Using Interactive Brokers 5 second update data

[SteveV]

I have read a post about this and will try to summarize:

IB does not provide tick data, only snapshot data. When Ninja is connected to IB as a data provider and is updating bars on a chart, the H or L of the bar being currently drawn can be wrong because if an extreme (for the current bar) price tick occurs between the "grouping of ticks" process done at IB, it will be lost when IB sends what it thinks is the "last" price in that group of ticks.

To compensate for this, IB has an API call of a 5 second bar that provides the current bar's OHLCV value every 5 seconds. That way, if the H or L of the current bar is missed because of the tick-grouping problem above, the 5 second values can be used to correct for the lost H or L value and provide an accurately displayed bar.

The API call is detailed here:
http://www.interactivebrokers.com/en...tes/api9.2.php

Does Ninja have a function to reconcile the possible data issues so that it can show a proper minute bar chart using IB as a data provider?

[NinjaTrader_ChristopherJ]

Hello SteveV,

Thank you for your post.

NinjaTrader does not currently use snapshot data however I have forwarded this to our development team as a suggestion on how we can improve the NinjaTrader platform. Once this suggestion has been input into our tracking system I will forward you the assigned ID number for tracking.

[SteveV]

Hello SteveV,

Thank you for your post.

NinjaTrader does not currently use snapshot data however I have forwarded this to our development team as a suggestion on how we can improve the NinjaTrader platform. Once this suggestion has been input into our tracking system I will forward you the assigned ID number for tracking.

Thanks for that.

I think this is an important thing, because while it is relatively common knowledge that IB can't be used as a data provider on Tick or Volume charts reliably, the common assumption is that minute charts will be displayed correctly.

If the inaccuracies are not reconciled with the 5 second update data, then the minute charts displayed by NinjaTrader using IB data are not reliable with live updating either.

At the least then, I think a disclaimer should be posted prominently that not even minute bars will display correctly using IB data UNLESS a chart reload of historic data is done.

[traderharley]

I have read a post about this and will try to summarize:

To compensate for this, IB has an API call of a 5 second bar that provides the current bar's OHLCV value every 5 seconds. That way, if the H or L of the current bar is missed because of the tick-grouping problem above, the 5 second values can be used to correct for the lost H or L value and provide an accurately displayed bar.

Does Ninja have a function to reconcile the possible data issues so that it can show a proper minute bar chart using IB as a data provider?

This 5 second bar is very useful and important to many users with IB account, because this can make your minute chart accurate. I heard many people went to SierraChart, because they provide this, and hope NT will have this as soon as possible. Thank you Steve.

[moonriver]

This would be a major selling point for IB customers to move from e..... and others to NinjaTrader!

Any idea when this will be implemented?

Best wishes for the New Year

[NinjaTrader_ChristopherJ]

This feature request has been submitted to our development team however I do not hava any date available at this time of when this will be implemented.

[moonriver]

Has it been put into your tracking system yet?

Cheers

[NinjaTrader_ChristopherJ]

This request has been submitted to our development team and has been assigned ID #1244 for tracking.

Thanks again for your suggestion and please let me know if I may be of further assistance.

[moonriver]

Thanks ChristopherJ,

so how do I track the status of this ID?

[NinjaTrader_Kyle]

Hi moonriver,

Simply contact us with a note to Support [AT] NinjaTrader [DOT] com - we'd be happy to provide an update.

[Trendseek]

Dear NinjaTrader Customer Service,

this are good news - as many other IB-User I am concerned about this topic!

best
Trendseek

[poseidon_sthlm]

This would be a very welcome improvement!

Best Regards,
poseidon_sthlm

[arerojro]

I tested a strategy using marketreplay with data downloaded from NinjaTrader servers and also have tried the same strategy using strategyanalyzer with data downloaded from Interactive Brokers.

I have had very large differences between the two results, the candles has differences and indicators do not reflect the same movements.

Are these problems may be due to the 5 seconds are you talking about?.

[NinjaTrader_Kyle]

Hello arerojro,

Thank you for your post.

This may be another issue. Please contact us with a note to Support [AT] NinjaTrader [DOT] com.

In that message, please include a link to this forum thread and, if possible, expand on the differences between your results.

[moonriver]

Would the implementation of the 5 second API feature require a new build of NT,if so, will it be on the next NT release list ?

Thanks