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Issue with Interactive Broker Volume

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    Issue with Interactive Broker Volume


    Hi, I currently have a strategy based in volume. I had done it manually by observing the volume of yahoo finance or tradingview, but when I get the volume of ib it is totally different from what I see on these pages. any suggestions?

    #2
    Hello 7robert,

    Thanks for your post.

    Data that is offered by different providers will often have small discrepancies not limited to the timestamp of ticks. When bars are built, the timestamp of a tick can create a noticeable difference of the resulting bars if there are differences there. The differences in bars would then result in different behavior from the strategy.

    Data offered by your data provider is expected to be an accurate source of data, often more so than data on online charts.

    We have more specifics on how bars are built and discrepancies that can be seen in our Help Guide.

    https://ninjatrader.com/support/help..._are_built.htm

    Please let us know if we can be of further assistance.
    JimNinjaTrader Customer Service

    Comment


      #3
      Hello JIm, I read the documentation you sent me, but it is not a small discrepancy, that is, a candle with 12k volume appears as if it had 2k

      Comment


        #4
        Hello robert7,

        Data from different providers will have differences and I cannot comment on the specifics regarding Interactive Brokers data and Yahoo Finance. For a final note, if you are looking at Futures data, you may be seeing a difference in data during rollover periods where NinjaTrader is merging the previous contract period and you are looking at a candle from another contract period. You can test this by setting your Control Center's Tools > Options > Market Data > Historical > Global Merge Policy setting to Do Not Merge and then to open charts for the current contract period and the previous contract period. I.E. ES 09-19 and ES 12-19.

        Merge Policy - https://ninjatrader.com/support/help...rge_policy.htm

        If that does not resolve your inquiry, I could check the result from my data feed if it can help give piece of mind(differences should still be expected.) Please provide a screenshot of the chart and the chart's data series window. You may then wish to consult the data provider for more information after that.

        I look forward to being of further assistance.
        JimNinjaTrader Customer Service

        Comment


          #5
          Let me explain with an example. At one point the volume of a candle was 2k, but hours later, I closed and opened the chart again, and the volume of that same candle was 12-13k, so my strategy running in real time, detected a volume that didn't It was the right one. How can i fix this?

          Comment


            #6
            Hello 7robert,

            We note the following for differences between bars that are built with realtime data vs. bars that are built from historical requests.

            •Your PC clock could have been off so the time stamp is delayed
            •Your internet may have been lagging so the tick came in slightly delayed and therefore the time stamp is delayed
            •Due to standard latency, even 50ms delay (which is normal) could be the difference between a 10:30:59 and 10:31:00 time stamp
            •There is no way of knowing how the historical data provider packages their bars

            I suggest making sure that your PC clock is in sync and to ensure there are no issues with your PC's internet connection which would result in ticks being missed in that bar when it was built with real time data.

            Please use the steps below to change/check your Time Zone and sync the PC clock:
            • Close NinjaTrader.
            • Open the Windows Control Panel
            • Select Date and Time
            • Press 'Change time zone...'.
            • Set the time zone and press 'OK'.
            • Click on Internet Time tab.
            • Set the server to time.nist.gov and then click Update.
            • Ensure to check for a message under the Update button that says it was successful.
            • If it did not properly sync, even after a few tries, try manually setting your PC clock and then syncing.
            Please let me know if you have any questions.
            JimNinjaTrader Customer Service

            Comment


              #7
              I accommodated the time zone of my computer. But when I compare the interactive broker sail volumes with those of tradingview (for example) they are always different

              Comment


                #8
                Hello 7robert,

                There will always be differences between viewing data on different trading platforms and from different sources of data.

                What you have control over with NinjaTrader would be limited to Merge Policy alone. This is used to control how previous contract months are merged together and can result in different bars being seen visually.

                Interactive Brokers timestamps are locally timestamped, so having a PC clock that is in sync would be advised for consistent bar development.

                Outside of these factors, there is nothing else I could advise to make your charts look similar to a different trading platform or data source. The feeds are different in nature, are handled differently, and would would be different data in general.

                If you have more specific questions on the differences in data that you are seeing from different sources, those sorts of questions would be best answered by the data provider.

                Please let me know if I can be of further assistance.
                JimNinjaTrader Customer Service

                Comment

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