Backfill ineffective - Volume Spike Bar

[HK~]

MT V 1.0.1627.1905 - loaded 1/14/2014 10:00 CET [Paris] 

 

ALL TIMES ARE CET (Paris)

EST + 6hrs

22:00cet = 16:00est

 

Upon load, all charts had missing data - performed clear / back fill

numerous attempts, closed restarted MT - no help

 

@CLg14  --  no issue

 #eur.usd --  no issue

 

@ESh14  -- would not back fill

 

@GCg14 --  Back filled, however, Volume Bar Spike - erroneous Volume indicated in Values 

 

 

emailing log file

[Jerry Medved]

ok, 2 different issues. Both due to IB's inconsistent volume .  The first (gaps) - is because when MT backfills, it tries to match both time and volume. IB's volume from backfill doesn't come close to matching the Level I quote cumulative volume, which messes things up.  We actually just changed it (will be in next build) to do gap filling based on time alone. That will fill in the gap.  

 

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. 

[acs]

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.

[Jerry Medved]

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.

[acs]

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

 

 

[Jerry Medved]

trust me when I say that is not a working solution. We have to get quote data, not 5 min bar, their real-time data is definitely accurate and matches everything we see from other sources. 

MT has to have cumulative volume on each row. Whether it comes that way or we calculate it, it must be there. IB's backfill doesn't return it so it is computed by just adding up all the preceding bars that they do return and since that total is not accurate in some situations, that is where the problem occurs. 

If MT was an app written specifically for IB and only IB, we could do the various kludges to "correct" the data.  It is not though, and that solution is simply not feasible. 

[acs]

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.

 

[Jerry Medved]

I have not looked at RTVolume yet. Will make a note to do it during market hours (will be at least 2 weeks though).  However, based on the description, it seems that at best, it would make the quotes more accurate. It would not however do anything for volume issue with the backfill data.

[acs]

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