I'm seeing this problem on widely trades stocks. WMT COST to name two The api feed seems to have it right, TWS display is totally bogus as to size on the inside. I notice that unless the inside PRICE changes on WMT, you get no TWS size updates at all.
EXACTLY!!! i even notified IB and had some email exchange with them about 1 month ago helping them to sort it out! they have no clue...
there's been certain ECNs which haven't been counted, and certain ones which were double counted. i emailed about this a while ago with screenshots, couldn't get it resolved.
i honestly don't know what else we can do to fix this..every one i contact at IB either doesn't care or don't know how to solve this or even where the problem might be..
Allow me to clarify what is going here. We have direct market data connections to almost all exchanges and ecns. When one of these connections is down, or we know that the true consolidated quote as disseminated by NASDAQ and CQS is faster than our own calculated aggregate quote, then we disseminate the consolidated. The true consolidated quote as disseminated by NASDAQ and CQS DOES NOT contain the true consolidated aggregate size. But we feel that it is better to show the more accurate price, rather than showing a wrong price and size.
In all candor , that does not sound like an explanation for what we're seeing. I've already explained that your API feed is correct, or close enough, but the TWS display is not. How does that jive with your story? There's no reason for the API and TWS smart route numbers to differ, I think you'd agree. All you have to do is look at symbol WMT to see this issue.
With all do respect, I am explaining EXACTLY why the sizes do not match up on the main page. I cannot comment on why the API prices would be correct, but the API is not my domain. I will try to get an answer.
Just so you ask the right question, the api SIZES and prices are correct. I've watched sizes change 50 times, showing 10, 20 50 thousand bid, while tws shows no change and 100 shares bid. I don't think that is of benefit to anyone, regardless of the 'explanation' Example. WMT, right now in the aftermarket. The offer is 1300 shares on Nasdaq (Island) Your Island routing shows the 1300 shares, as does your api feed. Your smart line shows 100. pretty cut and dried.
all true.. as i said-we have literally tons of absolutely useless features in TWS. we have everything in it..but nothing really works correctly.everywhere i click on "new look and feel TWS"-there is a problem. most of them not fixed,even after numerous reports. absolutely simple ones. you click on cancel button on basket file window-not working. you click on cancel when you trying to delete row-not working. man..what can i say...did you EVER test TWS BEFORE build release or we are(the users) taking the responsibility of your QA dept(i doubt that it's exist). back to the topic-after all those "features" implemented......is it so hard to display cumulative size from all exchanges,where prices are equal to NBBO? is there is anyone out there,in IB,who have some trading experience and understand how important the SIZE for stock trader? we not asking to add a f* another ichimoku cloud filter,just give us couple very basic pieces of data. please..