IB TWS Time & Sales

Hi IBSoft,

I understand that the TWS does not send out every tick. Does that mean that the total volume sent by TWS tick by tick is less than the actual volume done on the exchange, for example ES on Globex?

Thanks for clarifying,
Steven.

 

I am not sure that I understand your question.

If you are asking whether the volume displayed by the TWS in the volume column is correct, the answer is yes.

If you run a third-party application that gets the last sales from the TWS and adds up their volume, then you will show a smaller total volume.

 

Thanks for your answer.

Specifically, I am using a third-party charting software using TWS as a data feed. So I suppose the volume that is charted is less than the actual exchange volume.

 

-OT-

IBsoft - is it possible to display the Opening prices in the TWS layout? I made what I thought was a good effort in trying to do so but to no avail. TIA

 

There is no such thing on the TWS, only the closing prices from the previous day. Sorry.

 

Why is that? I don't understand this....
Total volume should be nothing else than the sum of all individual trades of the day....

 

Yes, but IB datafeed does not return all individual trades for the day. Its not a tick-by-tick datafeed.

Therefore, if the charting software you use just sums up last size instead of looking at the cumulative volume data that TWS does send, then the total will be smaller than the actual volume.

It is up to each developer whether to use the cumulative volume or sum the last size values, depending on the needs of the software. In QuoteTracker, we read the cumulative volume data. Each row in raw data/Time Sales value shows the difference between the cumulative volume on the current quote and the previous one. Thats why with IB, each row may show volume for more than one quote.

 

That would depend on which specific charting software you are using.

 

Thanks for your answer.

Just to clarify, do you mean that Quotetracker tries to construct an accurate volume chart with live IB feed even when TWS does not send out the complete time and sales? I suppose a 100% accurate volume chart is not possible?

Steven.

 

Not sure what volume chart you are referring to. The volume on most charts is for way more than 1 tick, so if for example you are looking at 1 minute charts, you are not going to see any difference in the volume bars from IB data vs a tick by tick datafeed.

For displaying of volume, you are not going to see any noticible difference on any chart types. The difference will be if comparing TICK charts generated using IB data to one generated using a tick by tick datafeed. There will be less bars on the IB generated chart. Thats all