I thought I'd start a new thread on this subject to try to become better informed before maybe making a new suggestion. On a prior thread with a different subject stock777 said: "09-09-06 10:54 AM Speaking of trouble, I hope IB is working on the problem with futures volume reporting that started this week during and before rollover. It's totally screwing up volume based charts and the normal volume reporting in bar charts. Tickets have been opened. 09-13-06 12:50 AM Still getting huge volume spikes if you backfill intraday." kostia from IB said: "09-13-06 06:23 AM If you're looking at daily volume, the volume includes spread trades. However, spread trades are not reported as last sales (due to ambiguity of price assignment?), and therefore do not appear in times and sales and do not show up on the IB charts. See http://www.interactivebrokers.com/cgi-bin/discus/show.pl?tpc=153&post=61197#POST61197" stock777 said: "09-13-06 01:43 PM Yes, but programs like Quotetracker, which I and many people use as a front end, use the TOTAL VOLUME for the day , which now includes spread trades, to construct the volume bars. So it creates a *huge* last bar when doing an intraday backfill. 50- 100 K large, depending what time of day , and how many spread trades there were. Medved, the programmer of Quotetracker claims he cant tell the difference between 'missing' volume bars and this spread trade volume. Not sure how this can be resolved. IB could omit spread trade volume altogether from the total figure, if that is an option. As is stands, the charts are ugly and innacurate, especially volume based bars. PS The charts in TWS do not display this problem as they do not do this 'adjust' for the difference in total volume and the sum of all the bars." and I (possibly confused) said: "If I cared about volume I would vote to omit the spread volume --- it totally stuffs hsi up in the few days before rollover each month." What I meant was that the rollover trades result in big trades in the last few days of the month that confuse any attempt to use volume in reading the market's behaviour. Would anyone be kind enough to provide some extra light on this issue? Please
I can speak for HSI in Hong Kong. I am assuming other markets do the same. The OM system in HK will report a spread as two seperate trades and thus get reported in the volume. If you had an exchange terminal you'd note that there is a blank in the volume field next to the spread/roll market. Note, the total volume reported will not include block trades or auction trades which occur on the open. In short, we're just reporting what the exchange delivers via their API.
Yes def, but do you understand that the individual bars do not seem to contain this volume data on the us futures feed? That's the problem. How would a program like quotetracker differentiate here.
So kiwi, You use Sierra right? So Sierra is also having these volume problems too? And I expect Ensign, and others who use IB for data? QT users want to know...
I'm not even sure I understood what the issue you guys were having was. But we do have a problem with hsi at rollover time.