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IB/NinjaTrader Time and Sales
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IB/NinjaTrader Time and Sales

  #1 (permalink)
Trading Apprentice
Houston TX USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: IB/IB
Favorite Futures: SPY
 
Posts: 11 since Nov 2011
Thanks: 7 given, 0 received

IB/NinjaTrader Time and Sales

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?

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  #2 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,601 received
Forum Reputation: Legendary

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.

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The following user says Thank You to Fat Tails for this post:
 
  #3 (permalink)
Trading Apprentice
Houston TX USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: IB/IB
Favorite Futures: SPY
 
Posts: 11 since Nov 2011
Thanks: 7 given, 0 received


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.

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  #4 (permalink)
Trading Apprentice
Houston TX USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: IB/IB
Favorite Futures: SPY
 
Posts: 11 since Nov 2011
Thanks: 7 given, 0 received

@Fat Tails
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?

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  #5 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,601 received
Forum Reputation: Legendary


MaxLo View Post
@Fat Tails
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?

No I do not know it.

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