• 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

NT8 showing forex chart with zero volume after loading historical data from IB TWS

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

    NT8 showing forex chart with zero volume after loading historical data from IB TWS

    Hi
    I did a migration to NT8 from NT7 and everything was fine and since I have a lifetime licence with NT, I was able to load your included indicators like volume profile and vwap on my forex chart ( for ex USDCAD chart)


    But after doing a historical data reload from Interactive Brokers TWS for this week data, all of a sudden all my forex charts are showing bars with zero volume, which means indicators like volume profile and vwap dont show anything anymore on the chart because the volume is zero. My futures charts are all working fine with these indicators since volume is present on those charts.

    so question 1 : Is this behavior normal with NT8 ? in NT7 the volume was a constant on forex charts but it was still there so that indicators like volume profile and vwap were still working.

    and question 2 : is there a way to switch the calculation mode of NT8 Volume profile indicator to use price (or TPO in volume profile terms) to calculate the profile instead of volume ? I tried to switch the calculation mode to price and tick but neither are showing anything on my forex charts

    Thank you for your help
    Last edited by qewcool; 04-05-2020, 01:16 AM.

    #2
    Hello qewcool,

    First, Interactive Brokers does not provide historical tick data which is necessary for volume profile and vwap.
    Below is a link to the NinjaTrader 8 help guide on Data by provider which shows the supported connection technologies and the types of data these connections support.
    http://ninjatrader.com/support/helpG...y_provider.htm

    However, this would build in real-time if volume information is sent however, second, forex data does not have centralized servers which means volume is only for the local brokerage which is often not recorded at all. Using volume with forex can be misleading because you would not be looking at the volume of the market. Some forex brokerages send a 1 or a 0 with every tick for the volume.

    Below are links to a few threads that discuss this.
    https://ninjatrader.com/support/foru...47#post1046747
    https://ninjatrader.com/support/foru...002#post677002

    Futures and also equities are traded on exchanges and would have volume that would work with volume profile indicators.

    Are you referring to the Order Flow Volume Profile?
    Yes, Profile type as Price is an option.
    https://ninjatrader.com/support/help...VWAPParameters
    Chelsea B.NinjaTrader Customer Service

    Comment


      #3
      Hi

      I think you are mistaken as Volume Profile and Vwap dont need tick data. They only need volume. It is your other indicators that calculate the delta between bid vs ask volume that needs tick data.

      I know that forex volume is "fake" but my question is in NT7, even that "fake" volume was passed through by NT7 and allowed to show up on the charts thus allowing indicators that rely on volume data to show up on the charts. Did that change in NT8 and you put any volume given by IB TWS to zero on forex charts ? from what I see in NT7, IB forex volume data is not zero (it is a constant) but in NT8 that volume data is showing up as zero on every bar. I am downloading the data from the same source for both NT7 and NT8 so the difference between non-zero in NT7 to zero in NT8 is coming from NT.

      for the volume profile type as price : yes it is what I am referring to in your link. From my understanding that option should use price and the number of times the market traded at that price as a proxy for volume in order to build the volume profile, instead of directly using volume data to build the volume profile. This would solve the problem of using volume profile on forex chart with non-existent volume data. But I tried that option and it is not showing anything on my forex chart for the volume profile indicator provided with NT8. Why is that ? is it a bug ?

      Comment


        #4
        Hello qewcool,

        Do you see volume with a minute chart with the VOL indicator applied?

        NinjaTrader displays the volume as provided by Interactive Brokers. Try loading an equity or future to confirm this.
        Chelsea B.NinjaTrader Customer Service

        Comment


          #5
          Hi

          on NT8 the VOL indicator shows values of zero on forex USDCAD minute charts and actual values on futures ES minute charts

          if I extend my forex chart out beyond the period where I reloaded historical forex data on NT8 and show the historical data that was migrated over from NT7, then the VOL indicator shows a constant value of 1 for each 1 min bar (IB is sending a volume of 1 for each 1 min bar). So it means somehow on NT8, that volume of 1 per 1min bar that IB is sending out is being replaced by zero.

          I dont think IB TWS API would be sending out a different volume whether you are on NT7 or NT8.

          You can easily reproduce on your side I would think with a USDCAD chart and reloading historical data from IB TWS.

          Comment


            #6
            Hello qewcool,

            I was not able to reproduce this behavior.

            In NinjaTrader 7 the volume of forex is sent with a 1 from interactive brokers because volume doesn't really exist on forex.

            Below is a link to a video of the test.
            https://drive.google.com/file/d/1TDs...w?usp=drivesdk

            Are you using TWS 973 with NinjaTrader 8.0.21.1?

            Can you show a screenshot of historical data on a chart from Interactive Brokers data on NinjaTrader 7?
            Last edited by NinjaTrader_ChelseaB; 04-07-2020, 03:56 PM.
            Chelsea B.NinjaTrader Customer Service

            Comment


              #7
              here is the screenshot from NT8 showing the volume difference from NT7 migrated data (volume of 1) and NT8 (volume of 0) both downloaded with TWS

              and yes using TWS 973 with NinjaTrader 8.0.21.1
              Last edited by qewcool; 04-08-2020, 04:31 AM.

              Comment


                #8
                Hello qewcool,

                This screenshot you have provided is also showing the volume with a 1, meaning there is no volume reported.
                Chelsea B.NinjaTrader Customer Service

                Comment


                  #9
                  yes , thats what I have been saying if you read post 5.

                  anyway should I be able to use "Profile type as Price" as an option to have the profile show up on the chart even with no volume ? The profile getting built using price and not using volume ?

                  Comment


                    #10
                    Hello qewcool,

                    The Order Flow Volume Profile indicator will still show the letters or boxes when using Price as the Draw mode and from my understanding would not be using volume.

                    https://ninjatrader.com/support/help...ngPriceProfile
                    https://ninjatrader.com/support/help...VWAPParameters
                    Chelsea B.NinjaTrader Customer Service

                    Comment


                      #11
                      ok that is what I want but "price as profile type" does not seem to work on forex charts.

                      it only works on futures charts.

                      it seems to be the same behavior as with the "volume as profile type" selected : it only works on a chart that has volume not equal to zero.



                      and 2nd problem : when it works (on futures chart only) the size of the letters are very small in comparison to the whole chart, even after playing with the scaling of the chart. You cannot put profile next to each other in the same chart even with the "hide bar" option selected
                      Is there a way to increase the font of the letters so it fills the chart more.

                      Comment


                        #12

                        see the screenshot :

                        For the data that was migrated from NT7 and that has volume of 1 per 1 min bar ( volume shows up as 30 because it is a 30min bars chart), the profile by price is being built.

                        But starting at March18, on the data downloaded on NT8 from IB TWS that has volume put to zero, you can see that the profile by price is not being built or not being drawn on the chart. It seems to only show the POC.
                        Last edited by qewcool; 04-10-2020, 03:54 PM.

                        Comment


                          #13
                          Hello qewcool,

                          From my understanding this indicator does require historical tick data to show these values historically which is not provided by Interactive Brokers.
                          Chelsea B.NinjaTrader Customer Service

                          Comment


                            #14
                            But in the screenshot above, the pre-March 18 IB TWS historical data imported from NT7 does not have historical tick data either.
                            And it seems to be working as you see in the screenshot.

                            The only difference in the historical data pre and after March 18 is the volume, not historical tick data which both sets of historical data dont have.

                            Comment


                              #15
                              Hello qewcool,

                              I am not able to reproduce this behavior while connected to a NinjaTrader Forex demo connection which does support historical tick data.
                              https://drive.google.com/file/d/1Nzo...w?usp=drivesdk

                              Further, our development has confirmed this script does require historical tick data.
                              Chelsea B.NinjaTrader Customer Service

                              Comment

                              Latest Posts

                              Collapse

                              Topics Statistics Last Post
                              Started by bosajin, Yesterday, 06:27 PM
                              1 response
                              7 views
                              0 likes
                              Last Post NinjaTrader_Jim  
                              Started by stefanrvc, Today, 04:59 AM
                              1 response
                              14 views
                              0 likes
                              Last Post NinjaTrader_Marco  
                              Started by 7robert, Yesterday, 08:30 PM
                              2 responses
                              16 views
                              0 likes
                              Last Post NinjaTrader_Marco  
                              Started by pjsmith, Today, 01:13 AM
                              1 response
                              16 views
                              0 likes
                              Last Post NinjaTrader_ChrisSch  
                              Started by yukashg, Yesterday, 09:56 PM
                              1 response
                              16 views
                              0 likes
                              Last Post NinjaTrader_ChrisSch  
                              Working...
                              X