T&S/Volume off with NT and IB

[Stok]

Hi,

So...I have noticed that whether a stock or futures, that pulling up a T&S window from IBTWS and a T&S window from NT that the T&S numbers and frequencies do not match (more trades/frequency/volume on IBTWS window). Also, I pulled up a 1 Min chart of a stock (NVDA) and the ES in both IBTWS and NT and the volume for each bar is lower almost every time with NT.

It seems while the data is the same since coming from IB, NT is not "capturing" all of it?

[NinjaTrader_EricB]

Hello Stok,

Thank you for your post,

This is occurring because IB's real-time data is filtered and the historical data is not.

Because of this, you would likely see differences when reloading a volume-based chart if the chart was left open when real-time data is received. When the chart data is refreshed by the reload, you're seeing unfiltered historical data.

Let us know if we may assist further.

[Stok]

Hi EricB,

I am only comparing the 1 minute charts in realtime. They are off with NT charts showing lower volume per bar and less T&S activity than TWS. All the same feed...ideas?

[NinjaTrader_EricB]

Thank you for your reply,

The real-time data being filleted would still come into play when viewing a minute-based chart as well.

[Stok]

Ok, I guess I don't understand why the same data feed is showing different volumes and T&S. This is concerning for me...I can have bars with 50% of the volume in NT compared to IB. While I don't use volume based bars that much, it becomes even more concerning. All of this in realtime, so how is NT filtering the data feed from IB?

Again, sorry to be confusing, and surprised I have just noticed this, but it still makes no sense.

Thanks!

[NinjaTrader_EricB]

Hello Stok,

Thank you for your reply, I apologize, I have misunderstood. I believe it is not due to to filtering that the T&S would be vary different between TWS and NinjaTrader, I'll look into this on my end and follow up with my findings.

[NinjaTrader_EricB]

Thank you for your patience while I looked into this.

TWS's T&S window uses a different API than the API used for Level 1 price data sent from TWS to NinjaTrader, so this is why you are seeing a discrepancy.This is called "RT Volume" within TWS.

Let us know if we may assist further.

[Stok]

Thanks EricB. So there is no way to get the data that IB is showing in TWS for charts and T&S for NT? I guess IB filters data in their API to 3rd party applications? I'd say the data NT gets is about 70% of what TWS plots and shows in T&S.

Still worrisome....has any other users complained of this about IB?

[NinjaTrader_EricB]

Thank you for your reply,

It's not so much that the data is filtered in NinjaTrader and more that certain windows in TWS use different data feeds, though the Level I price data feeds are the same. IB would likely be able to answer more questions regarding why there is a difference with this window.

We have received some feedback regarding the difference and it is an item our development team is tracking, I've went ahead and added your post as well.