Quote from palinuro:
Ever since the new ES contract, I have been getting very erratic volume from IB / NT, with weird spikes every few bars.
The only solution I've found is to keep redownloading the historical data every bar to figure out what's going on.
Have others noticed this? Any suggestions?
TIA
- palinuro
Palinuro, I have both NT and TN datafeeds and the volumes match up pretty darn closely all morning. The IB spike thingy I've seen before and never got a good explanation for it except perhaps that it is related to their 100 msec/data package protocol.
So maybe the NT artifact is 'local' as opposed to systemic.
lj
