Support Board
Date/Time: Wed, 27 Nov 2024 11:37:05 +0000
Post From: volume from interactive brokers data is incorrect
| [2023-09-06 10:03:07] |
| centi - Posts: 10 |
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After a bit of some analysis, I came to this understanding. Interactive Brokers have a concept of calculating volumes by excluding some transactions. These are like 1. Delayed Transactions, 2. Busts, 3. Late reported trades and 4. Combos. These are significantly affecting the volume compared to Native volumes reported in other charting platforms & even in Exchange data they show the Native Volume. Now, the problem occured in SierraCharts because, SC takes the historical data which incluses volume (Calculated by IB) from IBAPI using lets say "reqHistoricalData" which is the API call. But for the current trading day, it appears that SC is taking quote values from "reqMktData" which is the quickest way to access data for multiple contracts. But this creates problem as this api call "reqMktData" contains the native volume which is different from the calculated Volume obtained from "reqHistoricalData". And this is one of the reason why the Volume goes to 1 or 5 after the market closes - because "reqMktData" will show only the transactions from after hours session (30 mins post market closure). Now, I can request in 2 ways, Either I need to get help from IB team to enable the Native Volume (which I dont think IB will consider any request from 1 retail trader) Or, I can request SC team to take the streaming data from the same API call "reqHistoricalData" where they have the streaming quotes (with IB Calculated Volume). And this can be used only for charts. for the QuoteBoard, SC can still stick to "reqMktData" where the volume will not match. But The chart will be having the correct market data feed. Please let me know whether you will consider this request... Date Time Of Last Edit: 2023-09-06 10:58:52
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