Problem pulling OHLC data for chart and level II information

[Jason]

Hello again, I am having trouble getting MT to show a chart for the stock MARA. I have IB set up as my data source for all types of data. When I type the symbol into the chart MT shows "There is no data to chart." However in IB's TWS I can see the data for MARA just fine in a chart. Backfilling the chart also doesn't doesn't do anything. I can see the highlighted indicator at the top of the chart showing that it is backfilling the data but this again results in "There is no data to chart." I have also tried clearing and then backfilling to no avail. What's more, time and sales raw data is populating properly for live trades and I can pull chart data for other stock symbols just fine.

I have also noticed that even though I have IB set up as the data source for Level II data no data is being displayed no matter which symbol I enter. I have also ensured that the Level II window is properly linked to my chart and tried entering symbols directly into the Level II window. I don't know if this is due to the fact that I'm looking at these symbols after normal trading hours. But I wouldn't think that would cause an issue as Level II data is displaying fine in TWS for symbols in after hours trading session.

Another minor issue... let me know if I should create a separate topic for this.. but I've noticed that in my trade ticket no buttons are shown for "Short" or "Cover" even though I have the ability in TWS. If it helps to know, when I check the Order Settings under "Trading / Accounts" BUY and SELL are the only ones available. SHORT and COVER do not appear.

 

Thanks for your help!

 

[Jerry Medved]

if you turn off spike filter, does it show? SETTINGS / CHARTS / SPIKE FILTER.

Does raw data show data for the period that is not shown on chart?

SHORT and COVER are not needed for IB. You just buy and sell. designating it as short and cover is done automatically.

[Jason]

Okay, I tried turning off spike filter and it seemed to improve things quite a bit. The moves on that particular chart were so small it never occurred to me that they might be considered spikes by MT so I didn't think to check for that.

However, I'm still having a problem. And I noticed a bit of this on the MARA chart but wasn't sure of what I was seeing and didn't have enough time to investigate. I'm seeing the same thing now with another chart for symbol FNKO. There appear to be large differences in the data which shows on the chart for that symbol in IB's TWS. For example, on a one minute chart if I look at 15:59 in TWS it shows an OHLC candle of 8.46 / 8.47 / 8.40 / 8.40 with 10 transactions in the T&S and a volume of 2378. In MT that same minute shows an OHLC of 8.45 / 8.47 / 8.42 / 8.47 in 4 transactions with a volume of 1000 shares. And the first transaction within that minute in TWS is at 15:59:02 while in MT it's showing up at 15:59:07. These differences are large enough to change how the chart looks and even the reported record close for the day for that stock by, in this case, almost $0.10. That could affect trendlines, alerts, etc. Even in cases where I can see the volume matches for the minute being examined between TWS and MT there is still a delay or offset between the transaction times in MT and IB. I'm having a hard time understanding why there would be so many differences with the same data sources.

[Jerry Medved]

the data you are seeing in MT is backfilled.  Backfill with IB is 1 minute OHLC, which MT stores as 4 rows (one for each Open, High, Low and Close) and the volume spread approximately evenly across them. If you compare to TWS chart for the same minute, it should be exactly the same, if the backfill in MT was from IB. 

[Jason]

Then there must be some kind of problem here then. The data that I'm seeing in TWS is very different from the data in MT for the same minute. From what you are saying I guess the volume from each transaction may differ but the total volume for each minute and OHLC values should be the same. I have IB set up as the source for everything, I don't have any other feed or data providers. I'll look for another example again after I get home later today.

[Jerry Medved]

send me the settings and data. and email me the screenshot of the two charts that you are comparing
Go to FILE / HELP => Send Log/Settings to support menu (from Dashboard or Portfolio)
And add the Post URL in the comment.  Check the INCLUDE QUOTE DATA checkbox 

 

[Jason]

Here is the image of the chart from MT of FNKO from today's activity:

Here is the chart from TWS:

I will be sending the settings and logs momentarily. Significant differences in the volume data seem to be apparent just from the chart as well.

[Jerry Medved]

ok I see. This is a data subscription issue. Your account is not subscribed for the right stuff. Result is that the data returned from IB is incomplete.  Sorry can't be more detailed - their subscription stuff is convoluted.  as an example, here is my chart backfilled with IB for the same symbol. as you can see, it matches their stuff exactly. You may want to contact them and check the subscriptions..

[Jason]

Yes, but if your chart from TWS matches my chart from TWS that would indicate that through IB you and I both have the same data feed and subscriptions. I would think that whatever data I have subscribed to through IB would be the same data accessed by my MT via the API. So why would your subscription data from IB be showing up in your MT but mine isn't showing up in my MT? Unless there is something more that I need to do in MT to show this data... Okay I just checked in my account settings under "Configure Accounts" and found that the options for "Subscribed to TotalView" and "Subscribed to NYSE Open Book" were both unchecked as defaults when I set up MT with my IB account. However, after selecting them and clearing all the data I had for FNKO and re-backfilling, the chart still looks broken up in MT for me.

Edited November 29, 2017 by Jason

[Jerry Medved]

no, it would indicate that my subscription is different than yours. cannot assume that IB chart gets the same data that we get via API because TWS can get delayed data, and because of that can in some situations get data that is not subscribed. But via API, they don't give that. 

TotalView and NYSE book are unrelated. The subscriptions in question are on your IB account, not MT, and have to do with which exchanges are subscribed.  

[Jason]

Oh I see. It never would have occurred to me that the full data would be coming through to my TWS on a delayed basis but that same data wouldn't be passed through MT. I'll check it out.

[Jason]

Okay, after a long time I have had an opportunity finally to revisit this during live trading hours and I'm going to have to say that the issues with the information not matching between TWS and MT are no longer present. I don't understand why there were so many discrepancies before. FNKO is as far as I can tell a regular NASDAQ traded stock and I haven't had any issues receiving data or complete information from FNKO or any other NASDAQ stock through TWS as far as I can tell. But in any case I can't repeat the issues and can't investigate any further.

I am still having the issues mentioned in my first post regarding Level II data. As far as I can tell I have everything set up correctly in settings to source Level II feeds from IB but regardless of the symbol I'm looking at the market maker names, sizes and prices do not appear in any MT Level II window that I open. When I click on the "Main" tab in the Level II window it shows a green light next to STOP indicating that MT is receiving data and the information for the symbol.. the Last, Chng, Time, Vol., High and Low fields update properly in live trading hours but that's all that is displayed.

Thanks for help.

[Jerry Medved]

IB Level II leaves something to be desired. Even if you have everything setup right, there is no way MT can get all the data that is shown in TWS because of the restrictions in their API

Assuming you are looking at NASDAQ stocks and are NOT subscribed to "TotalView", you would wanto to make sure the TotalView and NYSE OPEN Book are NOT checked in settings. 

Other than that, if it is not working for you, send us the log and we can check.

[Jason]

Okay, the other day I was using TWS and looking at some charts and started noticing that some of them looked very incomplete in the candlestick representation (I had a chance to see the same charts in someone else's platform live). This was in TWS and I've never had problems like this before. Even though I already had access to NASDAQ Total View, I added some data subscriptions and just like that the MM IDs started showing up in MT and the charts in TWS started looking complete. I'm now paying $70 for these data subscriptions. I now have NYSE OpenBook, BATS Depth, NASDAQ Total View, NYSE ArcaBook and AMEX and in MT there are only a couple of MMs that show. It's almost always NSDQ and occasionally UBSS. Both subscribed to TotalView and OpenBook are selected in MT settings. Is there any way to access the MM data at this point in MT?

[Jerry Medved]

Note my comment about IB  Level II:

IB Level II leaves something to be desired. Even if you have everything setup right, there is no way MT can get all the data that is shown in TWS because of the restrictions in their API

 

[Jason]

I was afraid of that. Are these restrictions endemic to the API itself? In other words, do you think IB would need to further develop their API in order to make it possible? Or are the restrictions of such a nature that IB simply isn't permitting the data to be accessed? I can try contacting them to see if they lift any restrictions if you think that might help.

Short of that, can MT receive proper Level II data from any 3rd party data providers that you know work well with MT?

[Jerry Medved]

this has been an issue for years, so I do not think it is something IB is going to address.  QuoteMedia will be added soon and will have TotalView.  Stockwatch and IQFeed have regular Level II.