IB TWS Volume Issue

Discussion in 'Retail Brokers' started by rcj, Apr 25, 2012.

  1. rcj

    rcj

    Under global settings when calculated volume is set, the value
    updates correctly on a ticker page in TWS.

    However the calculated volume value is not being sent thru
    the API for use by some apps getting data from IB. Instead, the
    "native" volume value is sent thru the AP!.

    <img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=3510418>
     
  2. The implication of the above statement by rcj is that the accumulated volume is only broadcast to the API every 30 seconds or so. Previously it refreshed every second (at least).

    This is an unacceptable change in data delivery to the API (form and frequency).

    As rcj states, many API apps rely on calculating off accumulated volume for accurate assessment of changes in volume in a timely manner.

    IB please fix this recent change to the way you broadcast accumulated volume to the API - return to a once per second refresh rate or better.

    Thanks.

    Keywords:
    Interactive Brokers
    Accumulated volume issue
    Quotetracker
     
  3. To be more specific:

    My technical team tells me it is the frequency of broadcast of field 8 in event_tick_size() that has changed.
     
  4. rcj

    rcj

    ALSO ...............................

    For April 25 reset at 3.30pm CDT some of the volume data in TWS did not reset to zero. For example YM vol remained the same as at 3.15pm CDT.
     
  5. mcdull

    mcdull

    I have the same issue since 2012/04/24.
     
  6. This is not just a volume issue, starting last week I've also noticed high/low data lagging by up to 30 seconds in TWS (non-API).

    i.e. crude is still displaying a 104 high while it's trading 104.10 bid, eventually it catches up but this always used to be realtime.
     


  7. Jerry....when I do what rcj says my volume is updating fine now on TWS. Watching the updates on volume before (in TWS "native") was the exact time QT updated. Why does QT continue to use the "native" number? Is that an API issue that cannot be changed by anybody but IB?
     
  8. QT uses whatever value is passed for volume. I have not looked at the API in a while, but at the time we implemented and for years after that, there was no option for different volumes
     
  9. rcj

    rcj

    Trouble ticket went in to IB last night. i also mesged one of the
    IB reps that watch this board.
     
  10. rcj

    rcj

    IB is working on this now ...........

    2012/04/26
    06:06:01 IBCS Dear ........

    Thank you for your report. We have been able to replicate the issue and we have notified our developers. They are researching the issue, we will let you know when there is an update.

    Regards,
    Guillermo
     
    #10     Apr 26, 2012