IB's line charts display opening and closing values correctly, and use VWAP of equal-length time periods for inner points (in case of Lasts) and time-weighted price for bid/ask/midpoint.
Yes, IB does what it does correctly, but what it does is nowhere near as useful as the way QT displays line charts. QT line charts do not summarize prices by averaging them over intervals, like IB. QT line charts instead summarize prices by including the extreme values in each summarized interval. I don't mean the high and low of the entire chart; I mean if the chart is broken up into 5-second intervals, QT will display the high and low occurring within each 5-second interval. QT's approach is vastly different and more useful. Try collecting intraday chart data in real time under QT (don't use IB backfill which has far less detail), and then compare the QT line chart to an IB line chart. Make sure, before accumulating the data, that QT's "weeding points" option has not been selected. You will notice the QT line charts contain enormously greater and more useful amounts of information than do the IB line charts. I notice, from your posting, that my description of IB's algorithm for summarizing line chart data is somewhat more complex than I had assumed, because the algorithm uses volume or time weighted averages, of which I was not aware. I apologize for making and stating incorrect assumptions based on my experience with the charts. These details, however, do not negate my suggestion, that the line charts would be far more useful if VWAP and TWAP were replaced by QT's approach to line charts. Now that I am thinking about it, it occurred to me that some people might actually appreciate line charts based on VWAP or TWAP prices, so that IB's approach does have more merit than I had previously thought. So I would change my suggestion to providing a user-selectable option: let the user either display extreme values like QT line charts, OR go with the traditional IB VWAP/TWAP method for line charts. I would also note that QT allows the user to display charts using its standard method of including highs and lows, as I suggested, but that QT also allows the user to construct line charts based on TWAP and VWAP methods like IB. I'm not trying to beat up IB here - I'm trying to be helpful, since IB seems quite committed to continually improving its charting. I think that this one improvement would make a very big difference.
Quote from jimrockford: QT line charts instead summarize prices by including the extreme values in each summarized interval. I don't mean the high and low of the entire chart; I mean if the chart is broken up into 5-second intervals, QT will display the high and low occurring within each 5-second interval. For those of us that don't have QT, how does it draw a single line to/from two different points? By varying the line width? Can you post a picture?
In the new version of TWS, now you can creat a combined contracts. I spot one problem with this new feature.in order to define the combined contract, in the "new chart window", when I select "combined contracts"( instead of "Single contract" ), in the "What to show" menu below, I can only show"Bid/Ask", other choice is not available in this menu. I think It should be a drawdown menu with multi-choices such as " trade" and "bid/ask" "midpoint" etc. But now the user can only show "bid/ask" . Tell me how to show "trades" with this new feature,thanks
Level 2 does not work for Nyse stocks. Nyse open book is next to worthless, but level 2 for high volume stocks would be very useful because there are numerous Nasdaq participants.
Here are both a quotetracker line chart, and an IB line chart, for ISLAND trades in the security SPY, during RTH on May 19, 2006. Compare the the daily hi and lo displayed on each chart. Make similar comparisons for the his and los of various smaller features on the two charts. The QT line chart contains far more info and I find it far more useful. This is meant to respond to Alanm's query about my previous suggestion that IB should change its algorithm for displaying line charts.
Quote from jimrockford: Here are both a quotetracker line chart, and an IB line chart... It's hard to see, but the QT lines look more "fuzzy", making me think it's doing what I suggested earlier - drawing solid trapezoids instead of lines. Seems like a neat idea. Perhaps Jerry can confirm if he's lurking.
the IB chart is showing the closing price at every minute (I believe). In QuoteTracker, there are 2 line chart options - one that does the same as IB (called "Line Chart - Consolidated") and one that shows every quote (called just "Line Chart") the QT chart that was posted was showing every quote, thus the difference in the charts. Jerry Medved htttp://www.quotetracker.com