eSignal adapter - $TVOL and $TVOLQ

[terryt]

In NT7 do you anticipate supporting the eSignal symbols $TVOL and $TVOLQ ?

I got $TVOLQ to work on a 1 tick chart the other day but time charts showed problems.

I tried $TVOL today by adding it as the eSignal symbol for the ^TVOL instrument definition. I get an error message saying that the eSignal adapter does not support $TVOL.

[NinjaTrader_JoshP]

terryt,

Thank you for the suggestion. This is currently an eSignal API limitation unfortunately.

[terryt]

thanks Josh.

Is the limitation in:
a) eSignal data manager?
b) eSignal adapter?
c) or NT7's interpretation of the data?

Does NT7 support the equivalent symbols to $TVOLQ and $TVOL on some other data feed? If so which feeds?

I suppose I can change feeds to get access to index volume data.

[NinjaTrader_JoshP]

terryt,

It is an API adapter limitation. Development has informed me it has been this way for years.

Unfortunately I do not know what other feeds may or may not offer it. You could try looking around for any of the equity providers and try asking inquiring them directly.

[terryt]

Josh:

Somehow, I need to convince an NT indicator to access the volume of at least the NYSE and the NASDAQ composite averages.

As you suggested, I checked with a few other equity data vendors.
Below are the symbol pairs reported by them to indicate the price and volume of some major US indices.


IQFeed Index Symbols
--------------------------
total volumes are from DTN MarketStats

Price Total Volume Description
COMPX.X VIQT.Z Nasdaq Composite
NYA.X VINT.Z NYSE Composite
SPX.XO VI6T.Z SP500
INDU.X VI1T.Z DJ Industrial Av
RUT.XO VIRT.Z Russell 2000


IB Index Symbols
--------------------
total volumes are from the exchanges

Price Total Volume Description
COMP VOL-NASD Nasdaq Composite
NYA VOL-NYSE NYSE Composite
SPX none SP500
INDU none DJ Industrial Av
RUT none Russell 2000


eSignal Index Symbols
--------------------------
total volumes are from the exchanges

Price Total Volume Description
$COMPQ $TVOLQ Nasdaq Composite
$NYA $TVOL NYSE Composite
$SPX none SP500
$INDU none DJ Industrial Av
$RUT none Russell 2000


Does NT7 work with the "index total volume" symbols from either IQFeed or IB ?

If not, whom might I contact at eSignal to request that they support $TVOLQ and $TVOL in their NT7 eSignal adapter?

Thanks,
-Terry-

[NinjaTrader_JoshP]

Terry,

We are unaware of instrument specific limitations for those other feeds.

[terryt]

If you have easy access to the feeds,

Would you mind checking whether VIQT.Z works for you using IQFeed?
And VOL-NASD with an IB feed?

A 60minute chart of these data series over a number of days should plot something like the attached chart.

[NinjaTrader_Ray]

We will check into this Monday.

[NinjaTrader_Bertrand]

terryt, checked on our IB and IQFeed connections - getting data displayed for both symbol mappings you listed - would the chart you show be your expected outcome here?

Thanks

[terryt]

Bertrand:

Thank you so much for checking those two nasdaq volume symbols.

My current feed is eSignal and its nasdaq volume symbol, $TVOLQ, sometimes works with 1Tick charts.

My need is to access index volume data on minute, daily and weekly charts.
I assume that I'll have to write an indicator(s) to do it.

The chart I posted would be an expected outcome for a minute chart.
Some sort of a ramp up with a gap down at the beginning of each session seems to be the data that they send. If the feed does not report a zero volume at the beginning of each session, I see no reason for the chart to start from zero.

My expectation of the series is only because that is what the symbols seem to transmit. If data from that type of symbol behaved like normal volume data (incremental instead of accumulated) that would be fine as well.

On Daily and Weekly series I would hope to see the total volume accumulated that day and that week. (Like a normal incremental volume chart.)

If NT gets something in reliably and I know what to expect, then I can try to deal with it. Whatever it is.

Thanks,
Terry

[NinjaTrader_Bertrand]

Terry, perhaps it would be best to check with the data providers directly what to expect for those symbols you picked.

For me tick / time charts of those symbols are accumulated for example throughout the session with IQFeed (comparing 10 tick and 1 min).

[terryt]

What you are seeing may be correct.

Is the cumulative behavior described below what you saw?

During a session every few seconds a value (total volume) is transmitted. That value is the same or larger than the prior tick of that session. I saw this behavior in a 1T chart of $TVOLQ.

On a 10 tick or 1 minute chart the low and open of a bar would be the equal. The high and close would also match each other. The difference between the high and the low would be volume that transpired during that bar.


When I talk to the consumer support staff of the data providers, so far they balk on any question about the symbols beyond the symbol name, text description and source exchange.
The text description of symbols say "total volume".
They say to just try it.

In looking around the net a bit. A few of the other charting vendors do have support for this type of symbol. I got more confirmation of what the symbols do from a posting by a tradestation user and the ensign support site than the data vendors.

[terryt]

I tried the eSignal $TVOLQ symbol again today to send an image of what I had seen.

Now, the misbehavior is showing up in a 1 tick chart as well.

The ramp up of the tick values is expected, since the total volume increases all day.

The problem is that the volume being reported does not gap down on the first tick of the session. For a variable period of time there can be a value similar to the prior day's volume being reported before todays volume kicks in.

So the question is whether the data comes from the data vendor this way or whether it is an artifact of NT?

To reproduce:

Create a 1T 24 hr session data series of the instrument VOLQ.
I loaded 15 days of data.
A new tick seems to arrive about every 30 seconds.

VOLQ was defined in the instrument manager as:
type: stock
tick size: 10
session: US Equities RTH
exchanges: default and nasdaq
symbol map: ESignal, $TVOLQ

-Terry-

[terryt]

Hmm.

To help check on the data handling question I downloaded an ensign demo and checked the symbol $TVOLQ using my eSignal connection.

$TVOLQ does seem to represent the total volume of the NASDAQ as it accumulates during the day. Over the last few days ensign did not have any problem with tick data errors near the session open. There are times when the total volume appears to decrease. 15 and 60 minute charts look clean and as expected. None of the charts start a session at zero volume. The daily charts are broken.

So it would appear to me that something may be messing up data when crossing session boundaries on NT7b9.

-Terry-

[NinjaTrader_JoshP]

Terry,

We'll get back to you at a later point in time. Thank you.