I think I jumped the gun when I said "no fields". I guess one extra field would be needed for each snapshot, so that each snapshot will have two prices: the first extreme to occur and the last extreme to occur. If the HI (LO) occurs first, then the HI (LO) will be transmitted as the first extreme, otherwise, the LO (HI) will be so transmitted. So some changes would be needed in other software, but I think the changes would be worthwhile. Volume would get assigned to the only price tick, when HI = LO, and gets assigned to the 2nd price tick when HI <> LO. The 2nd price tick is the one which occurs most recently. This would be just as accurate than the existing implementation. Perhaps it would be possible to reduce bandwidth requirements by transmitting the 2nd price tick only when HI <> LO, and by setting an unused bit in some other field, to indicate whether or not each individual snapshot comes with a 2nd price tick. I don't know the formats actually used, so even if this is feasible, it might not produce significant savings.
One last request for IB (one I gave up on previously): The backfill still doesn't include transaction information so Tick Charts don't work. I just saw another newbie to IB's plaintive request for help ... IB, if you should chose to improve the data quality so that bar highs and lows re correct, or even if you don't, could you please add transaction numbers to backfill data? Anyone who thinks that either - accurate data including bar highs and lows is important; or - backfill data should include tick info so tick charts work. Please register and vote at: http://www.interactivebrokers.com/en/general/poll/poll.php?s=1&ib_entity=llc
It seems the link I gave above might not work because I picked it up after I had registered: If you'd like to have the highs and lows of each bar correct (suggestion 1035) or the backfill enhanced to include transaction number so that tick charts still work with backfill data (suggestion 1044) please go and vote at: http://www.interactivebrokers.com/en/general/poll/poll.php?ib_entity=llc ( Glenn, I checked and it seems I posted the link after I had registered. This one should work. )
Hi, Both proposals are accepted by IB: suggestion 1035 (69 Votes) Implementation Scheduled suggestion 1044 (53 Votes) Implementation in Progress see: http://www.interactivebrokers.com/en/general/poll/poll.php?ib_entity=llc Congratulation Kiwi! PS Does suggestion 1035 (=charting data with high and low) mean that API 'Last'-Price will include high and low soon? suggestion 1038 (data feed quality+second plea) was rejected with hint to split it into two suggestions by the way -