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IB filter out "zero volume" second bars
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IB filter out "zero volume" second bars
It is well known that IB uses "second" bars instead of ticks. Obviously, one cannot expect second bars to completely mimic the behaviour of ticks, but second bars do have practical value to traders despite some of their obvious limitations. For example, in my experience I have found that one of the ways that second bars can compare favorably to ticks is in fast markets, where second bars tend to not lag as much as ticks might lag. In the past, my own code has successfully downloaded historical second bar data from IB servers, and I can say that other tools like "OwnData" have done a good job in the past as well. It appears that developers at NT have recently learned that when downloading historical data from IB servers, it is important among other things to control the size and duration of the request to avoid pacing violations, but it appears that they are not yet aware that it is also important to filter out "zero-volume" second bars when downloading historical data that is based on 1 or 2 second bar sizes. I hope this limitation will be addressed in future versions of NinjaTrader. Assuming that IB has not changed the behaviour of their API, then I'd like to see NinjaTrader become at least as useful as my own code in the future when it comes to support for downloading IB "second" bars. That means eliminating the gaps that come from not filtering out "zero-volume" second bars.Tags: None
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