Need explanation on volume

[frankduc]

I just found out the most unusual thing about the volume reported by TWS and NT.

For emini sp 500 if you look at 16:15 at the end of the day the volume in the trading window for yesterday it gives you 1 153 644 contracts traded during the day.

The same is reported in CME bulletin but if you go in the historical data manager under edit and calculate the numbers of contract from 16:15 june 23 to 16:15 june 24 the total gives 1 611 024 contracts when calculated at the end of the day at 16:15 june 24.

Now this morning i redo the same operation calculating from 16:15 june 23 to 16:15 june 24 and guess what i fell on the right number 1 153 644.

Its been years that mystery bother me, can anyone explain why the refreshing made by TWS gives me the right number only in the morning?

Who's fauty TWS or NT?


Frank
ty

[NinjaTrader_Kyle]

Hello Frank,

Thank you for contacting us.


Interactive Brokers filters their data and those adjustments appear to explain the behavior which you are seeing within NinjaTrader. NinjaTrader itself would display whatever values the application is provided from the market data source; if the underlying data set provided by the connected market data source changes so too would the values which you see displayed within NinjaTrader.

For additional information on how Interactive Brokers filters data, I would recommend contacting IB support directly. If other NinjaTrader related questions come up in your conversation with them please let me know.

[frankduc]

I sent an email to IB it should take a while before i get any response, but i think this is an issue related to Ninjatrader.

I noticed that when you hit the reload all historical data the volumes and time and sales come out just fine.

Somewhere there's a glitch, its like NT is receiving the data and counting in double the volume sent by TWS over the day. Yesterday while the TWS volume was showing 300 000 contracts NT was giving me near 600 000 ctrs. The more you advance in the day the higher the number gets. I can beleive IB do some filtering but not that much.

Its a bother cause that means that if i pay to code my algorythm the data are faulty during the day and i have to reload historical data every 15 minutes to be sure i end up with the right volume.

You should check that on your end.

Frank
TY