your post.

There are expected differences between data feeds regardless of data provider, and here this is likely 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. Do you see the Deltas match up more closely between IB and NinjaTrader Continuum if you reload the historical data on your chart?

Thanks in advance; I look forward to assisting you further.

[koalaaop]

Hi Kate, thank you for the quick response. I do believe when I exit NT8 and then log back in, the older delta data (i guess that would mean it is the historical data) does match up between the IB and Contiuum versions. So this leads to me believe that you are definitely correct that when i reload, the historical data loads which is unfiltered so that is why the IB data looks correct, as in, it matches with Contiuum's data. But as i leave it on and just watch it, the new data coming with the IB data connection is not coming in accurately, which is explained by what you said above that the IB data is being filtered. So all this makes sense now.

So my questions would be:

(1) why does ninjatrader filter the IB data?

and

(2) is there a way that i can set it so that the IB data is not filtered?


Thank you

[NinjaTrader_Kate]

Hello koalaaop,

Thank you for your reply.

Previously it was a known issue with their API, however, I remembered that we actually enabled some beta functionality for IB connections, including the ability to receive real time unfiltered data. To enable this, you'll need to be on the latest version of NinjaTrader 8 (Version 8.0.17.2 - you can check your version by going to Help > About). If you're on an older version, please follow the steps below to update NinjaTrader:

• First, copy 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.

Once you've confirmed you're on the correct version, go to Connections > Configure and select your IB connection in the configured list on the bottom left. In the right hand panel where the connection settings are, ensure "Enable Beta Functionality" is checked. Once complete, connect to your IB connection and compare it to the results you get with NinjaTrader Continuum.

Please let us know if we may be of further assistance to you.

[koalaaop]

Hi Kate, thank you for all your help. I will go do the steps that you listed.

Before I start I wanted to ask, when you said "I remembered that we actually enabled some beta functionality for IB connections, including the ability to receive real time unfiltered data" my question is when you say some does that mean it is kinda like hit or miss? As in, some might be and some might not and sometimes it will filter and sometimes it wont filter?

The reason I ask is that it sounded like some were enabled but not all were enabled. Hence it makes me nervous to even try if I have to rely on it that it will always be calculating the delta correctly. I dont want to have to rely on it if it means it might match the continuum today but it might not match tomorrow or a few hours later. I'm sure as a trader, you can understand the hesitation. So for these reasons, I wanted to ask that if the IB delta data does match continuum tomorrow, would it be that I can trust it ongoing?

[NinjaTrader_Kate]

Hello koalaaop,

Thank you for your reply.

I apologize for my confusing phrasing. As this is beta functionality there may be quirks, but generally yes, this is working fine.

The following functionality has been implemented for beta:

•Unfiltered real-time data
•Support for linked accounts
•Improved level II data handling
•The equities volume multiplier is now applied to all equities
•Added the ability to remove equities volume multiplier by adding |||||1 to the instruments symbol mapping

Please do let us know if you experience issues using the beta functionality.

[koalaaop]

Hi Kate, thank you for your response. I enable the beta functionality and will test it out tmrw during the live market hours. Hopefully that fixes the issue. Thanks

[koalaaop]

Hi Kate, so I did what you told me to do and checked the "Enable Beta Functionality" for the IB connection.

Over the last few days, I've noticed some odd things.

First, whenever I am connected using IB, the connection color is always Green when I connect then immediately turns to Orange. And stays Orange forever. Yet, even at Orange, my candlestick charts are getting live data that is correct. My delta calculations load correctly (bc of the historical data i'm assuming) but then as the data comes in, it is calculating it incorrectly. I dont understand how my candlesticks and prices are correct but my delta isnt.

Second, when I connect using continuum data (free trial live data), it is always Green when it connects and stays Green forever. But the candlesticks and price lag and are incorrect very frequently. The delta history loads correctly, but as the data comes in, it is calculating it incorrectly.


These problems have been consistently the same problems (so it hasnt been a glitch one day) since we last messaged 3 days ago. Please help me understand what is going on and how to fix it. Thanks!

[NinjaTrader_Kate]

Hello koalaaop,

Thank you for your post.

I'll definitely need to take a look at your log and trace files to further troubleshoot. Please write into to PlatformSupport[AT]NinjaTrader[DOT]Com along with your log and trace files and a link to this forum post.

Include ticket number 2130301 in the body of the email.

Please follow the steps below to manually attach your log and trace files to your response so I may investigate this matter further.

• Open your NinjaTrader folder under Documents.
• Right click on the 'log' and 'trace' folders and select Send To> Compressed (zipped) Folder.
• Send the 2 compressed folders as attachments to this email.
• Once complete, you can delete these compressed folders.

We look forward to assisting further.

[koalaaop]

ok thanks. i just sent it over.