IB Quotetracker volumespikes

Discussion in 'Trading Software' started by hirsch.im.wald, Nov 25, 2005.

Who do you think is the culprit?

  1. definitely a bug on the side of IB

    0 vote(s)
  2. definitely a bug on the side of Quotetracker

    1 vote(s)
  3. you're doing something wrong

    1 vote(s)
  4. don't know

    1 vote(s)
  1. I was fiddling round with some strange volumespike. It gets printed always in the last completed minute bar. I clear the chart data, backfill again, if it was at 20:37 before, now it's at say 20:39.When I stop quotes, clear data and backfill it's gone, as soon as I restart the quotes I have it again, only the time has changed. Sometimes it comes with a price spike down/up to the previous day's close.
    Sometimes I can get rid of it simply with trying often enough. Sometimes it drives me crazy.

    The latest occurance I had right now in the GLOBEX EURUSD (6EZ5), with all volume prints being 1 to 3 digits except for one being 31176. After data clean and re-backfill its 31342 in a different minute.
    It renders the volume profile completely useless.

    Does anybody experience the same?
    Do you have an idea what the problem is?

    I tend to think it's IB rather than Quotetracker who's got the bug. But I'm not sure.

    I have another issue with Quotetracker's VWAP. It starts at 0, coming slowly closer to the actual price only several hours into the trading session. As far as I understand VWAP it should start out with the actual opening price, but definitely within the developing day's trading range.
  2. Farside


    I'm having Quotetracker issues with my charts. They aren't working.
  3. Farside - Charts - we are looking into it - has to do with holiday handling.

    hirsch.im.wald - Spike - email support@quotetracker.com - indicate the exact symbol, QT version AND the timeframe specified for that symbol - not in preferences but on the chart itself - click on the yellow clock button on the chart toolbar to see what it is set to
  4. Farside - regarding the charts- instructions:

    1) Select OPTIONS/WebUpdate menu, let QuoteTracker update all files
    2) Restart QuoteTracker

    that should get things going for now. Bug with half day holiday definition. Removed the holiday (today) for now. will add it back in on Monday (problem only happens on the day of the holiday)
    and will fix in future versions of course
  5. I also experience hirsch.im.wald's problem with IB and QT. I observe it regularly whenever I clear and then backfill U.S. equities. I strangely do not observe this problem with various futures contracts, even though I will clear and then backfill them at exactly the same time that I clear and backfill my U.S. equities symbols, which I once or twice every afternoon.

    I have, in the past, observed various problems relating to volume, IB, and QT, which were similar, but not identical, to the current problem. Medved was responsive and so the previous problems I complained about were dealt with. I must admit that I have been distracted, and so I never got around to reporting to him this current problem. I am sure that if I had complained, he would have addressed it, because he is very responsive to bug reports, and I would like to make sure I don't convey the opposite impression. I would normally never report a QT bug publicly, because Medved always takes care of business when privately requested to do so. I am only making an exception, this one time, in order to help everybody involved by confirming that this problem has been around for a while and affects more than just one person.

    I would just like to make clear that Medved's technical support and troubleshooting are second to none and deserving of recognition, and I hope that this posting helps everybody with the troubleshooting process.
  6. Farside


    Jerry, I'm up and running again now. Thanks for your help!
  7. Him, there may be a small spike right where backfill data is met with the data collected from Level I . Because IB L I quotes do not have time on them, system time is used and that may be slightly off from IB servers so when backfill data is read in (which obviously does have time on the quotes) there may be a problem with mixing the two.

    However, by far the most common issue is wrong timeframe being used on the symbol. That happens most often with futures, not stocks though. If you have the problem with large spike, email support with:


    files from the QuoteTracker folder. Zip them first. and indicate what the problem is and on what symbols
  8. I am sure this is the case.
  9. Correction to my first post in this thread.

    I said that I observe this problem with U.S. equities, but not futures. I just now observed it with NQZ5 and ER2Z5. YM DEC 05 did not produce this problem (this time). I never try clear and backfill ES, so I can't say if it happens with that symbol.