IB volume bars

[PepeIlegal]

Hi,

I am having a problem with volume bars with IB connection (I think it's related).

It seems that in real time the volume bar is build in a certain way and when I refresh the Data ("Reload Historical Data") the same bar is built with another set of data, which btw is the real one (at least compared with another data sources).

Please see attached one example of what I mean.

Can this be fixed ?

Thank you,
Regards

[NinjaTrader_Ray]

Unfortunately this can't be changed since IB historical data pool is different than what they send out in real-time. This is the source of the discrepancy.

[zoltran]

However, Sierrachart, and Ensign are able to create volume charts with IB historical data. Quotetracker too I believe.

Yes, it's not the same as the data collected by IB. But this is a moot point.
There are many places in NT where historical data differs from the R/T feed.

NT itself consolidates the tick data into 1 second snapshots when it stores it too.. So there is no way that it can be 'the same'

Also, many of us use another provider such as IQfeed or opentick for historical. There are several situations where NT will overwrite the collected IB using these providers

So lots of cases where the historical is certainly not the same as R/T data.

This is not specific to NT. Many feeds/programs suffer from this.
Traders need to be aware of it, and manage it if is important to your trading. For most it's not a big deal.

So .. what's the big deal about IB backfill not being the same as R/T?

[NinjaTrader_Ray]

NT does *not* consolidate tick data into 1 second snapshots. Maybe you meant IB does that?

[zoltran]

I did mean NT.
- Export/Import tick data is in 1 second intervals
- And I'm pretty sure Dierk had said in the past that tick data was managed in 1 sec intervals. Apologies if I misunderstood this.

Anyways.. that's not the point.

The point is there is lots of places where historical data will not match a live R/T feed.
So why exclude the admitedly inferior IB historical data for volume charts when there are already other places/feeds in NT where you already have the discrepency.

There are a number of long established charting programs out there that grew up on IB data and create rather good working volume and tic charts of that data. Ensign and Sierra come to mind.

[Big D]

I'd like a clarification from Ray or Dierk on the storing of data in Ninja. Is data stored as ticks or is it stored in 1 sec groups? If we have 3 ticks for a given second, does the database have 3 records or 1 record?

[NinjaTrader_Ray]

Ticks are stored as ticks, the granularity of the time stamp is down to the second. Thus, in your example, you would have 3 ticks (records in the database) with the same time stamp.

[goldfly]

I'd like some clarification too. From anybody that has a handle on this.

Which IB data is right? The live data or the historical?

Or neither?

And I think I read recently that Zen Fire (which I've been considering using) is unfiltered. So doesn't that mean ZF data is suspect?

There are people that live and die by volume. I'm thinking it's pretty important. Where can I get good volume counts?