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False volume data with IB and NT 7.0.0.20


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False volume data with IB and NT 7.0.0.20

  #1 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
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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?

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  #3 (permalink)
 vegasfoster 
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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.

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  #4 (permalink)
 
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 Big Mike 
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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

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  #5 (permalink)
 
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 Snoop 
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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.

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  #6 (permalink)
 
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 Fat Tails 
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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.

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  #7 (permalink)
 
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 Fat Tails 
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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.

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  #8 (permalink)
 
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 Snoop 
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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!!!"

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  #9 (permalink)
 
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 Fat Tails 
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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.

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  #10 (permalink)
 
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 sam028 
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From the TWS itself:
[img]https://nexusfi.com/v/66y85r.png[/img]

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.


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Last Updated on September 9, 2010


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