dasrs Posted February 17, 2019 Report Share Posted February 17, 2019 Hi, i think times and sales window in medved trader is not working properly. I am aware that level 2 data is not working properly because of IB API, but ts isn't really level 2 data. I'm getting these empty rows, or sometimes nonsense 300k orders and i can tell it differs from IB ts window quite a lot sometimes. Also what are those grey prints ? I'm subscribed to full l2 depth at IB. Really amazing software, i hope this is just some glitch so i can continue using it. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted February 17, 2019 Report Share Posted February 17, 2019 First, the raw data window in MT is not tied to Level II in any way. it just shows all the quotes that come in on the Level I window. in your case, your case, you have the BID/ASK columns hidden, so that hides the meaning of the empty rows. MT raw data shows you when just the bid/ask changed. In that case, the volume and LAST will be empty and just the bid/ask are shown. Since you have them hidden, it just looks like an empty row. If you set the filtering to TRADES, it will hide that. As for the volume - The raw data is showing the change in volume from one quote to another. Keep in mind that IB is not a tick by tick datafeed. So each row could represent multiple trade. Also if there was an interruption in quotes or if for some reason the cumulative volume for a symbol jumped, you would see the increase like the 30K one you pointed to. in TWS, they do let you see a tick by tick T&S, but that is a custom feed specific to IB and limited in number that can be subscribed, so we cannot use that. MT just subscribes to their regular Level I quotes Quote Link to comment Share on other sites More sharing options...
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