Ninja charts lower volume levels

[trader65]

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).

we do not need true backfill data Dierk, their realtime feed is not true tick
by tick either....but the bars are building well and the backfill data is good
enought for tick and volume charts ....so why not having them?

[zoltran]

-> 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).

Dierk .. People have been building tick and volume charts from IB data for years.

When I frequented Woodies forum it was common to see Sierra chart and Esig users exchanging charts ...

The Sierra users used 90 tick bars while the esig users had 250 tick bars (for example).
Were they indentical ?.. no. Were they similar? - yes. Was it confusing to newbies ?.. sure.. but most learned.
Volume Charts were much more comparable between the two systems. For most people they were identical.

The Sierra/IB/Tick/Vol/chart combo was satisfactory for many users. The cost/benefits of the IB feed are hard to beat


NT is starting from the opposite direction to most charting software. You have an outstanding development framework/back end/foundation for trade management.

You are now introducing charts in a space where established programs have created the 'standard' your users want to see NT meet.

Of course, the chart-only platforms have the exact opposite problem as they now try to add in trade managment. NT is the (very high) standard they will be compared to.

We all appreciate your direct involvement with 'us' here in the forums.

[trader65]

Zoltran, BRAVO and thanks...great post

[bi9foot]

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.

I work in the software industry and this has to be one of the most incredulous statements I have heard. You have now put the responsibility on the library /API provider to provide samples for each and every use case a client might have because if the samples don't have a particular use case it cannot be used by the client (because that is interpretation). The fact that IB has documented the message is not sufficient.

Straight from their API documetation:
tickType - specifies the type of price. Possible values are:
0 = bid size
3 = ask size
5 = last size
8 = volume
size - could be the bid size, ask size, last size or trading volume, depending on the tickType value

Ultimately, you guys decide what features to work on and we as clients decide if NT is adequate for our needs. I was very excited when I checked out NT 6.0 & 6.5 but there are a couple of issues that hold be back from adopting NT as my trading platform - The lower volume levels on the bars and lack of vertical scrolling (I have posted on that issue as well).

IB has documented how to get accurate volume data, it is up to NT to use it rather than keep saying it is an IB issue.

EDIT: Please take this in good faith. I am not here to waste my time and bash NT, but hoping that these issues are fixed so that I can use NT.

[NinjaTrader_Ray]

I think there is a serious misunderstanding here. It is implied that we are resistant and that could not be further from the truth.

Here are the facts -

There are two issues being discussed and ultimately confused.

Volume - Dierk has already stated in this post or a related one that we are looking into it. This implies that we are researching and will likely change our implementation.

Historical Tick Data - We only pointed out that IB provides historical 1 second data. This in no way reflects how many ticks comprised that 1 second thus....any tick bar created from this historical data source would be inaccurate. I understand that you guys are fine with that and based on this we will consider using this data pool for historical tick data in NT.

I hope that this clarifies our thinking.

Ray

[bi9foot]

Volume - Dierk has already stated in this post or a related one that we are looking into it. This implies that we are researching and will likely change our implementation.
...
I hope that this clarifies our thinking.

Ray

Thanks, good to hear that NT is looking at fixing the low volume issue.

I was not sure about it being fixed when Direk said it was a IB issue. That is why I pointed out that IB provides a way to get the correct volume value at any point during the day.

[th-trader]

I to have experienced the same issue with NinjaTrader's interpretation of IBs data feed. I do find it rather odd that NinjaTrader continues to refer to this as an IB issue when their competitors provide charting that presents volume and volume bars correctly using the IB feed. NinjaTrader needs to own this issue and fix it. Frankly, it is unlikely that I will migrate to NinjaTrader if this issue remains unresolved.

PS if you need help with this I can give you a competitors forum thread that describes how to handle IB data.

[NinjaTrader_Ray]

The changed implementation (fix) will be in our next beta release.

[palinuro]

The changed implementation (fix) will be in our next beta release.

That's great news! Will the fix allow roughly accurate bid-ask delta determinations as well, or only total volume?

[NinjaTrader_Dierk]

Not suer what you mean by "accurate bid-ask delta determinations". Bid and ask are dead accurate already.

[palinuro]

Well, if the Total Volume adds all transactions but they don't add up to the 'real' total volume, I don't see why dividing total volume into SellVolume and BuyVolume and then subtracting the former would be any more accurate. And whether that changes depends on what your 'fix' for the volume is.

Currently: looking at my last FDAX 5 minute bar, Total Volume = 791, while total BuySellVolume (NT indicator)= approx 625. The Delta (user DeltaBuySellVolume indicator) is approx 35.

[NinjaTrader_Dierk]

Unfortunately I'm not familiar with the DeltaBuySellVolume indicator. You would need to contact the author to clarify.

[palinuro]

My mistake for including a distraction, please bear with me.

BuySellVolume is a NT indicator. It seems from the definition ("Plots a histogram splitting volume between trades at the ask or higher and trades at the bid and lower") that the total for any given period should equal the total volume for that period. Currently it does not. Am I misunderstanding the definition, or is there some discrepancy in the calculation? And if so, will it be corrected by the forthcoming fix?

[NinjaTrader_Dierk]

Yes, the fix should have positive impact on the standard BuySellVolume. I suggest retesting after next NT6.5 beta.

[TraderGuy]

Hello,

One this change is complete will we be able to load/reload historical volume bars with IB?

Thanks,
Guy