Support Board
Date/Time: Thu, 16 Jan 2025 12:04:54 +0000
Post From: Regarding the volume problem with IB data again
| [2013-03-20 19:45:25] |
| traderleong - Posts: 12 |
|
I have attached two charts showing the volume problem with IB data. I observed that this is caused by occassional wrong daily volume messages from the IB data. Sometimes the IB data sends false very low daily volume messages after a real big daily volume number. I guess SC calculates the volume for each trade (tick or each snapshot) by subtracting the previous volume message from the new volume message. When the new volume message is lower than the previous one, SC then discard the volume data. This is fine. The problem happens when a new big real daily volume comes again after the low fake volume message, and the voume calculated for the tick or trade or snapshort will be the big daily volume number minus a very small number. This can happen several times even within a 5min or 10min bar, and thus you get a huge volume bar for 5min chart. This also messes up volume-bar chart. The small fake volume message that IB data sends can be 1, 2, 4, 9, 45, 60, or some other random small numbers. I have suggested a solution to this problem in the old message board. That is to discard any decreasing daily volume message in a filter since daily volume will not decrease until a new session starts. We cannot just dicard some fixed low numbers like 1, 2, or 3, because you do not know what fake daily volume number is going to come next after a realy daily volume number (it can be just a random low number). There is only one daily volume number that can be lower than the previous daily volume message, and this is the daily volume message at the start of a new session and it is the first daily volume message at a new session start. The filter should be able to know which daily volume message is the first message for a new session, thus keeping the first daily volume message which is the lowest should not be a problem. It is highly appreciated that the SC team solve this annoying problem. |
Attachment Deleted.  AUD-201306-GLOBEX 10 min #4 41353.7913.png / V - Attached On 2013-03-20 19:36:38 UTC - Size: 28.64 KB - 770 views AUD-201306-GLOBEX 670 vol #3 41353.7912.png / V - Attached On 2013-03-20 19:36:47 UTC - Size: 22.59 KB - 622 views |