Volume not displayed correctly for IB

[Harry]

NT 6.5. / IB problems - all of them years old

There are a few problems with NT 6.5. / Interactive Brokers that I have observed for years (since 2008) that will probably never be solved for NT 6.5.

These are the points:

NT 6.5 regularly crashes on loading data from IB ( improved with NT 7)
Volume spikes when connecting to IB (not improved with NT7 )
Daily data for a number of instruments false (not improved with NT7 )
Futures with expiry month < contract month cannot be traded through NT/IB (improved with NT 7 )

Please stop ignoring the problems or blaming Interactive Brokers. Other software does display daily data and volume correctly.

[NinjaTrader_Kyle]

Hi Harry,

Thank you for your reply.

We want to respond to all of these concerns, but do have a question regarding the volume spikes.

Can you elaborate on this issue?

I am aware of one known issue which effects volume reporting on forex instruments through IB. When loading a chart, volume will be reported as shown in image 1. After reloading, the volume will be reported as per image 2.

Is this the behavior you are referring to?

[Harry]

Hi Kyle,

thanks for answering. I am definitely not talking about FOREX, because IB does not supply historical data for FOREX volume.

I am talking about futures and stocks. The first bar after connection that is shown often shows a huge volume (easily > 100.000 contracts for futures) on a 1 min chart, so all my volume analysis and indicators become irrelevant.

I think I have elaborated in a detailed way on this bug. I have shown a number of charts in this thread. I have given hints what may have caused the bug. The spikes seem to be random -> I tried to explain the seemingly random behaviour by the fact that in some cases you do not open the chart right after connection, but at a later stage.

The same bug has already been detected by Maxlobster (August 2009), by tradiginzen and blz17 (April 2009), see threads below. There was no solution, just responses that did not deal with the problem.

http://www.ninjatrader-support2.com/vb/showthread.php?t=12592&highlight=volume+spikes

http://www.ninjatrader-support2.com/vb/showthread.php?t=15817&highlight=volume+spikes

http://www.ninjatrader-support2.com/vb/showthread.php?t=19731&highlight=volume+spikes

I have also been in contact with support regarding this issue at an earlier date. The bug is still occuring regularly. Bugs like this one can persist for a very long time, because most users won't even realize that the data is false.....

[NinjaTrader_Kyle]

Hi Harry,

Thank you for your reply and the clarification.

Of yet, we have not been able to replicate this volume spike.
Can you provide me with the specific steps that I would need to take to force this to occur?

Does this occur only on FESX or for other instruments as well?

[Harry]

Already documented for:

FESX (#1, 16, 24, 28 this thread)
ES (#9 this thread)
XLF (thread 15817, #9 documented by Blz17)
EAT(thread 19731, #1 documented by Maxlobster)
YM, FDAX, 6J, TF and ZB (just now, see charts below)

It is pretty well reproducible, these are the steps:

Connect NinjaTrader say at 9:00 AM, trade your favourite instrument, say ES, for about one or two hours. Do not open any charts for other instruments. No market analyzer.

Then at 11:00 AM, you want to check the Euro, so you open a 1 min chart for 6E. The first 1 min volume bar that closes after you opened the chart will display the total volume for the period between connection (9:00 AM) and the time stamp of this bar. So in the case described here, it will show the volume for two hours on the bar that opened after connection.

Just two remarks:

(1) To reproduce you should use a 1 min chart. If you open a 30 min chart, you will likely not even realize that the volume is false and wrongly interpret the bar as a high volume bar (this happened to me quite often).
However on a 1 min chart, the connection bar will show the same volume as on a 30 min chart, and will easily be recognized as false.

(2) The fact I observed this more with FESX can be explained. I do not trade FESX, but only open this from time to time, to discuss this with a friend. When opening the FESX I am therefore already connected during a longer time, which is necessary to show the bug.

This happens with both NT 6.5.1000.14 and NT 7.0.0.10 with TWS 900.6 and all prior versions of NT/TWS since I use NinjaTrader.

[Harry]

Fake Volume and why it is difficult to detect

Here is an example,what typically happens and why it is not easy to detect the bug.

The left chart shows a breakout supported by healthy volume. Everything looks convincing. The right chart shows the same situation after reloading data. The volume that supported the breakout was just FAKE VOLUME created by NT/TWS.

Would you have known from looking at the left chart that the volume was not real?

[NinjaTrader_Kyle]

Hi Harry,

Thank you for your reply.

I am working to replicate this on my end but have been unable to do so thus far.

I have been taking the following steps:
Connect NT 7 to IB and open a new chart. (I used ES 06-10)
After about 2 hours, I opened a chart of 6E 06-10.

Upon reloading data for all instruments, I see no changes in either chart.

This leads me to a few questions:

1.) Am I missing any step here?

2.) You mentioned specific times in post 35.
Will this occur only if I login at around 9:00 AM?

[Harry]

Hi Kyle,

thanks for answering. No, there are no specific times, but do not take times off regular hours, because volume would be low. It is not 100% reproducible.

Put on a workspace with one or two instruments. Connect and stay connected. Should be during regular hours, some volume adding up. Then after some time try opening other charts with volume indicator for various instruments from the default list. Two things are important:

Open a 1 min chart, so the volume can easily be recognized.
After opening the chart you have to wait for the first volume bar calculated from real-time to complete. For a 1 min chart this will take up to 1 minute. This bar will - from time to time - show the added volume for the connection time prior to opening the chart.

I do not know which other conditions need to be present to create this.

[Harry]

Second PC: Same problem

So this chart is from my notebook, which runs on Vista, and has a completely different setup for NT 7. Also here I get false volume spikes immediately under the same conditions.

Please find below spikes for FDAX and YM (these were the only contracts I tried) on my 5 min chart.

[Harry]

Really having this every day

It must be really easy to reproduce, I am having this every day all the time on both PCs. Here is another example for CL

First time chart opened -> volume spike

Toggling to other instrument and back -> volume correctly (hopefully) displayed

Could you reproduce?

[NinjaTrader_Kyle]

Hi Harry,

Thank you for your reply.

Unfortunately, I have not been able to reproduce this using NT 6.5 / TWS 900.6 or NT 7 / TWS 900.6.

I have tested on different instruments at different points in the day, but have not yet been able to replicate this.

Can you think of any other conditions that may need to be present?

[Harry]

IB datafeed of course. Again, I am getting this regularly with all instruments on all sorts of workspaces, even default chart with volume only. I usually have volume on in CalculateOnBarClose = false, because I am watching it intrabar. Nothing else required. Usually I have pivots on my chart.

Hi Harry,

Thank you for your reply.

Unfortunately, I have not been able to reproduce this using NT 6.5 / TWS 900.6 or NT 7 / TWS 900.6.

I have tested on different instruments at different points in the day, but have not yet been able to replicate this.

Can you think of any other conditions that may need to be present?

[NinjaTrader_Kyle]

Hi Harry,

Thank you for your reply and the additional information.

I'm going to try replicating this again with the new information provided here. (Timezone, on bar close settings, drawing objects) I will update you with my findings as soon as I have finished, likely sometime tomorrow morning.



If you think of any other conditions or settings that may need to be present, please let me know.

[jamreyes]

Still having volume issue as well

Hello,

I am still encountering the volume issue as well with NT 6.5 and NT 7. I keep all my charts open during the week to avoid the volume issues but If I see a stock that pops up on my volume rate scanner in IB TWS and pull it up on an NT chart, It shows the correct previous volume bars for a few seconds (1 min chart). Once Volume starts to increase in that 1 min period when the chart was opened, It shows all previous vol bars as less (example 200 shares instead of 20,000) as if it discards the previous bars. The current vol bar when I open the chart grows exponentially making the previous bars almost disappear. The Current volume bar does reflect the correct amount of shares or contracts traded and all the bars there after, BUT, I cannot verify volume for the previous bars before opening the chart.

Hope this helps.

[Harry]

Unfortunately these volume spikes show up on all NT versions with IB data since several years. It is always the first bar of real-time data, after historical data has been loaded.

So far nobody has really taken care of the problem.