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Ninja and Interactive Brokers
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Created: by dale1670 Attachments:2

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Ninja and Interactive Brokers

  #11 (permalink)
Elite Member
Nepean, ON
 
Futures Experience: Advanced
Platform: Ninjatrader
Broker/Data: interactive brokers
Favorite Futures: es
 
Posts: 25 since Sep 2009
Thanks: 30 given, 4 received


Jaap8242 View Post
Hi Dale,
I use NinjaTrader(Simulation Version) with IB account. For orders, I use Bracket Trader.
Bracket Trader uses the feed of IB and it works perfect. You can download a version for free , which can handle 1 or 2 instruments.

Jaap

Thanks for the info, I will look into it this weekend and see. Have you had any issues I should be aware of?

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  #12 (permalink)
Just starting out...
USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
 
Posts: 5 since Jun 2009
Thanks: 0 given, 0 received

Filtered Data

I had been using IB for futures trading and found that trading during news times was difficult because IB filters their data. I called and asked detailed questions and sure enough they admitted they filter their data and said they are not best for trading around the news events. They are fine for all other trading if you don't require tick by tick data. In fairness it is nice to trade stock options and futures all from one account, but i opened a new acct for futures trades because of the filtered data. Additionally futures only brokers offer better commissions than IB, they are very high relative to other brokers who offer a better data feed.

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  #13 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
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Posts: 9,652 since Mar 2010
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Range charts with Interactive Brokers



record100 View Post
I am trying to use range bars using IB. What exacly will be wrong with the charts?

Range bars are built from ticks. Interactive Brokers does not have historical ticks so you won't get range bars on historical charts. You cannot backfill your charts, but need to leave your PC running 24/24.

On real-time charts Interactive Brokers has condensed ticks. As a consequence on high resolution range chart there may be missing some bars.

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  #14 (permalink)
Elite Member
Toronto, CA
 
Futures Experience: Intermediate
Platform: NT
Broker/Data: IB
Favorite Futures: YM, ES
 
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Posts: 105 since Jun 2009
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Fat Tails View Post
Range bars are built from ticks. Interactive Brokers does not have historical ticks so you won't get range bars on historical charts. You cannot backfill your charts, but need to leave your PC running 24/24.

On real-time charts Interactive Brokers has condensed ticks. As a consequence on high resolution range chart there may be missing some bars.

I have attached 2 charts. One is built using tick data from NT replay file, another historical data recorded during IB session.
There are differences. But IB chart is pretty good approximation (in this case), visually it is about 99.9% correlation?
My guess, that on average, it should not be much different which chart to trade. It could have much importance for high frequency systems, small range bars, etc., but again, dealing with uncertainty when making trading decision, it should not impact final result over the period of time when having data only as accurate as 99.9%. Sorry, it is speculation on my side, may be somebody statistically proved different.
Not having historical data from IB for range bar charts - it is a problem. May be you could advise if it is possible convert NT replay data into historical?

Attached Thumbnails
Ninja and Interactive Brokers-ym-12-11-4-range-23_09_2011-replay.jpg   Ninja and Interactive Brokers-ym-12-11-4-range-23_09_2011-historical-ib.jpg  
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  #15 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
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Posts: 9,652 since Mar 2010
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record100 View Post
I have attached 2 charts. One is built using tick data from NT replay file, another historical data recorded during IB session.
There are differences. But IB chart is pretty good approximation (in this case), visually it is about 99.9% correlation?

Can be used for trading, but it is not 99.9 % correlated. There are lots of bars missing with IB due to the condensed ticks, which are transmitted.


record100 View Post
Not having historical data from IB for range bar charts - it is a problem. May be you could advise if it is possible convert NT replay data into historical?

To save real-time data as historical go to -> Tools -> Options -> Data and select "Save chart data as historical".
If you do this with Interactive Brokers, you will get some low quality historical tick data with some holes, as you will possibly not be able to run your PC 24/24.

Better pay yourself a decent data feed.

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  #16 (permalink)
Elite Member
Netherlands
 
Futures Experience: Advanced
Platform: Sierra Charts
Broker/Data: Infinity Futures
Favorite Futures: FGBL
 
Posts: 34 since Oct 2009
Thanks: 31 given, 35 received

IB can be used 24 h a day. You must reset the log off time to an earlier time.
For example: log off time 11.50 PM, time at the moment is 11 PM, then reset to 10.30 PM.

When 11.50 PM is passed, you can reset to original setting. That has to be repeated every day, if you need data 24/7.

Jaap

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  #17 (permalink)
Elite Member
Bala, PA, USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Mirus, IB
Favorite Futures: SPY, Oil, Euro
 
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Posts: 1,858 since Jul 2010
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Fat Tails View Post
Can be used for trading, but it is not 99.9 % correlated. There are lots of bars missing with IB due to the condensed ticks, which are transmitted.



To save real-time data as historical go to -> Tools -> Options -> Data and select "Save chart data as historical".
If you do this with Interactive Brokers, you will get some low quality historical tick data with some holes, as you will possibly not be able to run your PC 24/24.

Better pay yourself a decent data feed.

Depends also on your trading method and data requrirement. I trade some ETF's with IB, and save their real time data with NT, but I don't need 24 hour data, I start trading on New York Open, and don't need much history to take scalping entries, so I start my charts around one hour before the open to get enough bars on the chart for my indicators to settle in.


Last edited by monpere; September 25th, 2011 at 12:29 PM.
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  #18 (permalink)
Elite Member
Bala, PA, USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Mirus, IB
Favorite Futures: SPY, Oil, Euro
 
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Posts: 1,858 since Jul 2010
Thanks: 300 given, 3,276 received


nobody View Post
You should be fine. Once the initial order filled, the ATM orders(stop,etc) will be placed in IB and then if there is an issue at your end, your ATM orders will still be there in IB.

Only your most recent stop and targets will be at IB. If your ATM does things like customized multi-step trail stops, volume trigger, target chase, and other advanced or customized ATM functions, those will not execute, if your PC looses connection.

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