Volume differences between NT7 and NT8

[Eric M.]

Hello,

I have an issue that has been bothering me for some time - I use Interactive Brokers as my data feed and have checked other futures contracts and I get the same result.
Volume appear to be normal in the NT7 platform but with the NT8 platform the volume is considerably reduced.
If I reload the data during the day, the data is comparable to what is seen in NT7 but from that time onwards, the volume data once again falls away.

As can be seen by the attached charts, there is a marked difference in the volume levels between the 2 platforms. I've included one chart where I superimposed the volume(bottom panel) from a chart I was running during the day and had reloaded the data in the afternoon. The volume in the top panel is from a chart created after the market close.

Why is it that NT7 can maintain the correct volume levels but NT8 fails to do so ?
Is there some setting that I have overlooked ?
Appreciate any advice you can offer !!

Eric

[NinjaTrader_EricB]

Hello Eric M.,

Thank you for your post.

Glad to assist. This is expected due to the data itself being different on reload. Realtime data sent from Interactive Brokers to NinjaTrader is filtered. Historical data sent from Interactive Brokers to NinjaTrader is not filtered. So when you reload historical data in a chart, you will see small differences as well.

I will forward the suggestion to change the IB API to use unfiltered realtime data to development.

We look forward to assisting further.

[Eric M.]

Thanks for the quick response Eric B.
What I can't understand is - Why can NT7 handle the volume data properly and NT8 is unable to cope ?
I would have thought NT8 would handle volume data better than NT7.

I'd appreciate if you could follow up on any information regarding a change to the IB API.
Hoping that this can be implemented sooner than later !!

Eric

[Irukandji]

THIS is a MAJOR problem.

[NinjaTrader_EricB]

Thank you for your reply.

There are no updates on this matter at this time, though I will forward all feedback here to our development team for future consideration.

The ID for this request is SFT-2738. You may reference this ID in the future regarding this matter. If implemented, this would also list in the NinjaTrader Help Guide release notes along with all updates upon release (Help > Help > Release Notes).

Let us know if we may assist further.

[Irukandji]

Volume bars are not displaying data correctly and you're going to "forward all feedback here to our development team for future consideration."


When is that? 5 years from now maybe? Maybe then the charts will read out volume correctly?


This makes NT8 unusable!!!


How about getting the team to fix this BY THE END OF THE WEEK!!


Seriously - I actually now have to look for alternative charting after just spending $1000 on this.


Kind of a joke don't you think?

[NinjaTrader_Brett]

Hello,

I'd like to add some context to the case since this is a ever changing area:

1. NinjaTrader 7 used an API method I'll call 'Approach A' to process realtime data from IB's API, this was put in place 10+ years ago. This 'Approach A' was not perfect and had some known deficits.

2. NinjaTrader 8 under IB recommendation and in an interest to address those known deficits updated to a new 'Approach B' to process realtime data. This was about ~5 years ago during NinjaTrader 8 development.

3. Late 2017 IB introduced in beta an 'Approach C', we will review what implementing 'Approach C' could mean. I will check in on the status of this and look into integrating it. I suspect that Approach C is now what TWS uses in its application and why we now see differences between Approach B and Approach C. I'm told that as we implement Approach C that the data we see should match what is seen in TWS time and sales tape but we would need to implement it and test.

We so far had not done this since it requires an IB API update which has some risk that other things could stop working, however I'll look into this over the next week or two and return. It may be beneficial if we do perform that update that I could utilize you as a beta tester. If you would be willing to do so please reach out to me at [email protected].