View Full Version : Volume charts
05-03-2007, 03:09 AM
Testing NT with IB data.
I do not seem to be able to have more than just a few bars when I try to get a volume chart. It updates Ok, but the chart goes back some 20-30 bars and that's it.
Any idea how I can overcome this?
05-03-2007, 03:14 AM
Volume bars are based off of tick level data. We do not support IB historical tick data due to their limited support of it.
You could look at alternate data sources. OpenTick is one we support that is free of charge.
05-03-2007, 03:59 AM
I have a charting software that can download historical data from IB (I can have volume chart from IB weeks back)
Now, can I import that file into NT, put it on a NT chart and then have NT chart to update it real time with IB data?
05-03-2007, 04:05 AM
We do support importing of tick data. Further information is located here - http://www.ninjatrader-support.com/HelpGuideV6/Import.html
05-03-2007, 04:16 AM
Would I be able to get volume charts (with decent hisotry) on NT if I link it to Tradestation?
05-03-2007, 04:18 AM
05-03-2007, 04:23 AM
Damn. One more and then I give up. How about eSignal? Open tick does not cut, as they just do US makets.
05-03-2007, 04:34 AM
eSignal will work just fine.
05-03-2007, 04:45 AM
07-09-2007, 07:18 PM
I use eSignal as my datafeed into NT. I would like to try out volume charts for the eminis, but I understand that there is a significant difference in the charts bases on whether the volume is capped or not for each bar.
It appears that the volume is capped (the same amount appears for each bar), but could you tell me if the eSignal volume data is that you process is capped with carryover? In other words, if there is excess volume for a given bar, is that excess carried over to the next bar, or is it thrown away?
07-09-2007, 07:43 PM
Are you referring to price bars formed from volume based intervals? If yes, then volume for each bar will always be the same. Unused volume per trade is carried over to the next bar.
07-09-2007, 07:49 PM
Yes, that is exactly what I meant. Sorry I wasn't clear in asking the question. But that is the exact answer I was looking for. Thank you very much.
07-09-2007, 08:12 PM
I forgot to mention it in my previous post, but I have one more question ...
My broker is IB and, for testing purposes, I currently have datafeeds from both IB and eSignal. According to another thread, it was stated that IB's tick data is quite different from eSignal's (in essence, IB does not send valid tick data).
Therefore, based on the differences in the two datafeeds, would there be any significant differences in the volume-based information from the two? Would you be aware of NT's charts (bar frequency) based on IB's volume to be invalid as compared to a datafeed from eSignal?
I displayed both and they seemed to look the same, but I would rather have your opinion on this.
07-09-2007, 10:20 PM
>> Therefore, based on the differences in the two datafeeds, would there be any significant differences in the volume-based information from the two? Would you be aware of NT's charts (bar frequency) based on IB's volume to be invalid as compared to a datafeed from eSignal?
Absolutely. Due to the nature of how IB "generates" real-time data I would not be surprises to see huge differences.
07-09-2007, 11:27 PM
Sorry to jump in.. but I have a bit of experience here...
- Tick charts baed on IB vs Esignal will certainly look different, due to the way IB batches up trades into a single update.
- Volume based charts should be very similar. They both report the same volume of trades. Esig may do it in 10 updates, while IB may consolidate those 10 into just 1, but the volume counts will be the same. Things may look 'odd' due to other reasons, such as the chart start/end times not being the same etc.
I run volume charts off the IB feed with NT just fine. (if you don't count the odd backfill problem)
07-10-2007, 12:45 AM
Thanks for this valuable information.
07-10-2007, 06:43 AM
Thanks to both of you, Dierk and Zoltran. However, after doing some chart comparisons, I am more than a bit confused.
Currently, for testing, I have both eSignal datafeed and IB (for my trading account and the Workstation API), so I have two datafeeds that can run concurrently. However, since I am just paper trading with the NT SIM101 account, I only have eSignal running live. I shut it off before I start up the IB connection.
Based on what both of you have said, I too would expect my NT tick charts (specifically, the ER2 @ 233-tick) to be quite different between eSignal and IB. However, after displaying both, I find they are almost exactly the same, with only very minor differences. I don't understand. Am I screwing something up? How can I tell what datafeed provider NT is using to populate a given chart (just to make sure I am not doing something wrong)?
I also compared the volume charts from both, and as Zoltran predicted, they are the same.
Also, if I were to connect to my live IB account and datafeed, in addition to concurrently connecting to eSignal, will that confuse NT? Which datafeed will it use to populate its charts?
Sorry to pose so many questions here, but I love the NT charts and the ease of chart-based trading, so I want to make sure I have things set up correctly before going live.
07-10-2007, 06:51 AM
Sorry, I don't know how IB throttles their data feed. Just pull up e.g. a 13 ticks chart on IB and eSignal and I'll bet you will see a difference.
The difference might be that noticeable on other chart intervals.
07-10-2007, 06:53 AM
I don't understand. Am I screwing something up?
Likely not, it really "is what it is". Whatever data you get no matter how different or how close is the data received from IB. IB historical data may be different than the data they provide in real-time...
How can I tell what datafeed provider NT is using to populate a given chart (just to make sure I am not doing something wrong)?
NinjaTrader will use the first connection that supports the instrument you request for both real-time and historical data. Therefore, if you want to use eSignal for data, connect to it first, then to IB.
07-10-2007, 07:05 AM
Dierk, I just compared the 13-tick charts, and there are some differences. Good.
And thank you for the insight into how NT sets up datafeed priority.
Now I just have to decide whether I want to use tick-based charts enough to pay the extra money for an eSignal feed.
Thank you very much for your help.