IB TWS time and sales data discrepancy

Discussion in 'Data Sets and Feeds' started by OneCarWilly, Feb 27, 2011.

  1. Noticed what seems like odd behavior in TWS time and sales windows: two windows for the same instrument show different information. The windows are for 1 minute and 5 minute charts for March YM. I'll try and attach a screen shot. The shot was taken right when I noticed the difference on Feb. 17. Apparently it's not uncommon--I just looked at T & S windows from Friday and found discrepancies in the first 2 time periods that I looked at, in trading acct. as well as sim.
    I messaged IB about this but haven't heard back. It's unsettling to see the different data, and it would be nice to know what's going on.
  2. this may have something to do with IB giving you sampled time and sales data rather than full time & sales.

    If each window was receiving a separate sampled feed, you could see discrepancies like this.
  3. Thanks for the reply, tradelink. What you say makes sense.

    I've read some things on ET about IB data, but I haven't been able to find anything on the IB website about sampling or subsetting. Can anyone share a link to IB documentation about how data for last price is sampled or downgraded? I'm curious how this is applied to YM and perhaps futures in general.
  4. I believe they rate limit to 5 updates per second.

    I think if you search ET you will find more information.
  5. Here it is again, from this morning's trading. T and S from the 1 minute YM chart is on the left, from the 5 minute chart on the right.

    I have searched around on ET about IB data (even before I started this thread), but haven't found anything that quite explains this. There may be only 5 updates per second, but the 1-minute T and S has more than 5 entries for 9:35:09. If the updates are packets, they could contain all the data from the time period, just with more delay than if many more packets were sent each second.

    The reason I stumbled onto this T & S behavior is because I noticed that the TWS charts were sometimes painting prices that weren't on the T & S listing. Turned out, the prices did show up in T & S windows from different time frame charts. So how many different data streams are there? Are they all different?

    Anyway, for me this is mostly a curiosity, I'm just a noob trying to learn how to trade on TWS charts, and these discrepancies aren't what's keeping me out of the green. But I do like to know what's going on, and I would still like to find a link to a straightforward explanation of this on the vendor's web site.

  6. moarla


    couold you please post the entire picture, so i can see the complete symbol.
    it seem thaT this are 2 different symbols (month? ...???)
  7. moarla:
    The T & S windows are both for the March YM contract, and the screen shot was made this morning, a few minutes after the time shown in the T & S window. I can't post bigger pictures right now (I'm at work!), but anyone with TWS can check this out. They would have to open 1 minute and 5 minute charts for YM for March 3, 2011, then open time and sales windows for the relevant bars. I'd be interested to hear if others got different results--it doesn't seem like this would be a local problem due to something weird on my machine, but I wouldn't rule it out.
  8. Here are a couple of bigger screen shots taken today of the Time and Sales from yesterday morning.

    In each case, T & S from 1 minute chart is on the left, 5 minute chart on the right.

    The first two screen shots I posted earlier were from my sim account. The ones I'm posting today are from the trading account.

    I haven't really studied these windows, but my impression is that every T & S window that covers the time period shows something different for 9:35:09 yesterday morning.

    A startling difference, to me, is between T & S for candlestick charts, shown in the shot attached to this post, and for bar charts, which I'll attach following. I actually like bar charts, but it seems (in more than the usual ways) that they contain a lot less information!

  9. ....and from bar chart T & S

  10. Looking again, tho, it seems much of the difference may just be in the "Last size", vs. "Last price"...

    Hence the old saw, look twice, post once.
    #10     Mar 4, 2011