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ES Volume via IB
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ES Volume via IB
Using IB as a datafeed, I've been comparing NT's reported volume on the ES to IB's charts and QuoteTracker's. The latter 2 agree quite well, but NT is often reporting half the volume, and at times even the relative values are very skewed. What's going on?Tags: None
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Hi,
Thank you for your post.
What version of NT and TWS are you using? You can check under Help--> About
Also what is the instrument you are looking at?
We work like a radio receiver and display what is provided. If we receive incorrect data, we will display it the way it comes in.
VinceVince B.NinjaTrader Customer Service
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Vincent,
this is the latest version of NT and TWS, the instrument is ES 03 08, a 5 minute chart.
This morning the volume started out almost identical, but at 9:55 NT's volume dropped off noticeably, and by 10:05 NT has circa 30K, while IB has nearly 70K. 10:10 NT 24K, IB + 50K, etc.
Not that it should make such a difference, but am I right that NT uses reqMktData rather than reqRealTimeBars for its updates?
TraderGuy,
thanks for that reference. It's possible it's a related problem, but bi9foot seems to be referring to smaller, if significant, discrepancies. The differences I'm seeing are enormous, and make any reliable use of volume virtually impossible.
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Yes, that's the same post TraderGuy referenced. But I'm seeing much greater differences - half of the volume showing up in NT vs QT or IB.
In the past I've also used Ensign and LinnSoft with IB's feed, and didn't see such discrepancies... I was just really starting to get into programming NT, too....
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ES volume
Originally posted by palinuro View PostUsing IB as a datafeed, I've been comparing NT's reported volume on the ES to IB's charts and QuoteTracker's. The latter 2 agree quite well, but NT is often reporting half the volume, and at times even the relative values are very skewed. What's going on?
I notice the same problem also. Ensign Windows shows the proper volume, but NT is about half.
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