False Price Spikes Occuring with IB FOREX

[Harry]

NT 7.0.1000.1 connected to Interactive Brokers:

When opening a chart with a FOREX instrument, NinjaTrader occasionally shows false spikes for the last bar.

I have already reported a similar issue for volume spikes which appear for all instruments. Now, for FOREX instruments there are also price spikes.

The spike can be eliminated by reloading the chart data. The examples below show the chart when the instrument was first loaded and then the correct chart after reloading.

[NinjaTrader_JoshP]

As we have concluded before in working with you, volume spikes is simply nothing that can be addressed by NT.

As for price spikes, please open up a T&S window for the instrument before opening a chart. Then open up a chart and see if you see the spike. If you do, what do you see in the T&S window? Any weird priced data event showing up in there?

[Harry]

Hi Josh,

Times and Sales is correct.

Just the chart shows the spike, see below.

[NinjaTrader_JoshP]

What are the timestamps of the last two bars? Are you trying to highlight a spike on the second to last bar or was that the last bar at that point in time?

What I am trying to get at is if that is historical data or real-time data. Your T&S print outs are of data which belongs to which bar?

[Harry]

Additional Observation

If I look at one precise example here:

NinjaTrader shows a false spike for the 18:23 bar (see chart). Now if I check the historical data base, I find that the historical data shows the correct low of 0.9893, while NinjaTrader shows a low of 0.9890.

Actually the spike is added by NinjaTrader about 1 second after the historical bar is loaded and correctly displayed. This means that NinjaTrader has created a false hybrid bar from historical data and something else, which is not contained on the Times and Sales.

This false historical bar - as opposed to the correct real-time bars that follow - will remain on the chart, unless I reload the historical data for the day.

The bar I am talking about is the last bar, which is a hybrid bar.

[Harry]

Example and Description

Here is the precise description of what happened for $GBPUSD

- Chart for GBP opened at 18:33:15
- The current last bar is the 18:34 bar, which is still incomplete.
- The high of the bar is now 1.5486
- Checking historical data base shows that incomplete data for the 18:34 bar was loaded with a high of 1.5486
- At 18:33:17 the spike builds with a new high of 1.54915 and jumps back immediately to the old high of 1.5486
- The new high of 1.54915 did not appear in the Times & Sales window.

The 18:34 bar is a false hybrid bar built from historical and real-time data and 1 out-of-range data point.

[NinjaTrader_JoshP]

Would it be possible for us to test on your IB account? You seem to be able to reproduce this at will. What are the steps we need to take?

Just connect IB and then open chart right away on a forex instrument? Also, what TWS version are you on?

[Harry]

I cannot reproduce it at will, but it typically takes about 10 attempts to produce one spike. So I toggle between FOREX instruments until it happens.

I am on TWS 913.6, but I am confident that I can produce it with earlier versions as well.

I just had a single chart open, and could not reproduce. However, if I add a new simple chart to my default workspace, the problem occurs. Maybe (not confirmed) the spikes depend on the workload of the workspace.

[NinjaTrader_JoshP]

Harry,

Then there are a lot of moving parts and we would need to isolate them down. First, can you please try on 911.3? Then what do you have in your workspace? Does the spike happen on an instrument that already has other charts, DOM, MA, etc. open for it or is it a brand new instrument in relation to that workspace?

[Harry]

Harry,

Then there are a lot of moving parts and we would need to isolate them down. First, can you please try on 911.3? Then what do you have in your workspace? Does the spike happen on an instrument that already has other charts, DOM, MA, etc. open for it or is it a brand new instrument in relation to that workspace?

Default Workspace: Contains CC, 1 SuperDOM, 3 intraday charts (5, 15, 60 min), 1 daily chart, 1 tick chart 1 min. All charts other than the tick chart are connected to the DOM and display the same instrument.

I do not trade currencies, so the workspace displays backadjusted futures.

All problems therefore occured with brandnew (as you put it) instruments in relation to that workspace. For example workspace CL, chart added $EURUSD. The added chart was my default chart with just one simple indicator that colours the candles, as you can see from the examples below.

[NinjaTrader_JoshP]

In that case, I do not suspect the workspace to be of a factor here per se. Please let us know results with TWS 911.3. Thanks.

[Harry]

In that case, I do not suspect the workspace to be of a factor here per se. Please let us know results with TWS 911.3. Thanks.

Have reinstalled TWS 911.3 now. The market is quiet. I have had a mini-spike which I do not accept as a proof. The whole thing seems to depend on the connection time as well.

When I first made the test and edited minute data (Historical Data Manager -> Edit -> EURUSD ), I had to wait about 20 seconds for the folder to open, then again 20 seconds waiting time for the folder "Last" to open and another 20 seconds for the folder "minute". If I do this now, each of them opens within one second.

So the database of NinjaTrader seems to interlock after a longer connection and trading time, now it is fast again.

Will come back with the results for 911.3 later.

[Harry]

This evening with TWS 911.3 I managed to produce some smaller spikes. I think it is the same behavior as with TWS 913.6.

The small spikes disappeared after reloading chart data.

[NinjaTrader_JoshP]

Harry,

This time with or without that loaded workspace? If it was with the workspace, can you send us the exact workspace in use?

As we do not have forex on our IB account, are you willing to let us borrow your account to test this out? Please send in a private email to support [at] ninjatrader [dot] com if so. Thank you.

[Harry]

Harry,

This time with or without that loaded workspace? If it was with the workspace, can you send us the exact workspace in use?

As we do not have forex on our IB account, are you willing to let us borrow your account to test this out? Please send in a private email to support [at] ninjatrader [dot] com if so. Thank you.

It was with the workspace. I cannot send it, because it contains proprietary licenced indicators.