Interesting spikes for NZD.USD currency pair connecting to IB

[hometradingblog]

Hi,
I am trading mainly Forex and monitor various currency pairs. I have noticed that currencies related to NZD, e.g. NZD.USD quite often show a very large bar at the beginning of the trading session. (see attachment)

I can't see the spike when I compare it to the chart in TWS. Also IB just send me their API of NZD.USD data which also does not show the spike.

Is this something caused by NT?

BTW spike remains even after reloading history.

Thanks
Thomas

[NinjaTrader_Jason]

Hello Thomas,

If the spike remains after reloading historical data, it indicates the data is loaded this way from the connected data feed. You can manually correct the data in the Historical Data Manager. Please see the link below for instructions.

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

When I test IB on my end, I can reproduce the bad tick (see screenshot).

[hometradingblog]

Thanks Jason,
Yes I know how to edit the data, have done that in the past as it seems to happen frequently with this currency pair.

Opened another ticket with IB so hopefully they can shed some light at it.

Thomas

[hometradingblog]

Hi, got another answer from IB, they tested their end again and all looks ok in their API. They suggested for me to test the API via one of their Excel spreadsheets that they supply with TWS. Done that and downloaded 1 min history for NZD.USD. In there there is no spike so they suggesting it is NTs issue.

Happy to post their reply in the forum.

Thanks
Thomas

[NinjaTrader_Jason]

Hello Thomas,

The bad tick does not occur when I load data with other supported data feeds in NinjaTrader.

What happens if you select a 15 minute interval in the TWS chart?

NinjaTrader does not include bad ticks in data it loads - the data is loaded as provided.

[hometradingblog]

Interesting, anyway TWS charts don't have the spike in any of their timeframes and I can't see it when I load for example minute data through another API client connected via ActiveX.

Anyway seems to be a mystery and I just need to live with it to occasionally manually adjust bad ticks in NZD pairs.

Would love to know though what data you get when you try IBs Excel API.

Time to rest

Thomas

[NinjaTrader_Jason]

Hello Thomas,

Unfortunately, I am not familiar with IB's Excel API. If you have step by step instructions, I am happy to test it for you.

[hometradingblog]

Hi Jason,
Thanks for the offer, here is part of the reply I got from IB with instructions for the spreadsheet.

------
This sample spreadsheet is installed alongside the API and you can test for yourself. You will find it inside the folder where you installed the API (usually C:\IB_API_number or C:\Jts). Then inside that folder go to the Excel subfolder and open TwsActiveX.xls. Go to the General tab and click Connect to TWS. Click OK to the connection messages and go to the Historical Data tab. Fill in the following parameters in a blank row, leaving the other fields in the row blank:

Symbol = NZD. Type = CASH. Exchange = IDEALPRO. Currency = USD. End Date/Time = 20120313 13:15:00 GMT. Duration = 5 D. Bar Size = 15 mins. What To Show = MIDPOINT. RTH Only = 1. Date Format Style = 1. Page Name = HIST_NZD_USD. Activate Page = TRUE.

Then select that row and click the Request Historical Data button on the top. You will see the historical data (please note, in your local timezone) appear on a new tab. This is the API feed that is sent to all third party applications such as Ninjatrader
-----
Edit: For some reason after I clicked on the Request Historical Data button I had to click on the Cancel button and then the Request button again to make it work.

Thomas

[NinjaTrader_Jason]

Hello Thomas,

I cannot find the Excel subfolder on my end. I do not have a "IB_API" folder on my C:\ drive.

I searched my computer for the "TwsActiveX.xls" file as well, but none was found.

[hometradingblog]

Hi Jason, if you like I can send the spreadsheet via email. I still have the support email address from an earlier post.

I assume you have TWS installed though?

In order for this to work I believe you also need a file called tws.ocx. Can you make sure that's on your hardrive. I have it in a folder called c:\jts\activex

Thomas

[NinjaTrader_Jason]

I have TWS 921 installed. Do you perhaps have a different version of TWS installed?

Unfortunately I do not have the 'tws.ocx' file present on my computer.

Yes, please send me the file by email. You can send it to support[at]ninjatrader[dot]com. Please put 'Attn Jason, Interesting spikes for NZD.USD currency pair connecting to IB' in the subject header.

[hometradingblog]

Email sent

[hometradingblog]

Hi there, sorry to re-open this again but I am getting annoyed in editing the data almost every day. Since you are able to replicate this with the IB feed, I am just wondering if your development can liase directly with IB to get to the bottom of this. I am still getting regular spikes for NZD related currencies (mainly EURNZD and GBPNZD). The spike always happens between 7:00am and 7:15 am Australian Eastern Standard Time (most times actually at 7:13am) which is just after the NY session finishes.
I have tested IBs API myself (using Excel) and couldn't replicate this there.

When I raised this with IB, they are blaming NT and NT seems to blame IB.

Thanks for any help
Thomas

[NinjaTrader_Jason]

What TWS version do you currently have installed?

You can enable the real-time tick filter. It will filter out bad ticks you receive in real-time.

Please go to Control Center-->Tools-->Options-->Data-tab. Subsequently, enter a percentage for the 'Filter bad ticks % off market' field. A value of of 5, represents 5 %. So if a real-time tick is outside the range of 5 % compared the tick received prior, it will be excluded.

[hometradingblog]

Hi Jason,
I am using

Build 923.7, Feb 3, 2012 4:47:58 PM
Jolt Build 1.1.16, Jan 6, 2012 12:22:47 PM
Nia Build 1.10.1, Jan 11, 2012 01:52:13 PM
ModelNav Build 1.1.42, Jan 11, 2012 01:52:40 PM

but had the same issue when using 921, which I believe is the one currently supported. When filtering bad ticks, does this also apply when loading history or only to the real time feed.

I don't know if the issue happens for real time feed as well, it happens when I load history.

Regards
Thomas