Forex Volume Different Between eSignal Historial and Real Time?

[wayneFH]

On historical data from eSignal for Forex, it shows 5 min tick volume ranging from 200 to around 900 per 5 minutes.

But when running real time, like today, it shows 4,418K up to 1,100 K.

Is there some explanation or formula that can be used by switching with the if(!Historical) variable?

Sincerely,
Wayne

[NinjaTrader_Dierk]

NT displays the data it receives from eSignal (historical and live). If you experience oddities on volume you would need to contact eSignal support for clarification.

[NinjaTrader_Ray]

Volume on forex may not be of much value anyways. Not sure where eSignal gets this data since forex is not a centralized market.

[wayneFH]

FYI: I use as a good mechanical indicator of holidays and other low activity periods when it's best to avoid trading at all. I don't use it as a "true" volume.

NOTE: I realize now that I also connected to MB Trading as a secondary connection. eSignal is the primary. I'll test this evening if it's eSignal or MB Trading that's giving these different volume.

eSignal historical volume reports the number of "ticks" or changes in the bid/ask spread. That's useful. What in the world they or MBT appear to be reporting real time, I don't know.

Does that give any ideas? I would think it gets all data including volume from eSignal primarily.

Sincerely,
Wayne

[NinjaTrader_Ray]

Got it. No ideas on why volume may be different, the values are just passed through.

[wayneFH]

The result is that supposedly eSignal reports the volume as the actual number of ticks meaning changes in bid/ask quotes.

So the number of times that OnBarUpdate gets called is supposed to match the volume on historical bars.

Can you explain any reaon why OnBarUpdate() gets called significantly less than the volume (or tick count) data provided by eSignal?

Is there perhaps some duplicate tick filtering in NT? Or could it be some other issue?

Sincerely,
Wayne

[NinjaTrader_Dierk]

Next update will have the duplicate tick filter removed which was in place for currencies. Thanks for reporting this issue.

[wayneFH]

You're welcome. Is there no workaround at present?

I have found counting ticks (included duplicates) an effective means of measure a low activity market. It especially keeps my automated strategy out of the market on Holidays or days where the market sleeps in advance of a news announcement, etc.

Please advise or an ETA of the next release. I'm very happy to have gotten the production release of 6.5.

I'm curious. How often do you release? Monthly? twice a month?

Thanks!
Wayne

[NinjaTrader_Dierk]

- unfortunately no workaround present
- please see release notes/dates in docs for frequency of releases
- next NT6.5 should be available within the next 2 weeks

[wayneFH]

Awesome, awesome, awesome.

Sincerely,
Wayne

[wayneFH]

Dierk,

Please add this as an option rather than always. Maybe you realized this already. It's a waste of resource to process duplicate ticks.

If possible make another option like UpdateOnClose called DuplicateTicks = true or false.

You can make the default false for backward compatibility.

Also, you could add a property called DuplicateTick T/F that you set if it's a duplicate so our method can just count it and return.

That last one is only a nice-to-have since I could implement logic to compare the bid and ask each time myself.

Adding these features would simply make it an elegant solution just like the rest of NinjaTrader and NinjaScript. Not perfect, but very elegant.

Sincerely,
Wayne

[NinjaTrader_Dierk]

Thanks for your suggestions. We'll add it to the list of future considerations.