IB ES data and Quotetracker

Discussion in 'Data Sets and Feeds' started by stock777, Mar 11, 2009.

  1. For the ES, I'm seeing very frequent large 'trades' (size in the high hundreds to thousands) in the Quotetracker time and sales feed using IB, that seem wrong and do not show up in TWS (IB) t&s stream viewed at the same time.

    QT says IB is sending the wrong volume data, but I'm not so sure.

    Since many of you watch the ES, I ask if there's some explanation for this.
  2. rcj


    This is strange. Doesnt TWS and QT get the same messages
    thru the API ???
  3. Yes. It has to do with the rollover from March to June ES contracts and IB's snapshot data volume reporting.
  4. rcj


    Again, the question... Do QT and TWS time/sales get identical
    messages thru the IB API ????

    IF the answer is YES and i observe the ES March contract in QT t/s panel and ES March contract in TWS t/s then i should see
    the same trades.

    IF the answer is NO...well ...???

  5. I was once told that QT further aggregates IB's data as it comes into QT.
  6. ITR2744


    volume spikes (using Volume bars) are a common problem using quotetracker and IB's feed (as well using DTN etc.). Recently it has gotten better... Some time ago I e.mailed with Jerry Medved buth he wasn't able to solve the problem once and for all. If it's possible with your strategy, try time bars instead of volume bars. Or fiddle around with the volume cap % number in your settings of QT... I'll have a look if I have stored these old e.mails from Jerry and copy them here.
  7. Yes, it is a well-know bug of QuoteTracker which they know already for long. No, there is no change to this behaviour.

    Unfortunately they refuse to fix it (seems they got lazy after Ameritrade deal).
    I record TWS data separately and can compare it - IB data is ok so far within their parameters.

    It has to do with back-filling: QT gets confused often when backfilling during periods where a lot of trading takes place.
    You can usually work around it by doing one of the following:

    1. Edit the data directly using Ctrl+D (data window), turn filtering off then mark the spike data (perhaps some data around), delete.

    2. Clear the spike by centering the spike in your chart window then delete it with Ctrl+Shift+L (delete low spike) or Ctrl+Shift+L (delete high spike).

    3. Delete the data of the whole day (right mouse-button click, select clear data..) where the spike happened and backfill again.

    Sometimes all that doesn't work. You have to wait until the next day. Then you can clear the data of the whole day, backfill again.

    QT stores data in the first place as it comes in.

    After some days (think it was 4-5 days) it compresses them (builds 15sec-bars of them) to save memory (strange anyway with current RAM and HDDs). You can see this clearly on constant volume charts - ugly block artefacts appearing there after some days.

    Taken together:
    I like QT somehow because it is quite fast, gives a clear picture.
    But unfortunately it comes into its years and people don't seem to care anymore to improve it.
  8. I considered that, I forgot it was coming right up, as this problem was noticeable starting at least 10 days ago.

    The TWS t&s feed does not show these blocks, so I don't know why theres a difference in the api feed.

    QT has a bug for years where a backfill of futures causes a a ridiculous bar as the most recent tick. You have to manually delete them. I'm sure they could fix it programmatically but they refuse.