I'm using NinjaTrader 7 linked to IB's data feed through the Trader Workstation API.
Why is Time & Sales on IB's TWS so different than on Nijatrader 7 Time and Sales? For example on SPY the bid, bid size, ask, ask size are the same on both, but the time stamp and sale prints are different. Shouldn't NT7's Time and Sales be based on the Last, Last Size you are seeing on the TWS Time and Sales?
Thedata feed from Interactive Brokers does not include time stamps. Therefore NinjaTrader will use your system time to add time stamps. Quality data feeds include time stamps and NinjaTrader does not need to add them.
This should at least explain, why you would see different times. There may also be a communication problem between the (badly documented) API of Interactive Brokers and the NinjaTrader adapter. It is impossible to rely on the sales prints or even the real-time volume shown on the chart.
The following user says Thank You to Fat Tails for this post:
Thanks, this explains a lot of the strange prints I've been getting in Time & Sales and on the charts. IB data feed is fast and cheap but on the flip side is it aggregates the data and, as I just found out, doesn't provide time stamps, great.
And, just for the record, my biggest peeve with NinjaTrader is that its IB adapter isn't kept up to date.
Once in a while on T & S, I notice a large prints first on the bid and then on the ask same size, same timestamp, and right next to each other. Is it a double print, and why is it happening, do ya know?