False volume data with IB and NT 7.0.0.20 - NinjaTrader | futures io social day trading
futures io futures trading


False volume data with IB and NT 7.0.0.20
Updated: Views / Replies:3,561 / 13
Created: by Fat Tails Attachments:4

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 4  
 
Thread Tools Search this Thread
 

False volume data with IB and NT 7.0.0.20

  #1 (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

False volume data with IB and NT 7.0.0.20

NT 7.0.0.20 connected to Interactive Brokers. Below is shown the volume before and after reloading data. The problem can be either linked to Interactive Brokers or to NinjaTrader.

Does anybody use another front-end with Interactive Brokers and has found similar discrepancies? NT 7.0.0.20 with IB is competely unreliable.

How do you want to trade if you trade off such volume information?

Attached Thumbnails
False volume data with IB and NT 7.0.0.20-before-reloading.jpg   False volume data with IB and NT 7.0.0.20-after-reloading.jpg  
Reply With Quote
The following 2 users say Thank You to Fat Tails for this post:
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Elite Member
las vegas
 
Futures Experience: Intermediate
Platform: Sierra Chart
Broker/Data: Velocity/IB
Favorite Futures: 6E
 
Posts: 1,147 since Feb 2010
Thanks: 304 given, 836 received

Answer
This post has been selected as an answer to the original posters question Answer


I'm thinkin the problem is IB, I don't really know, but to me it looks like it was filtered after the fact. I don't use volume, but range bars will change after reloading as well.

Reply With Quote
 
  #4 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,352 given, 83,229 received

Answer
This post has been selected as an answer to the original posters question Answer

Perhaps a difference of what was sent over the wire real-time, vs what was stored on their historical servers.

But Fat Tails, come on, using IB and expecting good quality data feed??? These things don't go together.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #5 (permalink)
Elite Member
Toronto, Ontario
 
Futures Experience: Advanced
Platform: NinjaTrader, Multicharts
Broker/Data: IB, IQfeed
Favorite Futures: ES, CL
 
Snoop's Avatar
 
Posts: 203 since Oct 2009
Thanks: 135 given, 161 received

Answer
This post has been selected as an answer to the original posters question Answer

I used MC with IB for a couple of years, and noticed small issues related to volume, but never anything so blatantly off - seeing that kind of volume afterhours should ring an alarm bell and warrant further investigation. The issues I'd see were usually related to daily volume. But IB has always stated that volume is estimated. That being said, I was never really able to pinpoint who was at fault.

I don't trust any of my brokers for data. They're in the biz of adding clients and squeezing profits, so occasionally their growth of new clients will exceed infrastructure growth. I prefer to use a vendor that focuses on data for data, and just use the brokers for execution.

Now in the brief time I've been here, I've noticed you find needles in haystacks repeatedly. (I'm more of a "hand grenade close" kind of guy) You should really get a dedicated datafeed.

Reply With Quote
The following user says Thank You to Snoop for this post:
 
  #6 (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


Big Mike View Post
Perhaps a difference of what was sent over the wire real-time, vs what was stored on their historical servers.

But Fat Tails, come on, using IB and expecting good quality data feed??? These things don't go together.

Mike

I actually know this. So far worked well for me, but I guess I need a change.

If someone else experiences the same problem with another front end, it would be easier to dump that data feed. Otherwise, I have to check myself. Actually I think

- that the datafeed is bad
- and that NinjaTrader adds additional errors

At least there is possibility that the two errors cancel out *).






*) I always keep my losing positions as long as possible.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
  #7 (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


Snoop View Post
I used MC with IB for a couple of years, and noticed small issues related to volume, but never anything so blatantly off - seeing that kind of volume afterhours should ring an alarm bell and warrant further investigation. The issues I'd see were usually related to daily volume. But IB has always stated that volume is estimated. That being said, I was never really able to pinpoint who was at fault.

I don't trust any of my brokers for data. They're in the biz of adding clients and squeezing profits, so occasionally their growth of new clients will exceed infrastructure growth. I prefer to use a vendor that focuses on data for data, and just use the brokers for execution.

Now in the brief time I've been here, I've noticed you find needles in haystacks repeatedly. (I'm more of a "hand grenade close" kind of guy) You should really get a dedicated datafeed.


Needles in haystacks

Looks more like an entire cow, which is sitting in that haystack. Do not how she managed to get there, maybe she just kept her position thinking that it was finally not so bad that the haystack moved over to her.

Reply With Quote
 
  #8 (permalink)
Elite Member
Toronto, Ontario
 
Futures Experience: Advanced
Platform: NinjaTrader, Multicharts
Broker/Data: IB, IQfeed
Favorite Futures: ES, CL
 
Snoop's Avatar
 
Posts: 203 since Oct 2009
Thanks: 135 given, 161 received

LOL! I used to work for a company developing autotrading programs: developers would refer to problems as bugs, and I would respond, "It's infested with cucarachas!!!"

Reply With Quote
 
  #9 (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

In the meantime I have tested the volume data displayed by NinjaTrader/IB against the volume data displayed by Amibroker/IB.

Result: It was exactly the same crap. The culprit is therefore Interactive Brokers, as the API does not transmit clean volume data. It was not a NinjaTrader problem.

I would still be happy if anybody can send a screenshot with MultiChart/IB real-time volume data for ES.

Attached Thumbnails
False volume data with IB and NT 7.0.0.20-ninjatrader.jpg   False volume data with IB and NT 7.0.0.20-amibroker.png  
Reply With Quote
 
  #10 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB/Kinetick
Favorite Futures: Futures
 
sam028's Avatar
 
Posts: 3,366 since Jun 2009
Thanks: 3,573 given, 3,982 received

Answer
This post has been selected as an answer to the original posters question Answer


From the TWS itself:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


The IB API is the same for everybody: here it's an reqHistoricalData(), and the data stored on IB server, so, no surprises expected I think.


Success requires no deodorant! (Sun Tzu)
Reply With Quote

Reply



futures io > > > > False volume data with IB and NT 7.0.0.20

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
NT Providing Bad Price & Volume Data in OnMarketData!!! RJay NinjaTrader Programming 18 June 5th, 2017 10:53 AM
IB NYSE advancing and decling volume jstnbrg Reviews of Brokers and Data Feeds 8 May 27th, 2014 08:24 PM
IB data... How to recuperate the missing data ? arjfca Reviews of Brokers and Data Feeds 3 November 16th, 2010 07:35 AM
NT to IB siscop NinjaTrader Programming 2 September 14th, 2009 06:47 PM
IB tool data download (for NT) siscop NinjaTrader 4 September 9th, 2009 04:19 AM


All times are GMT -4. The time now is 08:53 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-13 in 0.15 seconds with 38 queries on phoenix via your IP 54.160.245.121