IB data in TWS - volume and last price discrepancies?

Discussion in 'Data Sets and Feeds' started by rayl, Apr 16, 2007.

  1. rayl


    I've seen many discussions here and elsewhere about IB's snapshot model for market data and also the fact that IB calculates the DJ INDU vs reporting it from a feed, however, I have noticed an issue that is unexplained.

    Namely, it seems that for most OTC BB and NMS equities, today's volume reported by IB data in TWS is lower than that reported by other providers and brokerages. And in some cases, the last price reported at the end of day even differs!

    It seems like some trades are just not being reflected in IB's data?

    e.g., today (4/16), right now (7:15PM EDT, well after the close), CAMH (OTC BB) via SMART is showing a last of 3.69 with a volume of 556.7k in TWS. Every other source, even free sites like Yahoo Finance, is reporting a last of 3.70 with a volume of 558,855.

    This is not explained by snapshot time sheer bec it's well more than 300ms after the close....

    Does anyone know the reason for this? I'm also going to send an inquiry to IB but thought someone here might know the answer. Thx.
  2. rayl


    For everyone's info, the response I got from IB CS is that the price/volume info on IB only reflects the markets on which IB participates.