Quotetracker/IB: Backfill with Volumebars - Chart changes..?

Discussion in 'Trading Software' started by karabugla, Nov 9, 2007.

  1. Hi,

    Í´m currently experimenting with volumbars in QT with IB as data feed.
    When I clear the data for the day after the close and then backfill it, it looks totally different and somehow wrong.

    I attached 2 charts showing the same timespan.

    chart with data collected throughout the day:


    chart with data after backfill:


    I really like QT and its features, but that is really annoying especially if you missed a couple of hours of one day, use the backfill and get these strange looking charts....

    Anyone have any idea?


  2. mark1

    mark1 Guest

    Medved QT is not the problem, the problem is the way IB backfill works.

    I think they don't send each single tick/snapshot (as they instead do in real time) but a "compressed" format. That's why you see 2 different charts when using volume bars.

    Not sure 100% , but I remember reading something about it in an Amibroker group message.

    Basically you need to "record" the whole previous sessions and not backfilling if you want to use volume bars with IB as a data feed.
  3. Thanks for info...what a pitty...

  4. AAA30


    This may be right about IB but QT backfill thru iqfeed is also F'd I believe this problem is with QT on bars that are sub 1min which can happen with volume bars. When I backfill thru IqFeed in Ninjatrader the bars appear very close to what they would in real-time. So I put the blame on QT because it compresses the data some times.

    I emailed QT support about this but received no response. Which never used to happen before TD took over.
  5. AAA30


    Mike from QT sent me a PM and I emailed him an example of the difference in Backfill between QT and NT. Except Iqfeed no longer allows me to use NT with the feed so I had to compare it to opentick data. This comparision most likely will not be ok.

    If anyone has IQfeed with Ninjatrader could you post a chart of 10,000 share and 50,000 share bars of RIMM from Friday 9th of november for any .5 hour period using Backfill not realtime data.

  6. AAA30


    Update: Mike from QT fixed my problem. E-mailed me the fix on a saturday.
    Take back what I said about QT not having great customer service anymore. Impressed.