yojo Posted May 31, 2018 Report Share Posted May 31, 2018 (edited) If I understand correctly, Interactive Brokers does some data consolidation but I have been noticing that MT is missing some important data points like the highs and lows of the day due to some data consolidation. For example, in IB Gold Futures data and charts hits the high of day 1311.50 at 00:26 MDT. In MT data and charts high of day is 1311.00 at the same time. The data is consolidated in MT as 919 contracts at 1311 while IB breaks it down. MT data is using IB as the data source, data captured streaming. Is there a way of MT to properly capture these data points as the highs & lows of the movement are very important? Could you explain the IB & MT data consolidation situation better? I have seen this problem in other futures contracts that I follow like ES, CL. I have Thinkorswim and it also has the high of that point as 1311.50. Edited May 31, 2018 by yojo Add TOS comparison Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted May 31, 2018 Report Share Posted May 31, 2018 MT cannot get the T&S data for all symbols. The data that IB sends for regular Level I quotes is consolidated as you see in MT's Raw Data window. in TWS you can get it on a single symbol, but not on all symbols in the portfolio. If you get the backfill in MT, that will look same as IB chart without any missing data. However, if after that MT is just running getting quotes, the charts are updated from the quotes, and due to consolidation you may see some differences. if you clear the data on the chart (lets say clear "Current Day" instead of all..) and backfill with IB, it will have accurate high/low Quote Link to comment Share on other sites More sharing options...
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