ES Volume via IB

[palinuro]

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?

[NinjaTrader_VinceB]

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.



Vince

[TraderGuy]

Hello,

Perhaps these issues are related.

http://www.ninjatrader-support.com/vb/showthread.php?t=4817&highlight=volume

Regards,
Guy

[palinuro]

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.

[NinjaTrader_Dierk]

Post below outlines the problem: http://www.ninjatrader-support.com/v...ghlight=volume

[palinuro]

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....

[jajuanm2]

ES volume

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?

I notice the same problem also. Ensign Windows shows the proper volume, but NT is about half.