Wrong Daily Vol

[Hanstanz]

Hello, why shows the VOL indicator different numbers than the CME Homepage? Ninja shows 1087 but CME shows 1401. For example i made pictures from Oats Future Sep 11. This happens to every date not only Sep 11.

Best regards
Hans

[NinjaTrader_PatrickG]

NinjaTrader does not directly control the display of any data. NinjaTrader simply shows the data it is receiving from your connected data provider.

So I may accurately assist you, please answer all of the following questions:

• What version of NinjaTrader 8 are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.0.?.?)
• Who are you connected to? This is displayed in green on lower left corner of the Control Center window.

[Hanstanz]

Hello Patrick my version is 8.0.18.1 64-bit . Im connected to NinjaTrader Continuum

[NinjaTrader_PatrickG]

What I find interesting about the CMEGroup's page is that it does not even agree with itself. If you compare Friday the 27th Dec contract data in the rows below the bar graph with the bar graph, the numbers do not match:

https://www.screencast.com/t/CVK50mt4CC

While I could not speculate as to what this discrepancy indicates from the CMEGroup's website, what I can tell you is that your data matches my data for the 27th, but is off by 2 volume (154). I checked with another provider (Kinetick), and their volume matches the CMEGroup of 156. I'll look into more detail about why NinjaTrader Continuum's historical data is slightly different and follow up when I have more information.

Thanks in advance for your patience.

[NinjaTrader_PatrickG]

Thanks for your patience.

I've discovered that NinjaTrader Continuum historical data has price adjusted for settlement but not volume which would explain any volume discrepancy that does not match the settlement data on the CMEGroup.

I have submitted this as a feature request to the Development Team. The internal tracking number for your feature request is SFT-4294. Please reference this internal tracking number if you ever have questions regarding this feature request.

When a feature request is implemented, you'll find it in the release notes:

http://ninjatrader.com/support/helpGuides/nt8/en-us/?release_notes.htm

[7robert]

Currently, I also have problems with the volume received by interactive brokers and the one shown in the broker. I have to close and open the platform again so that the volume is adjusted and fixed

[NinjaTrader_PatrickG]

7robert please create a new forum topic as this specific topic is discussing the very slight difference between a CQG-based feed and the CMEGroup website. It sounds like what you're referring to is comparing Interactive Brokers volume data within TWS to Interactive Brokers volume within NinjaTrader. This is a fundamentally different topic.

[Hanstanz]

I checked the volume data for sugar 11 (ICE Future) and there is a big difference with the Continuum data feed. For example for the 2. October Continuum shows a volume of 50827 but the ICE page shows 61350. If i use the Kinetick data feed it shows 61825 which is near to the data from the ICE page.

[Hanstanz]

The biggest diffence is in Sugar 11 at 16 Sep. Kinetick 152K, Continuum 53K.

[NinjaTrader_PatrickG]

Sugar happens to be an instrument which has a lot of non-qualified trades. CQG-based connections adjust daily price data with the exchanges settlement data, however, they do not adjust daily data for settlement volume. Kinetick's servers do provide settlement-adjusted volume data.

I believe we've been taking via email as well, Hanstanz . The slight discrepancy between ICE website and Kinetick would be that ICE website is 15 minutes delayed while Kinetick would be real-time.