Lastprice stays fixed on real-time datastream.

[ModularMix]

NinjaTrader Beta 7.0.0.8 64 Bit
Windows 7 Home Premium 64 Bit
IB TWS 900.6 datafeed
IB TWS 900.6 Broker

Applies to priceqoutes for Xetra, Sbf and Aeb stocks.

When real-time pricedata is streaming for a stock, this can result in an situation where the last price stays fixed to an certain value on each new sale/trade. This situation can last endless. I have no clue what the cause of this behaviour is. Based upon my own observations i can make the argument that this situation can be forced when the stock trades on an increasing volume.
Yesterday i witnessed this on three stocks traded at the Xetra Exchange, IFX (Infineon Tech. AG), DCX (Daimler AG) and DBK (Deutsche Bank AG)

For two i provided screenshots:
DBK at Xetra, i loaded the chart and the last price makes a jump higher (55 cents), immediately prints 46,145, you can see on the TWS and NT Orderbook that this value is odd. The T&S from NT updates each new trade at time with a fixed price; you can see on the TWS T&S these prices also are odd.
IFX at Xetra, loaded the chart and after 2 minutes the last price suddenly fixated at 4,215.

I have this issue with NinjaTrader 7.0.0.8 , 7.0.0.7 and possible earlierer releases.

[ModularMix]

At this moment I am watching DBK at Xetra.
A few minutes before the U.S. Jan. Nonfarm payrolls were released, at 08.30 AM Eastern Time volume came in the stock, the trades in the T&S window increased and the lastprice on the trades fixed again. For 30 minutes now each trade in the T&S window prints the same price at 44,000.

[NinjaTrader_JoshP]

ModularMix,

Can you please attach your workspace? Do you have any additional information as to reproducible scenarios when this occurs?

[ModularMix]

Hello Josh i attached a workspace divided over my two monitors. The resolution is high enough to zoom in on detail when downloaded in a picture viewer.

The active instrument on the two charts in the workspace is ALU (Alcatel-Lucent) at the Sbf exchange. At the time i made the screenshot of my workspace the lastprice of ALU fixated. As you can see the T&S, Orderbook and the Market Analyzer show the LastPrice 2,419 which is not correct. You can see the price move to 2,419 on the 10min chart.

The only additional information for reproducible scenarios when this occurs i can give, is that increasing trading volume for a stock could have something have to do with it.
I witnessed that sometimes the LastPrice leaves the fixed fase and prints the actual prices after wich it returns again to a fixed price.

I did a quick checked on a few stocks this noon, the following started soon after i loaded them to show the issue. So maybe you could use these to verify on your end. The IFX stock by my expierence is most showing the behaviour.

BNP at Sbf
ALU at Sbf
ING at Aeb
IFX at Xetra
DCX at Xetra
BMW at Xetra
DBK at Xetra








Steps i took to verify if i did something on my end that can cause this:

• sync my systemclock every hour.
• checked if a change of the Tick Size setting for the stock in the instrument manager could make any difference.
• deactivated any active indicators.
• checked if NinjaTrader has resource issues in the Windows Task Manager, looks all normal to me.
• tested an identical setup of NinjaTrader on a different pc.

I do not claim this is a bug, it could be. Maybe I do something wrong.
I hope you can look into this problem, I can give access to a papertrading account for Interactive Brokers.

[NinjaTrader_Bertrand]

Hi ModularMix - thanks for the detailed reply, I would like to take up your offer to test this on your IB paper account with the needed data permissions set - it would be great if you could contact me with the needed info at support at ninjatrader dot com Attn Bertrand.

Thanks

[NinjaTrader_Bertrand]

Thanks for providing the credentials to test ModularMix - I saw some issues testing here on my end - which ticksize were you using when testing for example IFX?

[ModularMix]

For the reported stocks including IFX I use the following ticksize:

• IFX 0,001
• ALU 0,001
• DBK 0,005
• DCX 0,005
• BMW 0,005
• ING 0,001
• BNP 0,005

These are the default ticksizes used for them at Xetra, Aeb, Sbf.

At a side note, i did some testing this morning on stocks mentioned above between 10:30 AM and 11:30 AM. I loaded them individual in a chart and observed the last price for 3 minutes. Only IFX started to fixate after one minute. I noticed that the amount of trades increased in the T&S (wich speeded up) when IFX did that. That was around 10:47 AM.
All others did print the LastPrice accurate.
I guess testing after start and before close of the trading, increases the likeliness of the issue.

ModularMix

[NinjaTrader_Bertrand]

ModularMix, those seem to work well for us when using them with the 'default' exchange on the chart. So far have not seen them getting 'stuck' - but will keep an eye on with TS and charts.

[ModularMix]

Bertrand, sorry for my delayed reaction. I did a complete reinstall of NinjaTrader last friday, then i changed the tick-size for all relevant stocks to 0,01 instead of 0,001 and 0,005. I made sure i used the default exchanges.
From 9:00 AM till around 17:15 AM, I had no problems at all. In the final minutes before the close IFX stoped updating the lastprice. That was the only occurence that day.

Regarding your own observations, in your reply of 02-09-2010 02:40 PM you wrote that you saw some issues testing on your end. Do these correspond to my descriptions of the problem?

I found an post on the forum from 2009, with some similarity to my issue. Seemed at that time an ongoing issue, development still investigating.

http://www.ninjatrader-support2.com/vb/showthread.php?t=16637

Thanks for taking the time to look into.

[NinjaTrader_Bertrand]

Thanks for the detailed reply ModularMix, I see not see issues using the 'default' for the symbols you mentioned, whe I was testing this I did see a 'stuck' last for IFX, but this corresponded to what I saw simulataneously in the TWS, so it might be worth to contact IB on this directly. Will keep an eye on it, but so far no pattern I'm seeing here. Thanks