Historical volume data

[guillembm]

Hello,

I've been trying to work with volume data and I have several troubles about this:

• IB (primary datafeed) doesn't provide historical volume data, only real time.
• Kinetick (secondary) provides volume data but, because IB doesn't provide this sort of data, this is not loaded.
• IB volume data is extremely different compared with Kinetick's.

why this difference and how to cope with it?

[NinjaTrader_Jason]

Hello guillembm,

You can connect to Kinetick first in NinjaTrader so you will load historical volume data. Once all data is loaded, you can disconnect Kinetick and connect to IB first.

Please see the link below for information regarding IB tick data. Volume data is build by tick data.

http://www.interactivebrokers.com/en/general/contact/newContact/contact.php?TOKEN=6901559512282010BE06AIGF9192505191326DOB5452402

Kinetick provides unfiltered data which explains the difference between the two.

[guillembm]

Thanks Jason,

I already tried this but, as I previously said, the data I get from IB and kinetick is extremely different. As an example, for USDJPY the volume I get for a 10 min bar is 310M (I wonder if this is correct because it's very low) from Kinetick while for IB is 38650M. Please, check it yourself.

If I follow your advice, loaded realtime data won't be comparable with historical.

[NinjaTrader_Jason]

Unfortunately they use different formats to display forex volume data. I experience the same on my end. I suggest to connect to Kinetick first so there is no difference between realtime and historical volume data.

Please be aware that volume data for forex instruments is not considered useful because it is not traded on a centralized exchange.

[guillembm]

I agree that absolute volume data is not useful but the proportion and growing/decreasing volume are.

I also tried your last proposal. The problem is that IB and Kinetick tick data are slightly different. If you check it yourself you will see that spreads, bid/ask and last prices are different. Not too much but enough to generate errors when sending orders.

I see that the solution will be creating my own volume database.

[Harry]

Suggestion for NinjaTrader 8: Tick volume

For FOREX often tick volume is used as a substitute for volume. Tick volume is based on the number of trades as opposed to the number of shares, contracts or lots traded.

I think that it is time that NInjaTrader also offers tick volume. Other retail packages such as TradeStation or MetaTrader already let you select between real volume and tick volume.

A further enhancement would be uptick volume and downtick volume. This is also available with TradeStation and can be used as a proxy for bid and ask volume.

I am aware that it is possible to code these indicators by adding a secondary 1-tick bar series. However, it would be much better, if these features were included with NinjaTrader natively.

[NinjaTrader_Jason]

Hello Harry,

Thank you for your input. I will forward your suggestion to development.

[NinjaTrader_Jason]

The suggestion is present on the list of possible future enhancements and is assigned to ID# 349. We have added your vote.

[Harry]

The suggestion is present on the list of possible future enhancements and is assigned to ID# 349. We have added your vote.

Thank you for the feedback.

[koganam]

I agree that absolute volume data is not useful but the proportion and growing/decreasing volume are.

I also tried your last proposal. The problem is that IB and Kinetick tick data are slightly different. If you check it yourself you will see that spreads, bid/ask and last prices are different. Not too much but enough to generate errors when sending orders.

I see that the solution will be creating my own volume database.

Snapshot data is "crap" data for quick trading. Use the raw data feed. We have just finished a discussion about how useless IB data is for any kind of active daytrading operation, where knowing the real price is germane to the decision to make a trade.

Look here: http://www.ninjatrader.com/support/f...ad.php?t=59565

[sands]

For FOREX often tick volume is used as a substitute for volume. Tick volume is based on the number of trades as opposed to the number of shares, contracts or lots traded.

I think that it is time that NInjaTrader also offers tick volume. Other retail packages such as TradeStation or MetaTrader already let you select between real volume and tick volume.

A further enhancement would be uptick volume and downtick volume. This is also available with TradeStation and can be used as a proxy for bid and ask volume.

I am aware that it is possible to code these indicators by adding a secondary 1-tick bar series. However, it would be much better, if these features were included with NinjaTrader natively.

I'm experiencing similar issues in the lack of clarity between whether my brokers volume data is centralised volume or tick volume. In my case from investigation I've found that as my broker is primarily an FX broker even for their non FX offering behind the scenes they are presenting tick volume data to NT, which reduces my ability to use this extra analytic.

Please add my support to the feature to identify / toggle between real and tick volume. It will help users identify what data they are infancy displaying without having to go around the houses to test it.

Thanks

Sand.

[koganam]

The suggestion is present on the list of possible future enhancements and is assigned to ID# 349. We have added your vote.

I thought that NT already had this as an indicator called TickCounter. Did I misunderstand?

[Harry]

I thought that NT already had this as an indicator called TickCounter. Did I misunderstand?

If I am talking about tick volume, I look for a histogram that displays the number of ticks for each bar. For time-based bars that data should be directly retrieved from the historical data base.

(1) For minute or daily bars this information is currently not available.

(2) The tick counter is next to useless because it only works on tick charts, but not on minute, volume, range or Renko charts. For tick charts I do not need to have the tick volume displayed, because by definition it is identical for all bars. Furthermore the tick counter only plots some text in the lower right corner specifying how much ticks are left, before the current real-time bar closes.


Example: Average trade size on time based bars

I was looking for an indicator to be used with all bar types showing the number of transactions (ticks) per price bar. For minute bars this information would be a separate data source, which cannot be calculated from price and volume.

If you know the tick volume for time based bars, you can display the average trade size. Currently this is only possible for tick-built bars.


Example: FOREX volume

In case that a FOREX datafeed comes without volume, it should be possible to calculate the tick volume for each time-based bar and store it in the historical data base. The tick volume in the data base could be used as a substitute for missing volume data and should be accessed in the same way as volume.

[koganam]

If I am talking about tick volume, I look for a histogram that displays the number of ticks for each bar. For time-based bars that data should be directly retrieved from the historical data base.

(1) For minute or daily bars this information is currently not available.

(2) The tick counter is next to useless because it only works on tick charts, but not on minute, volume, range or Renko charts. For tick charts I do not need to have the tick volume displayed, because by definition it is identical for all bars. Furthermore the tick counter only plots some text in the lower right corner specifying how much ticks are left, before the current real-time bar closes.


Example: Average trade size on time based bars

I was looking for an indicator to be used with all bar types showing the number of transactions (ticks) per price bar. For minute bars this information would be a separate data source, which cannot be calculated from price and volume.

If you know the tick volume for time based bars, you can display the average trade size. Currently this is only possible for tick-built bars.


Example: FOREX volume

In case that a FOREX datafeed comes without volume, it should be possible to calculate the tick volume for each time-based bar and store it in the historical data base. The tick volume in the data base could be used as a substitute for missing volume data and should be accessed in the same way as volume.

I must be off today. That was not even what I meant to write, but I will accept that that means that I misunderstood.

However, is what you are looking for not accessible by reading Bars.TickCount in an indicator? Which of course, means that the data is still, as I said, already available in NT.

[Harry]

I must be off today. That was not even what I meant to write, but I will accept that that means that I misunderstood.

However, is what you are looking for not accessible by reading Bars.TickCount in an indicator? Which of course, means that the data is still, as I said, already available in NT.

Bars.TickCount only works with real-time bars with setting COBC = false. For historical bars or with COBC= true, no information is available. If I am talking about tick volume as a substitute for real volume, I would like to have that information available for the entire chart and not just for the real-time portion of the chart.

Please note the difference: Volume data is accessible for historical bars, and it is accessible, if you run an indicator in COBC = true. The simple reason is that NinjaTrader has a data field for volume for each bar, but no data field for tick volume.

It is a design issue of the historical data base and how bars are built from historical or real-time data.

Currently, I can only determine tick volume via a multi-timeframe indicator which adds a secondary bar series of 1-tick data. I can then try to count the secondary bars. However, this is not easy as the indicator will need to differentiate between the case where the primary bars are built from ticks and where the primary bars are time based. Tick-built bars of the primary series may be closed before the ticks of the secondary bars are registered, if they have identical timestamps. Therefore the multi-timeframe indicator would only work with tick bars, if it is painting back the tickvolume to the prior bar that has already been closed. For minute bars it is possible to determine the tick volume via a multi-timeframe indicator that does not repaint.

In short: Calculating tick volume with NinjaTrader is a pain in the neck. Both tick-built and time-based bars should come with datafields that contain the tick volume, uptick volume and downtick volume.