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rcj

Registered: Aug 2005
Posts: 1614

04-25-12 08:37 PM

Under global settings when calculated volume is set, the value
updates correctly on a ticker page in TWS.

However the calculated volume value is not being sent thru
the API for use by some apps getting data from IB. Instead, the
"native" volume value is sent thru the AP!.

vol setting.jpg
This has been downloaded 1032 time(s).

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PointOne

Registered: Dec 2006
Posts: 599

04-26-12 12:34 AM

The implication of the above statement by rcj is that the accumulated volume is only broadcast to the API every 30 seconds or so. Previously it refreshed every second (at least).

This is an unacceptable change in data delivery to the API (form and frequency).

As rcj states, many API apps rely on calculating off accumulated volume for accurate assessment of changes in volume in a timely manner.

IB please fix this recent change to the way you broadcast accumulated volume to the API - return to a once per second refresh rate or better.

Thanks.

Keywords:
Interactive Brokers
Accumulated volume issue
Quotetracker

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PointOne

Registered: Dec 2006
Posts: 599

04-26-12 02:19 AM

To be more specific:

My technical team tells me it is the frequency of broadcast of field 8 in event_tick_size() that has changed.

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rcj

Registered: Aug 2005
Posts: 1614

04-26-12 02:41 AM

ALSO ...............................

For April 25 reset at 3.30pm CDT some of the volume data in TWS did not reset to zero. For example YM vol remained the same as at 3.15pm CDT.

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mcdull

Registered: Feb 2009
Posts: 51

04-26-12 02:48 AM

I have the same issue since 2012/04/24.

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atrocious

Registered: Mar 2010
Posts: 164

04-26-12 02:09 PM

This is not just a volume issue, starting last week I've also noticed high/low data lagging by up to 30 seconds in TWS (non-API).

i.e. crude is still displaying a 104 high while it's trading 104.10 bid, eventually it catches up but this always used to be realtime.

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