No zero volume bars.

[Harry]

NinjaTrader 7.0.1000.4 with Interactive Brokers

For historical minute data, NinjaTrader always displays a minimum volume of 1 for each bar, even if there was no trade. I have now modified my volume indicator by using the following formula

volume = Math.Max(0,Volume[0]-1);

Is this a NinjaTrader problem, or is this related to the historical data downloaded from Interactive Brokers?

[NinjaTrader_Bertrand]

Hi Harry, on which instruments are you seeing this in your testing? There was an IB adapter change in R4 (4377 in the release notes) related.

http://www.ninjatrader.com/support/helpGuides/nt7/release_notes.htm

Thanks,

[Harry]

All futures contracts with Interactive Brokers showed that behavior.

If there is a minimum volume of 1 this will falsify the volume data. I understand that there can be a division by zero problem, if volume is allowed to be 0.

The problem here is that some data suppliers insert empty (zero volume) time-based bars if no trade occurred. This includes Interactive Brokers. NinjaTrader then adds volume to those bars, which in the end will give false volume for these bars and a false total volume as well.

So, why is the volume set to a minimum value of 1?

[NinjaTrader_Bertrand]

Thanks Harry, development clarified that this is an internal NT requirement, all historical bars have this minimum volume. It's on our list for the future to allow bars with 0 volume.

[Harry]

Bertrand,

thank you for your answer.