NT7B7 MBTrading FX Historical vs Real-Time Data Volume

[mrlogik]

NT,

I think I've found an inconsistency between historical data from MBTrading, and Real-Time data. There is a difference by a factor of 10,000.

For example,

A historically downloaded tick volume from MBTrading might look like

100
100,
200,
100
400,

A real-time collected MBTrading tick might look like

1,000,000
1,000,000
2,000,000
1,000,000
4,000,000

To reproduce, load some historical tick data and check the volume for a tick in the historical data manager.

Then, collect some real-time tick data and check the volume for a tick in the historical data manager.

Ensure you check Historical tick volume vs real-time collected tick volume.

Is this something that can / should be changed by dividing incoming tick volume by some factor?

Thanks
mrLogik

[NinjaTrader_Dierk]

Curious: does your account support mini lots (10,000) or full lots (100,000)?

[mrlogik]

Hi Dierk,

Under my account summary it says

Lot Size: 1 = 10000

I'm assuming that means the account supports mini lots.

[NinjaTrader_Dierk]

I'll send a support request to MBT to understand the nature of the issue.

[mrlogik]

Thanks Dierk.

[NinjaTrader_Dierk]

MBT is researching the issue. For future requests on the data quality of historical data MBT wants you to contact "dataquality AT mbtrading DOT com". Please provide "username, the date/time it occurs, the symbol and upper and lower volume ranges you're encountering, and any other pertinent data you have on hand". Thanks

[mrlogik]

Very good.

Thanks

[NinjaTrader_Dierk]

Update from MBT support: Forex volume is pretty much "useless" (quotation) and should not be used. The data coming along is is just passed through. It would not be known what it actually reflects.

[mrlogik]

Thanks for the update Dierk.

[xTrader1]

Update from MBT support: Forex volume is pretty much "useless" (quotation) and should not be used. The data coming along is is just passed through. It would not be known what it actually reflects.

It's a strange approach of MB Trading. Personally, I find an internal MBT volume as useful for scalping. Of course, it cannot reflect a global spot volume at given moment. Regarding inconsistency found by MrLogik , a citation from MBT SDK help file follows:

lVolume Long; number of equity shares, options contracts, or futures contracts to transact. For a forex order, enter 10000 for a mini-lot and 100000 for a full-sized lot (the SDK accepts single shares, not full lot sizes like the retail Navigator). Entering 10000 for a mini-lot in the SDK is equivalent to entering 1 for a mini-lot in the retail Navigator (entering 1 in the SDK is the equivalent of entering 0.0001 in the retail Navigator).

My noneducated guess is , that a real time data is SDK based and historical data is MBT navigator based. It is only logical the MB Trading will record its own data using its of MBT Navigator.
Once we understand what's going on, we can live with this issue.