Volume not displayed correctly for IB

[Harry]

The data edited with the data base is historical data that was downloaded from IB, when I connected the chart.

The spike occurs at the moment, when the chart is opened. I wanted to show that the spike volume is the added volume between connection and opening of the chart. NT does not invent the volume, but somehow shows the total cumulated volume between point A (start NinjaTrader/connection) and point B (open FESX chart and download historical data for FESX).

The excel sheet shows that the sum of this volume indeed is equivalent to the volume spike. I have observed this already a hundred times and communicated this several times via this forum and directly to support.

I do not know why, at the moment of the opening of a chart, NinjaTrader displays the cumulated volume for the connection time prior to opening this chart instead of the volume of the first bar.

>> Have never checked the option "Save as Historical Data"
Great, so the NT internal data recording can't be the issue.

Not sure what the Excel sheet should tell me. I would not find any spike there.

[NinjaTrader_JoshP]

Harry,

We are looking into something which may be related. Thanks.

[Harry]

This is issue is not 100% reproducible, but it is frequent.

Harry,

We are looking into something which may be related. Thanks.

[Harry]

False volume every day

Have it every day. Here comes ES with false volume. Reason, I first traded 6E, and only later opened the ES chart. The spike occurs at the moment, when historical backfill for ES is first loaded.

Did only realize it, when I switched to a 1 minute chart. Reloading historical data solves the problem, as the (real-time data) spike is replaced with correct historical data.

By the way all version of NT (NT 6.0., NT 6.5. and NT 7.0) create these spikes, see various from various NT users starting from 2008. May be related to the interface with TWS.

[Harry]

Bug waiting for its second anniversary....

Volume spike bug still not solved.

Here an example, this time with Kinetick feed.

Chart one shows FDAX producing a spike.

Chart two shows FDAX after reloading all historical data. The spike has disappeared.

I have given a detailed description that these spikes occur

- once you are longer connected
- then open a chart for an instrument the first time for that day
- that this triggers loading of historical data (as expected)
- that the first real-time data bar completed after opening the chart shows the volume cumulated over the prior connection time

New finding: This also happened with Kinetick feed, now.

The problem is at least one and a half years old, and I have communicated this regularly. It applies to NT 6.5. as well.

[NinjaTrader_JoshP]

Thanks. We are looking into it and are still investigating. We will get back to you with our findings.

[Harry]

Thank you, Josh.

Thanks. We are looking into it and are still investigating. We will get back to you with our findings.

[NinjaTrader_JoshP]

Harry,

Unfortunately I am still having no luck. Do you have the instrument in question open anywhere else on your workspace? Maybe it is in the Control Center instrument? Maybe it is on a DOM or Market Analyzer somewhere?

I am trying this off of no historical data for any instrument. Are you doing so off preexisting historical data?

1. No historical data for FDAX 09-10
2. Connect Kinetick
3. Instrument on Control Center is not FDAX 09-10, do not have FDAX being accessed anywhere
4. Come back 30 minutes later, open 1min FDAX 09-10 chart with no chart template
5. Add VOL indicator
6. No spike detected. Reload historical data --> still looks the same as seen in attached screenshot

I tried this also with AAPL and having AAPL in the Control Center as the selected instrument while waiting to open a chart. No luck with those steps either.

[Harry]

Hi Josh,

thanks for your answer. first of all this is not reproducible 100%, it occurs from time to time, but not always. When it happend, usually

(1) there is my standard workspace with 3 intraday and 1 daily chart of ES and a tick chart, no other instruments in an open workspace
(2) after some hours I open a new chart with another instrument, which I had not opened so far during the day
(3) this triggers the loading of historical data (usually for a period starting yesterday and ending at the moment when the chart is opened)
(4) the first bar of real-time data which closes after the opening of the chart (if it a 1 min chart, this could be about 30 seconds after the opening of the chart) shows a spike volume
(5) the volume that appears is the same on a 30 min or on a 1 min chart, so it easiest to identify on a 1 min chart. So please use 1 min charts to reproduce.

Note: I do have a closed (100% sure) workspace with a market analyzer, which does screen all these instruments, when open. But if a closed workspace is really fully inactive, this cannot cause the problem. Sometimes I had the impression that closed workspaces triggered some hidden activity, if this is the case, the closed workspace could cause the behaviour.

[NinjaTrader_JoshP]

Thanks. I will continue to try tomorrow. Closed workspaces would not trigger any hidden activity as it is not running.

[Harry]

I have had this a hundred times, when connected to IB and so far only once with Kinetick. So the empirical evidence that this regularly happens with Kinetick is still weak. I would not exclude that the Kinetick case had a different cause, although it was exactly the same problem of high volume for the first real-time data bar, after historical data had been loaded. The empirical evidence for Interactive Brokers is very strong, I am talking about hundreds of cases over two years for both NT 6.5 and NT 7.0

Thanks. I will continue to try tomorrow. Closed workspaces would not trigger any hidden activity as it is not running.

[NinjaTrader_JoshP]

Harry,

I am not disputing the fact that it has been seen multiple times. Unfortunately I am still unable to see it on my end here and without being able to isolate a case out just yet we are unable to analyze and address the issue at the moment. This will remain on our list as pending and we will continue to attempt isolating.

[Harry]

Hi Josh,

with my last post I only wanted to say that it happens with Interactive Brokers (not sure for Kinetick, yet !), so it could also be that the origin of the false volume is the API, not sure whether it is an API or NT problem, as both would be technically possible. So to reproduce, it is better to try with Interactive Brokers as a source for historical and real time data.

Harry,

I am not disputing the fact that it has been seen multiple times. Unfortunately I am still unable to see it on my end here and without being able to isolate a case out just yet we are unable to analyze and address the issue at the moment. This will remain on our list as pending and we will continue to attempt isolating.

[macrylinda1]

I have had this a hundred times, when connected to IB and so far only once with Kinetick. So the empirical evidence that this regularly happens with Kinetick is still weak. I would not exclude that the Kinetick case had a different cause, although it was exactly the same problem of high volume for the first real-time data bar, after historical data had been loaded. The empirical evidence for Interactive Brokers is very strong, I am talking about hundreds of cases over two years for both NT 6.5 and NT 7.0

Thanks. I will continue to try tomorrow. Closed workspaces would not trigger any hidden activity as it is not running.

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[Harry]

Nt 7.0.0.19 with TWS 906.9

Made a test today. Was connected to Kinetick EOD first (this point has no importnance) and Interactive Brokers. Used NT for trading. 6E and TF.

After I had been connected for several hours, I made a test for false volume bars. I tested all futures instruments in my default list. So I opened a 1 min chart of TF and added my better volume indicator (the default volume indicator of NT produces the same result).

Then I toggled through all instuments on my default list via the upper left corner of the chart.

No volume spikes observed: BC, CL, FDAX.

Volume spikes observed (see charts below): 6A, 6B, 6C, 6E, 6J, 6S, DX, FESX, ES, NQ, YM, ZB, ZN.

So if you open a NT chart after being connected for some time, you get those volume spikes. Easy to detect on a 1 min chart.

This problem is now several years old and occurs with all versions of NT and TWS.