[Backfill ineffective - Volume Spike Bar]

If you, somehow, prevent the Volume Spike Bar, we would appreciate it.

 

[Backfill ineffective - Volume Spike Bar]

That's true. You get quote data to update a bar in a timeframe.

For IB, you have to correct the data.

The live data - tickPrice - misses some bar high and lows.

 

Have you looked into RTVolume?

https://www.interactivebrokers.com/en/software/api/apiguide/tables/rtvolume.htm

 

There is "Total volume".

"To implement this, you must include 233 in the genericTicklist parameter in your market data request.  You will receive the RTVolume update through the tickString() event within field value 48."

It's a string. Split it. It's the fourth value.

 

[Backfill ineffective - Volume Spike Bar]

12 minutes ago, Jerry Medved said:

As far as cumulative data, there is no need for IB API. There is for MT.  If you have a way to get accurate cumulative volume data from IB backfill, we are all ears.

 

Just use what was backfilled. Suppress any data related to cumulative volume. Do not put that data into the forming bar. Use incoming information for bar updates.

IB's live data is not accurate.

But, the 5-sec realtimeBar information is.

https://www.interactivebrokers.com/en/software/api/apiguide/java/realtimebar.htm

Use this information to correct the data of the forming bar (OHLCV). This is what IB does.

There is also RTVolume:

https://www.interactivebrokers.com/en/software/api/apiguide/tables/rtvolume.htm

 

 

[Backfill ineffective - Volume Spike Bar]

On undefined at 3:44 PM, Jerry Medved said:

The 2nd part - the spike - that happens when the backfill volume is less than the corresponding Level I volume.  So if the backfill data goes up to 10:14 minute and has cumulative volume of 1,100,000 for example and the Level I quote at 10:15 has 1,300,000 volume, you are going to see a spike of 200,000.  And that is exactly what happens with IB data.  We will add Volume Spike Filter to charts in the future so it won't distort the chart that bad, but as far as the underlying issue, we can't do anything about that. 

Is there a Volume Spike Filter? This is still a problem.

There is no way to use any volume related indicator when the symbol is backfilled intraday.

I worked with IB's API. Technically, there is no need to put the cumulative volume data into the forming bar.