Data feed differences

[guillembm]

Hello,

I have seen something that really scared me. I work with IB and for the migration I am working with two computers. One with NT7 and the other one with NT8 installed. Both use the same datafeed from two different account from IB. The data is supposed to be the same for both because both accounts have exactly the same subscription.

Even so, the loaded volume data is completely different.

I attach two screenshots for the data of SPY for you to compare. Why the volume data is different?

[NinjaTrader_Jason]

Hello guillembm,

Do you load the same data after you right click in the SPY chart in both NinjaTrader 7 and NinjaTrader 8 and select 'Reload All Historical Data'?

Do you have the same TWS/Gateway version installed on both computers?

Try the following. Delete the historical minute data in the screenshot. Right click 14/02/2018 and select Remove. Do this on both computers.

Shut down NinjaTrader and delete the folder below on both computers.

Documents-->NinjaTrader 7 or NinjaTrader 8-->db-->cache

Start NinjaTrader and switch the connections. So the IB connection used normally in computer #1, please use it in computer #2. Use the IB connection normally used in computer #2 now in computer #1. Do you load the same different data as before but now on the other computer?

[guillembm]

I confirm that after reloading historical data in the chart the data is the same.

TWS versions installed in both computers are also different. In the NT7 computer is build 960.2 and in the NT8 is 963.3.

Does it make any sense? Why after realoading the data matches? Why two different TWS versions privide different data if the data source is the same? How can I avoid it in the future? What version provides the good data?, 960.2 or 963.3?

Right now I cannot stop NT. I will follow the other steps you mention during the weekend.

[NinjaTrader_Jason]

Please note that we only support TWS 960.2g at this time. You can download and install it from our IB connection guide under 'Requirements'.

https://ninjatrader.com/ConnectionGuides/Interactive-Brokers-Connection-Guide

Could it be you record realtime data in one of the NinjaTrader instances and not in the other? So one NinjaTrader instance was showing volume data received in realtime which was recorded as historical data in NinjaTrader. The other NinjaTrader instance loaded the data as historical data from IB.

You can record realtime data as historical data in NinjaTrader 7 using the 'Save chart data as historical' setting at Control Center-->Options-->Data-tab. In NinjaTrader 8, it is the 'Record live data as historical' setting at Control Center-->Tools-->Options-->Market data.

It is as expected that there are data differences between realtime and historical data from IB. Realtime data is filtered and historical data is not and therefore you would see a difference. This is most noticable with volume data.