IB Issue Euronext and IBIS stocks

[ModularMix]

Goodmorning,

In this post i am hooking up to this conversation: http://www.ninjatrader-support2.com/vb/showthread.php?t=24251 at point B.

I am connected to TWS for my brokerage and datafeed. All Euronext(Aeb,Bse and Sbf) and IBIS stocks i watch in NT show an exactly 100 times higher volume as realtime datafeed, the backfill though is normal.
When i watch the NYSE and Nasdaq stocks, the realtime- and backfill data both are normal.

When the realtime volumedata is added to the backfilldata in my charts this leads to an unreadable volumebased indicator. Also when looking in the level2 screen i can see the dailyvolume reported multiplied by 100.

Why are the reported US Exchange stocks showing normal realtime volume and the Euronext and IBIS wrong realtime volume? Why the discrepancy? This is an important issue for me, i am oriented to daytrading mostly on Euronext and IBIS.

Thank you for your help.

[NinjaTrader_Kyle]

Hi ModularMix,

Thank you for your post.

1.) Which version of NinjaTrader are you using? (Help > About)

2.) Which version of IB's TWS are you using? (Help > About Trader Workstation)

3.) Please provide me with a few examples of instruments on these exchanges to check.

[ModularMix]

Hi NinjaTrader_Kyle,

I will select a few examples of instrumenents comming monday, you will hear from me then. Thank you for your assistance. Have a happy new year.

ModularMix.

[ModularMix]

Hello,

For this case i am using NinjaTrader version 7.0.0.6. The datafeed is provided from TWS 900.6.

The following instruments i checked today round noon for there behavior:
ING (ING Groep NV), primary exchange: Aeb
ABI (Anheuser-Busch Inbev), primary exchange: Bse
RNO (Renault), primary exchange: Sbf
DBK (Deutsche Bank AG,) primary exchange: Xetra

I provided two screenshots for RNO@Sbf. The first screenshot shows the historical backfill volume. The second screenshot shows the same chart with realtime volumedata. The value of the volumebars is exact 100 times higher then normal. Note, in the T&S window you see enormous transactions on a one minute timeframe round noon, 100 times higher then should be. The daily volume shows 166.376.100 wich should be 1.663.761 at that moment.
I do not experience this with Nasdaq and NYSE stocks, their volumedata is normal, both as backfill and realtime.
I know that backfilldata and realtime datafeed from IB is not the same. They will differ, i understand that clearly, but this is really something beyond from what i can expect i think.

Check this with the other instruments i provided.

I experience the same behaviour under NinjaTrader 6.5 version 6.5.1000.14 with datafeed provided from TWS 900.6

[NinjaTrader_Bertrand]

Thanks for reporting, we'll check into.

[NinjaTrader_Bertrand]

Unfortunately we don't have the needed data subscriptions to check into those symbols - do you have a paper account setup that would help us testing this? If yes, please contact me directly at support at ninjatrader dot com Attn Bertrand

Thanks

[unitrade]

can someone give me the exact symobol for ads (adidas) with interactivebrokers. i cant find anything and i cant get it run.

thanks

[ModularMix]

Hi, this should be the symbol ADS on Ibis / Xetra.

[unitrade]

i use ads with xetra. all other dax stocks as well. but i only get qoutes from 3 dax 30 stocks. the rest have a blank chart. sometimes nt says i have to set a multiplicator (200). ???

next problem: if i want to use DTE with xetra (deutsche telekom) i cant use dte energy.

[unitrade]

nt: 6.5.1000.14
tws: 40.900

[NinjaTrader_Bertrand]

unitrade, I'm not sure which TWS release you refer to exactly, but we recommend using the 900.6 standalone TWS for the IB connection with the NT version you use - http://www.ninjatrader.com/webnew/support_interactivebrokers.htm

[unitrade]

i am now running 900.6 but nothing changed.

here are some screenshots.

[NinjaTrader_Bertrand]

unitrade, which exchanges are you using for those symbols to access them? For example DAI is traded on the NYSE and thus needs the USD currency, then you should have data and chart access.

[unitrade]

DAI is also traded on Xetra. All of these stocks are set to xetra.

DTE and MRK are also listed at both exchanges.

[NinjaTrader_Bertrand]

Correct, but then it's not the DAI ticker in IB for example, but DCX.

Type DAI in the TWS market data line and it would only offer you the NYSE....

You can find those tickers in IB by seaching for example 'by company name'.

[unitrade]

you are right with dai > dcx. but whats about the others? allianz is alv. bmw is bmw and i dont get any data for backfill with the correct ib symbol.

[NinjaTrader_Bertrand]

For example, have you setup BMW with default and Xetra exchange checked in the Instrument Manager? You would need the Euro currency here as well then. Then move BMW with Xetra checked on the default list - then retry accessing the chart's historical minute date? Same process would hold true for other tickers as well...

[unitrade]

in my market analyzer i get realtime data from all 30 stocks except lin, man, sap. (ib symbols i think). i get backfill data for a few stocks and i did what you told me about bmw but nothing happens. even if i use "reload historical data".

if i click on lin, man, sap a popup occurs. " you must specifiy the multiplier. (200). but thats the correct ib symbols. ???

[unitrade]

and what do i have to do with dte. dte > new > eur, xetra, default, ibsymbol - dte > ok. now i have dte xetra in my intrument manager, dte energy is gone but i see a chart of dte energy. ???

[NinjaTrader_Bertrand]

I believe so, but best is you check into the TWS symbol guide to make sure which ones are to be used. For the multiplier error message, please contact us using the Help > Mail to Support feature so we can have a look at your logs. Thanks

[unitrade]

check into the TWS symbol guide to make sure which ones are to be used.

i did after i changed dai to dcx. i see in my log that the requested market data is not subscribed. 354. maby a bug?

i sent an email to your support with my logfile.

thanks bertrand

[NinjaTrader_Bertrand]

Ok, we'll check into your logs shortly, thanks. The market data subscription issue may arise depending which ticker / exchange you try accessing - this might also be very well due to all the testing with different tickers...

[unitrade]

i think its an ib problem.

i get realtime qoutes in tws with symbol sap ibis xetra. if i want to open a chart in tws i see sap@smart (blank chart) and i see also "no market data permissions to TRQXDE STK". i dont know what this means. i get a chart for vow3 (nt also).

i have to chat with ib first.

thanks

[NinjaTrader_Bertrand]

Ok, please let me know what they come back with, it looks like you're missing needed subscriptions then.

[unitrade]

i had to change one thing because i dont subscribed to all exchanges. i only have ibis xetra.

nearly all charts are o.k. but as you can see ALV and SAP not. all have the same input like eur - default/xetra and the correct symbol.

i made two screenshots.

[unitrade]

one screenshot for SAP. you can see i get the data in tws but not in nt.

[unitrade]

in my qoute window i see the us dcx. in the chart i see dcx traded on xetra.

[NinjaTrader_Bertrand]

Hmm, I can get SAP data with those settings well - did you add SAP / ALV with Xetra selected to the default list and then accessed the symbol from there? Did you already create an IB Paper account that would have the same data subscriptions as the live one? If yes, you could contact me directly at support at ninjatrader dot com Attn Bertrand with the IB Paper account logins and then I'll test this for you.

[unitrade]

this is a live account.

[NinjaTrader_Bertrand]

Thanks, that's what I thought - do you have an IB Paper account which would mirror your data subscriptions so I can test this for you on my end here?

[unitrade]

i am sorry. i dont have anything like this. and as far as i know it is not possible to choose any subscription with a paper account. i dont know what the problem is. but maybe with nt7 this is no problem anymore.

thannks for your help.

[NinjaTrader_Bertrand]

You're welcome, if you add a paper account at IB (imho possible for any live account holder) it would mirror the subscriptions you had already established for the live account. I can also offer to connect to your live account from my end to check into this for you, if you're interested please contact me directly at support at ninjatrader dot com.

Thanks

[J_o_s]

[...]
if i click on lin, man, sap a popup occurs. " you must specifiy the multiplier. (200). but thats the correct ib symbols. ???
Same problem here with NT 7. How did you solve that? :)

[J_o_s]

I have the following persisting problem with IB stocks on the Euronext exchange (the AEB exchange in NT). Of all the Dutch stocks which are part of the AEX index (the main index in the Netherlands with the most liquid blue chips), I can receive for only 30% of the stocks the historical & realtime data in NinjaTrader 7.

I've already contacted IB, but after sending them more information about this issue it has gone quiet. Off course I will recontact them, but I hope the problem can be solved with a little help from this forum.

Besides that, perhaps it is an NinjaTrader issue.

Here's what happens: if I try to load an Dutch stock in NinjaTrader, let's say TomTom, and I open up the chart in Ninjatrader, it gives the following error message:

Error on loading chart data for 'TOM2 Default': Historical Market Data Service error message:No market data permissions for IBIS STK.

I find that quite odd, because I have data subscriptions for Euronext (among others), so that should not be a problem. If I try to load another Dutch stock, like Ahold, it load perfectly.

What I find quite puzzling is that these two groups of stocks (the ones that work and the ones that don't) have exactly the same instrument settings. Does anyone know the solution for this problem? Perhaps NinjaTrader has some difficulties with the SMART routing?

Any thoughts would be welcome :)

Regards,

[NinjaTrader_Austin]

Jos, that error comes directly from IB, so you would have to contact them to verify you can access historical data for those instruments. Can you bring up a chart of TomTom (TOM2) in IB's TWS without any errors? What about the other instruments that do and do not work - can you bring up a chart of those in TWS?

[J_o_s]

Jos, that error comes directly from IB, so you would have to contact them to verify you can access historical data for those instruments. Can you bring up a chart of TomTom (TOM2) in IB's TWS without any errors? What about the other instruments that do and do not work - can you bring up a chart of those in TWS?
Thanks for your quick reply Austin. Nope, I cannot bring up a chart of TOM2 in TWS; the price data is "delayed" instead of real-time. Also see the attached screenshot of TWS.

I've contacted IB's helpdesk again, so just have to wait for now. If I hear something from them that solves this problem, I'll post it here.

If some NinjaTrader users have had the same problem, let me know how you solved it. :)

Regards,

[J_o_s]

Well, the problem is solved, well.. kind of.

To start with the good news, to receive the real-time data in TWS I had to choose "Directed" after entering a stock symbol, and thus disabling the SMART routing system. Please note that this option is hidden by default, in case you can't find it. Through this I was able to receive real-time data in TWS.

Besides this, I was also able to load an stock in NinjaTrader and receive real-time and historical data for it. However, the only way to make this work (for the stocks that didn't work in the first place), is to enable the correct exchange in the instruments manager (in this case AEB), choose that option in the instrument manager window, and then add this stock to the "Default" stock list.

Then, when in a chart, I can use this dropdown menu to change the chart I'm currently looking at to display the stock of my choice.

However, two big negatives about this way:
- First of, changing the chart in any other way (for example, by typing the stock symbol followed by an enter) brings up the stock with the "Default" exchange, which gives the error message (see my earlier post for more about this message).
- Adding all stocks (50 in total) to the Default list (with the Exchange for everyone manually set on AEB) is not doable when wanting to quickly scroll through various stocks.

How can I bypass this "Default" setting in the instrument manager? If I remove the check for "Default", it automatically jumps back when I hit "Ok".

To summarize: there seems to be an error or bug in NinjaTrader, in that with Default enabled the stock doesn't access the correct Exchange.

Please see the attached screenshots for more information,

Any help would be great, :)

Regards,

[NinjaTrader_Austin]

Jos, you can specify which exchange to use when typing in the instrument by including the exchange after the instrument (separated by a space). So for your example, please try "REN AEB" or "TOM2 AEB", which should bring up the instrument with the correct exchange.

This method will also add the instrument to the instrument manager with the desired exchange, so if I typed "GLD ARCA" into a chart, it would create an instrument GLD with the exchange set to Arca.

[J_o_s]

Jos, you can specify which exchange to use when typing in the instrument by including the exchange after the instrument (separated by a space). So for your example, please try "REN AEB" or "TOM2 AEB", which should bring up the instrument with the correct exchange.

This method will also add the instrument to the instrument manager with the desired exchange, so if I typed "GLD ARCA" into a chart, it would create an instrument GLD with the exchange set to Arca.
Wow thanks alot! I didn't know about that function. :) This makes it a much easier and quicker to work with. Thanks again.

Regards,