Incorrect Minute Volume from IB

[dillen]

Hi,

I downloaded Minute data from IB, however the data in NT seems to be different from the data in IB (NT shows Volume of 100 even if no trade was done in that minute). For examle, I used AVNW on 29/6.

I am downloading the Data in historical data manager with Minute and Last checked. I have tried to delete and download again - but I continue to get 100 Volumes for applicable minutes.

Is their an solution for this issue ? I use ver 7.0.1000.31

Thanks and happy new year

Dillen

[NinjaTrader_JustinS]

Hello,
Thank you for your post.

We have been looking into this matter and have been able to duplicate this with multiple providers.

At this time we will be inquiring with our development team to see if this is expected behavior. They are unfortunately not available until tomorrow as we are working with a holiday skeleton crew today.

However I will update this post as soon as we have more information.

Please feel free to update with any additional information in the meantime.

[NinjaTrader_JustinS]

Hello,
We have looked further into the matter and found that this behavior is expected.

Upon being imported to NinjaTrader the volume for stocks is multiplied by 100.

Though this can be confusing an easy way to find the actual volume is to simply divide the displayed value by 100 by knocking off the last two zeros and you will have your actual volume value.

Please let us know if we may assist further.

[dillen]

Hi Justin,

Something is missing ... If the actual volume is 0, multiple it by 100 should give 0. However, NT shows 100. For example, look at 16:37 - there were no trades at that minute, but ninja trader shows volume of 100. If I will divide it by 100 it will give 1, but it should be 0 ... )

[NinjaTrader_JustinS]

Hello,

Thank you for your reply.

Though this is correct from a mathematical standpoint the platform recognize a base value of 1 as a placeholder used for volume calculations.

This is why you will see multiples of 100 even when there is no volume.

Please let us know if we may assist further.

[dillen]

Thanks for the fast replay.

Is there any way to differentiate between 100 that represent actual trade of 100 to 100 for a minute there were no volume in that minute ?

Thanks
Dillen

[NinjaTrader_JustinS]

Hello,

The way that you can tell the difference would be based math, all volume values are multiplied by 100. Therefore the an actual volume of 100 will display as 1000, 200 as 2000 and so on.

Please let us know if we may assist further.

[dillen]

Hi Justin,

In the example that is in the first message in this thread, please look on the first few minutes :
the actual volume is in 16:30 - 100, 16:31 - 100, 16:33 - 100
however, in the NT (which show the vol by the end of min) - 16:31 - 100, 16:32 - 100,16:33 -100 , 16:34 - 100
please note that the vol in NT @ 16:33 - 100 is actual 0, while the 100 in 16:32 and 16:34 are real 100. I can't figure out how to differ between them, because if I will divided it by 100 - all 4 minutes will get the value of 1, while the 16:33 should be 0.

Please advice.