Ninja charts lower volume levels

[bi9foot]

Anyone have any idea as to why Ninja charts is showing lower volume levels for the price bars compared to other charting apps?

Attached is a snapshot of the same security (ESH8) in three different charting programs (from left to right Ninja, QuoteTracker and AmiBroker) using the same datafeed (InteractiveBorkers).

In each chart I have indicated with a green arrow the volume for the current bar. Both QT and AmiBroker display a volume levels of 15K while Ninja is showing 11K. I have notice this discrepancy on every bar i.e Volume shown by Ninja charts is lower by 4-8K on average per bar.

[NinjaTrader_Dierk]

There are several issues related:
- volume on IB is irrelevant since IB does not send every tick but only snapshot data (every 0.7 secs)
- the IB api is not clear on how to handle market data related events: unfortunately there are several interpretations possible. Apparently different SW vendor implemented different approaches.

[bi9foot]

IB snapshots trades but also give a volume update message

Yes IB does give snapshots of trades. However IB also provides a volume update message that provides a very accurate value of what the aggregate volume for the day is.

Does that mean Ninja is ignoring that message and just totaling the trade messages (from the 0.7sec snapshots) to get the volume?

I have compared the volume update message from IB with that of IQFeed over a period of months and I have found the IB volume update message (total volume for the day) to be very accurate through the course of the day.

Since the volume bars in the chart only display total volume, why can't Ninja use the volume update message to display a more accurate value for the volume?

[NinjaTrader_Dierk]

Thanks for your suggestion. We'll add it to the list of future considerations.

[kraze]

I have also noticed this problem in my charts.
I would like to know when will this problem be fixed?
This is a major issue.
If NinjaTrader cannot handle volume correctly then it loses all interest to me.

[NinjaTrader_Dierk]

Unfortunately there is no ETA yet.

To clarify: the issue is with IB only. None of the other providers/broker has this issue.

[bi9foot]

Unfortunately there is no ETA yet.

To clarify: the issue is with IB only. None of the other providers/broker has this issue.

I beg to differ. IB provides a volume update message that gives a very accurate value of the volume just that NT has chosen to ignore it.

Take a look at the TickSize message with the TickType value of VOLUME.

I find it rather interesting trying to blame it as an IB issue when it is an issue with NT not handling the IB messages correctly. QuoteTracker and Amibroker have their volume values spot on and it is not like they get a propriety feed from IB.

I agree that IB has a issue of not providing tick data, but it is not an issue on volume since they provide a separate message to update the total volume.

[NinjaTrader_Dierk]

NT implements the realtime data interface exactly as advised by the IB samples. Anything beyond that (to match up the presumably accurate daily volume) is interpretation and comes at a price of amending/manipulating the ticks reported by IB.

[zoltran]

He isn't talking about daily volume Dierk

And he's quite right .. NT displays volume different than other apps

Howard Arlington (Ensign SW) did a study on IB, DTN, and Esig feeds.

IB doesn't have a tick/tick feed of course, but his conclusion was that volume and volume based charts were very similar between the 3 feeds. I'll see if I can find the link to that study and post it.

I guess the point is that NT stands out as different from the other mainstream charting programs in this regard.

[NinjaTrader_Dierk]

Let's clear up any potential confusion:
- IB's tick event comes with a price and a size. These events are provided as they come in to you -> no filtering
- older TWS versions had the tick and the size seperated. NT even holds code which would process these event -> no tick is lost
- the only way to "bump" up the volume (e.g. to the daily volume reported by TWS API) is to listen to the daily volume event and then "add" volume to the ticks. This comes to the expense of now incorrect volume per tick

[trader65]

Also ensign ,amibroker, sierra, quotetracker and other aplications can backfill tick and volume bars from IB. Why NT doesn't ?
IB provides 1 sec bar data with the correct tick and volume information
from which aplications can build tick and volume bars very accurate with
the refresh....NT doesn't bother with that...yes i know we can backfill ticks free from opentick servers but only US markets are supported...

[NinjaTrader_Dierk]

>> from which aplications can build tick and volume bars very accurate with
Curious: how would you do that as you only have 1 second data?

[trader65]

sorry for my bad english...i have use ensign sierra amibroker and those programs are backfilling tick and volume bars very well from IB servers.
I guess the volume and transactions information is attached on the 1 sec
bars from IB. And you have to know the backfilled data is more accurate
than the realtime data from IB...i have tested that with other data feeds.

[NinjaTrader_Dierk]

As I understand the issue there could be multiple ticks per second. On IB's 1-second backfill data all ticks of one seconds would be accumulated to one data set for this seconds -> no way you could see which ticks really made up the data set for this second.

-> there really is no way to have true tick backfill data. You could "fake" it by pretending the 1 seconds data point just have been ticks (which of course is incorrect).

[kraze]

I think the TWS version is irrelevant for this problem.


IB charts have the correct volume.
Other plataforms show the same volume that we see on IB charts.
NT shows much lesse volume.
Just open a NT chart and a IB chart and see it for yourself.

The solution was already posted here: "Take a look at the TickSize message with the TickType value of VOLUME".
You can also check here: http://individuals.interactivebroker...e/apiguide.htm

If you already know that NT as a problem with volume per tick, I dont understand why you are showing such resistence.