Interactive Brokers LSE data: Block trades, data spikes, and workarounds

[AntiMatter]

The LSE data from Interactive Brokers is problematic. There are many large data spikes, particularly on the more heavily traded issues. I believe these represent block trades.

On backtesting strategies, they can cause otherwise profitable strategies to seem unprofitable, due to getting erroneously stopped out. I have several questions I am trying to answer with regard to this issue, and what to do about it.

1) Are these data spikes actually block trades? And if so, are they reported in "real time" e.g. on the live data feed? Or do they only appear on historic data?

2) what workarounds have people implemented for this? Esignal data? Setting the exchange to a secondary exchange?

Thanks

[NinjaTrader_Brandon]

Hello AntiMatter,

Thanks for writing in.

So I may assist you further please answer the following.

What version of NinjaTrader are you using? (Example: 7.0.1000.16)

* You can check under Help -> About

What build of Traders Workstation are you using?

* To verify what version of Traders Workstation you currently have log into Traders Workstation
* Under Help go to About Traders Workstation...
* Scroll down and look for Build
What is an instrument that you see this happen on?

[AntiMatter]

NT: 7.0.1000.16
IB TWS: 938.1e

The data spikes on IB are "real". For example, plot daily data for BARC or BT on the LSE. If we simply look at them on IB TWS, we can see large spikes on various days.

The spikes are present withing the IB data for the exchange LSE

However, when looking at data from a second exchange on TWS (e.g. CHIX), then these spikes are not present. Moreover, the erroneous data is not present on e.g. daily data from yahoo.

[NinjaTrader_Brandon]

Hello AntiMatter,

Thanks for your reply.

I would recommend to contact Interactive Brokers about these spikes for more information since they can be seen directly in Traders Workstation also.

These spikes can be prevented from coming in from real time data by going to Tools> Options> Data
Check Filter Bad Ticks and play with the values to function as you need.
You can manually adjust/remove bad ticks from the historical data by going to Tools> Historical Data Manager> Edit
Below I have provided a link to the Editing section of our help guide.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?editing.htm