I have been noticing some huge prints in the time and sales window for the ES over the last week or so. They caught my eye because they were larger than the entire book on the DOM but the market hardly flinched. I have seen anywhere from 83K - 6K prints several times a day. They don't appear to be real given the market depth and the fact that the market hardly upticked/downticked (sometimes no change at all and there were only 800-1400 orders at each price level on the DOM).
I am connected to IB data feed. I know the data is filtered, so lets not go there quite yet....
I decided to bring up the TWS (IB) time and sales window and watch it next to the Ninjatrader times and sales window. I DONT see the erroneous prints in the IB window. Only the Ninjatrader window. I am a developer so I know how the NT window works. I know it is reading the OnMarketData method call to show the last market data type messages. However, I have also written entire applications that connect directly to the Interactive Broker's API directly. Given that the window in IB doesn't show the prints, and most all the data shown in TWS comes through the API, I am wondering if you have a bug in your IB connector.
Can you tell me which API version you have written the IB connector to? Also, can you tell me which TickType you are subscribing to in IB's API when you register using the reqMktData() method in the IB API's interface? Your developers will know.
Something isn't right. I can verify it by writing my own adapter and checking the values I am getting through the API vs. what NT is showing but I would rather not do that if I don't have to.
Regards,
Brian Burch
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