Volume not displayed correctly for IB

[Harry]

Again volume spike - 20,000 contracts

NT 6.5.1000.14 / TWS 900.6 : Just connected to IB and opened a chart for FESX. Than added my volume indicator. You can see the volume spike at 19:07 showing 20,000 contracts when I connected.

There is nothing that can be concluded from the trace file, see excerpt:

2010-02-23 19:06:37:062 (Interactive Brokers) Data.Bars.GetBarsNow: instrument='FESX 03-10' from='2010-02-22' to='2010-02-23' sessionBegin='00:00:00' sessionEnd='00:00:00' excludeWeekend=False period=1 Min splitAdjusted=False dividendAdjusted=False bars=0
2010-02-23 19:06:37:078 (Interactive Brokers) IB.HistoricalDataRequest.Send: last=23.02.2010 instrument='FESX 03-10' from='2010-02-22' to='2010-02-23' sessionBegin='00:00:00' sessionEnd='00:00:00' excludeWeekend=False period=1 Min splitAdjusted=False dividendAdjusted=False bars=0
2010-02-23 19:06:37:078 (Interactive Brokers) IB.HistoricalDataRequest.Send: request='ESTX50;FUT;201003;0;;;DTB;;EUR;;;1 min;5 D;0;TRADES'
2010-02-23 19:06:37:875 (Interactive Brokers) IB.HistoricalDataRequest.Process: itemCount=4067 instrument='FESX 03-10' from='2010-02-22' to='2010-02-23' sessionBegin='00:00:00' sessionEnd='00:00:00' excludeWeekend=False period=1 Min splitAdjusted=False dividendAdjusted=False bars=0

This simply does not work. I can reload the data, and with a bit of luck the spike goes away.

[NinjaTrader_Kyle]

Hi Harry,

Thank you for your reply.

Please follow up with me by sending a note to Support [AT] NinjaTrader [DOT] com.

In the message, please include the following:

1.) A link to this forum thread.

2.) Your trace file from today's date.
You will find that file here: My Documents > NinjaTrader 6.5 > Trace > trace.20100222.txt

3.) An image of this chart with the standard VOL indicator applied as well.

[Harry]

One hint

Kyle, my trace file also shows transactions, so I am not going to send this one today, but I can give you a hint, how the volume spikes occur:

I connected to Interactive Brokers at 18:34. My usual workspace only contains charts of ES. At 19:07 I opened a chart for FESX and put the volume indicator on it. The volume shown for 19:07 actually looks like the added volume between the time of connection and the time when I opened the chart.

To verify, I added up all the volume from 18:35 to 19:07 and got 20,311 contracts. This is about what the chart shows.

I will try to reproduce and send you a clean trace file then.

Hi Harry,

Thank you for your reply.

Please follow up with me by sending a note to Support [AT] NinjaTrader [DOT] com.

In the message, please include the following:

1.) A link to this forum thread.

2.) Your trace file from today's date.
You will find that file here: My Documents > NinjaTrader 6.5 > Trace > trace.20100222.txt

3.) An image of this chart with the standard VOL indicator applied as well.

[brant]

Hi Kyle,

Attached are several images of the MOAD problem -- for EURUSD and USDCHF.

It does not happen with stocks (I checked with Alcoa only -- perhaps I should try one or two more stocks..).

This happens only with MOAD but the only other thing I coded was a Simple Moving Average line of MACD histogram and that works fine.
I will code another indicator in the next couple days and report back.

Thank again for trying to help us.

[NinjaTrader_Kyle]

Hi brant,

Thank you for your reply.

I just received your email. I will follow up with you there.

[brant]

Hi Kyle,

I read some more forum posts and it became clear that the supposed "volume" information coming from IB for Forex is not something I should rely on... It is probably not fundamentally sound because forex "volume" numbers would be totally different across the different data providers. So using ADL for forex seems to be a bad idea. (I don't know why it seems to work for historical data?) So, I will look elsewhere for indicators.

the NinjaTrader built-in indicator ADL exhibits the same behavior as MOAD (naturally) when looking at forex charts...

Thanks for your attention. I guess I'd be curious about your opinion on why ADL seems to work for historical forex data from IB?

Sincerely,
Brant

[Harry]

Hi brant,

Just to be clear. IB does not have any volume information for historical data on FOREX. In this case, NT sets all volume bars to 1. This avoids a division of zero problem for indicators that are badly coded and use volume.

Some indicators will still work on this, for example a volume weighted moving average will just become a simple moving average. Whatever you do, it is nonsense.

Of course there is a spike for EURUSD when connecting to IB. This is expected as prior value for historical data is 1, upon connection you get what ever is supplied by IB via real-time data. So nothing wrong here.

My problem for FESX was quite different, the spike occured - not because FESX was set to 1 prior to opening the chart, but because the volume reported for this bar was too high.

So by telling us your problem is the same, you just created some confusion here, but I do not mind.

[brant]

You are right Harry,

I am sorry I barged-in without understanding the difference between the two problems... It seemed similar to me at the time, but you are right that it turned out to be different.

Thanks for your clarification about IB data.

Brant

[Harry]

545000 contracts per minute

Opened a default 1 min chart for FESX. Added NT volume indicator. For about a second, volume was displayed correctly. Then it jumped up and remained as shown on the chart below.

I checked the tracefile, there is absolutely nothing that can be seen!

[NinjaTrader_Kyle]

Hi Harry,

Thank you for your reply.

As I mentioned previously, please follow up with me by sending a note to Support [AT] NinjaTrader [DOT] com.

In the message, please include the following:

1.) A link to this forum thread.

2.) Your trace file from today's date.
You will find that file here: My Documents > NinjaTrader 6.5 > Trace > trace.20100222.txt

[grav_rat]

Not to throw fuel on the flame but I have the same occurance using Barchart equity data. On reload historical data the vol is corrected. But because I heavily rely on Vol it's a bit of a problem.

Also it shouldn't be hard to reproduce as it happens about 20 times a day, just hook into the data it'll show up.

[NinjaTrader_Jason]

Hello grav_rat,

Unfortunately this is as expected, see the following forum thread for more information regarding BarChart and volume data.

http://www.ninjatrader-support2.com/vb/showthread.php?t=18670&highlight=BarChart+volume+historical

[Harry]

118000 contracts in 3 min

Hi Kyle,

sorry, that I could not answer this earlier, as this does not occur regularly - or maybe I do not notice this always. Today it occured again, this time with NinjaTrader 7.0.0.10 - so it is a problem that occurs with both versions of NinjaTrader, NT 6.5. and NT 7.

See screenshot below. Will send you tracefile NT 7 of today ASAP.

Harry

Hi Harry,

Thank you for your reply.

As I mentioned previously, please follow up with me by sending a note to Support [AT] NinjaTrader [DOT] com.

In the message, please include the following:

1.) A link to this forum thread.

2.) Your trace file from today's date.
You will find that file here: My Documents > NinjaTrader 6.5 > Trace > trace.20100222.txt

[jamreyes]

Same Issue

I am encountering the same issue but with Stocks as well as futures. From what I see, it is displaying incorrect amount of vol before the regular volume spikes. for instance is shows 100 shares traded until approx 10:40 EST then displays the regular vol.

Attached are some charts...

In addition, already sent my note to [email protected]

[NinjaTrader_Kyle]

Hello jamreyes,

Thank you for your post and welcome to the NinjaTrader support forum!

We will follow up to your email inquiry shortly.