IB TWS Volume Issue

There are 2 sources of the volume: the one that is supplied by the data feed (also known as "native" volume, which includes all corrections like trade busts etc) and the one that calculated by us (also known as "calculated" volume, which is just indicative volume and does not include trade busts etc).

As a courtesy to our customers we made it possible in TWS to elect to view native or calculated via config setting discussed above. API clients has (and had for a while) access to both (native is requested using RTVolume generic tick). The config in TWS only updates UI and does not affect API (nor logically it should affect API since both data points are accessible by simply querying it).

We are checking why native volume (and high/low) is now ticking slower than it use to be (this is likely related to the fact how frequently this data is delivered to us from exchange); calculated volume is still ticking very frequently.

Thank you for bringing this up to our attention using appropriate channels.

 

One issue using "calcualteed volume":

If you open an option chain, say AAPL, all option volumes will drop significantly if using "calculated volume".

In this case, the volume means what? Kind of misleading...

 

As described in corresponding tooltips in TWS, calculated volume does not include "delayed transactions, ... late reporting trades and combos".

You have an option to use slower ticking but more "true" volume by electing "native" volume display.

 

Would love to have the calculated volume come through on the API. Rather not have the delayed transactions thrown in at random to screw up and give false momentum.

 

This is accessible (as RTVolume generic tick) starting TWS build 889, see these API release notes (all the way on the bottom) http://www.interactivebrokers.com/en/software/apiReleaseNotes/api962.php?ib_entity=llc

 

Sorry dst..... I just want QuoteTracker to work again. Would be nice if there was a way to assign this "new" volume within the API so QuoteTracker does not need to be reprogrammed.

 

just checked the msg center. no update yet.

 

UPDATE....................

IB ticket still showing: "INPROG" this afternoon.

 

UPDATE....................Still Nothing.

IB ticket still showing: "INPROG" this afternoon.

 

We found the issue; the volume will be ticking as frequently as it used to be shortly, it will take couple of days to fully take effect. Thank you for your patience.