IB data feed

Discussion in 'Data Sets and Feeds' started by simki, Nov 1, 2005.

  1. simki



    I use volume as part of my analysis but have not found any charting program that can accurately plot real time volume from IB.

    i.e I expect that the volume captured realtime does not vary too much from backfill data.

    I have tried IBCharts and Multicharts so far they all failed to capture volume properly.

    Does anyone know of a product that can capture the volume properly ?

    Understand that problem could be due to how IB sends its size messages but does any vendor have a workaround?

  2. bofi


  3. simki


    just tried, nope sierra charts also doesn't handle volume data from IB well.

    So far, SIERRA CHARTS, IBCHARTS and MULTICHARTS have failed to capture real time volume from IB accurately
  4. jseto


  5. HOw exactly is volume not plotting correctly. Keep in mind that IB does not report trade by trade data, it is segregated.
  6. I think quotetracker claims to do it properly. The correct way to do it is to calculate bar volume from cumulative volume events via the API rather than last size events. Volume bars should then be reasonably accurate.
  7. fhl


    I don't like IB charts and have been using another brokers software for charting. My problem is that the other broker's volume numbers are screwy. Specifically, when you key in a stock, the volume you get is from 'primary exchange', however the volume going forward is from 'all exchanges', so the volume is different. It really screws up the charts if you like to flip through numerous charts all the time and volume is important to you. This may be a problem with other charting services.

  8. What your "other broker" is doing is totally screwed up. IB doesn't do it that way.
  9. simki


    well if you noticed when these programs plots volume real time say for 1 minute bars, it is normally much larger than actual.
    Once you do a backfill.. the volume becomes much smaller.

    Like i said i understand it could be due to how IB sends size messages, i am looking for a chart vendor that has a work around.

    thanx dcraig.. will take look at quotetracker.
  10. simki


    There is also significantly difference between real time and backfill volume for quotetracker too. In some cases backfill is showing only half the vol shown at real time.

    Thus so far ibcharts, multicharts, sierracharts,quotetracker does not have a work around to capture realtime volume accurately.

    sigh..i would like to use IB feed since its free and faster... but looks like i need to subscribe to a feed vendor :(
    #10     Nov 2, 2005