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Ninja Trader volume charts do not back fill with IB TWS?


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Ninja Trader volume charts do not back fill with IB TWS?

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  #1 (permalink)
Thailand
 
Experience: Intermediate
Platform: IB TWS
Trading: ES
 
Posts: 27 since Jun 2011
Thanks: 17 given, 12 received

Is anyone here having issues with back-filling NT volume charts using TWS? if so, how to resolve the problem?

I have been trying to get Ninja Trader latest Ver 7.0.1000.10 to print volume charts using latest TWS ver 925.6b. The back fill from TWS does not back-fill the volume chart in Ninja Trader but will backfill the NT minute chart.

Ninja Trader Version being Used:
http://imageshack.com/f/74ntverbeingusedg

ES Backfill attempt
http://imageshack.com/f/ghnthistoricaldatamanagerg

Result of Backfill Attempt from TWS. NT however does read the data feed as volume bars are being formed
https://imageshack.com/f/0antvolumebarchartsnotloag


This volume chart back-fill issue is not a problem with TWS as I am using Quote Tracker charting platform with the exact same TWS data feed and I get the volume charts back-filled without any issues.

Quotetracker volume back-fill works with the TWS datafeed
https://img811.imageshack.us/img811/7343/qtvolumebarsloading.gif


This NT volume backfill issue appears to be an ongoing problem as there are several google results on the topic. NT's standard response appears to be it's an issue with TWS. Here is one response on the subject:

https://www.ninjatrader.com/support/forum/showthread.php?t=42327


I'm relatively new to futures.io (formerly BMT) and after reading the various platform threads decided to go with Ninja Trader to automate my trading. However I've been using Quote Tracker for over 10 years without 1 iota of problem, unfortunately QT is not able to automate the discretionary system I use and I need to program my discretionary trading system into a automated plaform that has trouble free volume charting. If NT is giving me such a headache at the get go I am wondering how buggy the automation process will be, is it advisable to look elsewhere?

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  #2 (permalink)
las vegas
 
Experience: Intermediate
Platform: Sierra Chart
Broker: Velocity/IB
Trading: 6E
 
Posts: 1,147 since Feb 2010
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Correct, you either have to leave your machine running, get a separate data feed, or use a platform that provides backfill, e.g. Sierra Chart. Same goes for any other non-time based charts.

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  #3 (permalink)
Thailand
 
Experience: Intermediate
Platform: IB TWS
Trading: ES
 
Posts: 27 since Jun 2011
Thanks: 17 given, 12 received



vegasfoster View Post
Correct, you either have to leave your machine running, get a separate data feed, or use a platform that provides backfill, e.g. Sierra Chart. Same goes for any other non-time based charts.

Thanks for the feedback. This news is a bummer as I have already puchased NT and spent the last 3 months learning C# at a local college to get set up programing my system in Ninja Trader. Sierra charts is programmed in C++ which I have no knowledge in, Amibroker's programming language is way too arcane for me to understand. ( I don't understand why NT is unable to backfill volume charts when Quote Tracker has been reliably backfilling volulme charts from the TWS data feed for the past 10 years )

Is there a work around to backfilling volume charts for NT? What are the reliable datafeeds that provide volume backfill for NT?

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  #4 (permalink)
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IB does not provide historical tick data. If you want historical tick data, you have to use any of our supported brokerage or market data providers that support historical tick data. Many of our IB customers will supplement their data with service from Kinetick.

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  #5 (permalink)
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NinjaTrader View Post
IB does not provide historical tick data. If you want historical tick data, you have to use any of our supported brokerage or market data providers that support historical tick data. Many of our IB customers will supplement their data with service from Kinetick.

One could argue that IB does not provide any tick data. Not even real-time tick data. They provide their own version of data, not the real thing...

Bottom line, if data is important, don't use IB. If you use tick data, don't use IB. If you are only using minute or daily bars and you don't need good solid historical data then IB would be acceptable.

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  #6 (permalink)
las vegas
 
Experience: Intermediate
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olevkat View Post
Thanks for the feedback. This news is a bummer as I have already puchased NT and spent the last 3 months learning C# at a local college to get set up programing my system in Ninja Trader. Sierra charts is programmed in C++ which I have no knowledge in, Amibroker's programming language is way too arcane for me to understand. ( I don't understand why NT is unable to backfill volume charts when Quote Tracker has been reliably backfilling volulme charts from the TWS data feed for the past 10 years )

Is there a work around to backfilling volume charts for NT? What are the reliable datafeeds that provide volume backfill for NT?

Then I would stick with NT and get a different broker or a separate data feed. Velocity is a good cheap broker, but again no historical data feed. Mirus and I believe Optimus have good historical data, but this is reflected in higher commissions. So, I would figure how many contracts you plan on trading per month and compare the difference in commissions to the cost of the data feed. Most people on this site seem to think IQ Feed is the best data feed.

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  #7 (permalink)
Thailand
 
Experience: Intermediate
Platform: IB TWS
Trading: ES
 
Posts: 27 since Jun 2011
Thanks: 17 given, 12 received

This is a great forum, thank you for the replies. Given that Ensign charts and Quote Tracker charting both are able to parse and save TWS historical volume data, it surprises me that higher end platforms are unable to replicate this action. Is Sierra Charts ( tried it 5 years ago, didn't like its complexity) the only other platform that is able to hack TWS data into volume charts?

I prefer not to change brokers, I like the ability to trade various futures markets on IB and am in the process of designing a TWS -Excel based trade entry (money/risk management) system. And adding another data feed is another layer of complexity which I have to troubleshoot later and prefer not to add at this time.

I primarily trade the globex e-mini's and lately the market has changed to where many of the good entry signals are in the overnight session. The system is robust enough to where I don't require the platform to parse tick data, neither do I need back testing, nor any automated entries . A loud blarring alarm at the appropriate trade signal should suffice so I can wake up and put in the trade. I wanted to use Ninja Trader to automate the signal generation.

It appears Ninja Trader is able to parse the TWS feed into real time volume charts, but this volume bar data is lost when I save and re-open the workspace. I get historical volume bars when I try NT replay feature, but that volume data is also lost when I close the workspace. Appears to be a bug in NT.

I plan to evaluate Openquant (C#) and MultiCharts ( takes C# dll) before trying out the new version of Sierra Charts (C++). Amibroker is another option but it has its own non-standard language (want to stick with a .NET compliant platform).

I appreciate all the comments and feedback.

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  #8 (permalink)
Italy - Roma
 
Experience: Intermediate
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Years passed and NT still not capable of backfilling IB volume charts.
Since other platforms can do that, I assume that this is due to NT marketing policy: they want to push kinetick.

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  #9 (permalink)
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jagui View Post
Years passed and NT still not capable of backfilling IB volume charts.
Since other platforms can do that, I assume that this is due to NT marketing policy: they want to push kinetick.

It is IB that doesn't have the data in the first place to provide to the platform...

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  #10 (permalink)
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jagui View Post
Years passed and NT still not capable of backfilling IB volume charts.
Since other platforms can do that, I assume that this is due to NT marketing policy: they want to push kinetick.

You never want to use IB data for any tick based data (tick, volume, range, renko, etc) type charts. It is inaccurate, plus their backfill restrictions are archaic.

More here:


Mike

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October 22, 2013


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