Volume differences

[eleven]

I use "Volume[0]" in a strategy. Using print statements, I am seeing significant differences between back testing and real time volume upon bar close.

The historical volume appears to be accurate but the real time is definitely erroneous. It is approximately 10x higher and beyond. CalculateOnBarClose is set to true.

Any ideas on why this is occurring and how to rectify? Thanks.

[NinjaTrader_Bertrand]

eleven, thanks for the post - which broker or connection are you using in your testing?

[eleven]

Bertrand,

I am using BarChart data feed.

Running live or in market replay give me erroneous data. Running historical in strategy analyzer seems to be accurate.

[NinjaTrader_Bertrand]

eleven, then I would suggest contacting BarChart about their data directly, as NinjaTrader does not change the received live data (which would also be used in your replay data). Did this occur for all markets you tested on?

[eleven]

Prior to contacting BarChart I decided to troubleshoot this further and add VOL to my chart. The volume is accurate until the moment I started my strategy, as you can see from the volume spike on the lower panel.

How is this possible? The lower panel is a VOL indicator apart from my strategy. When I start my strategy not only is volume erroneous in my strategy but also the VOL indicator. When my strategy is not running the volume is accurate.

To me this doesn't seem like a data feed problem. What else could be going on with this?

[NinjaTrader_JoshP]

Close NT, reopen NT, connect data provider, open chart with no indicators or anything else, right click -> reload historical data, add VOL indicator, watch chart in real-time for awhile. Then add strategy and continue to watch volume.

[eleven]

Josh,

I will do as you describe. Hold my thoughts from above post. I might not of accurately analyzed this. I will take a look at this tomorrow.

eleven

[eleven]

It is the data feed. I opened a chart with just the VOL indicator. You can see the spike (bad data) on the picture. I've contacted BarChart and they are working on correcting the issue.

[NinjaTrader_Bertrand]

Thanks for reporting back eleven.