steve1512 Posted February 12, 2015 Report Share Posted February 12, 2015 Hi, Can you do something about these volume spikes when using IB data? I know of the issues when using IB volume data, however, I do not get these volume spikes when opening the same chart in TWS or other trading software. Can this be improved in MT? Unfortunately I dont know how to attach a screenshot here. 2 other questions: Will IB Advisor accounts be supported for trading through MT? The Vol% column is not yet working but I guess this is still work in progress? Thank you. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted February 12, 2015 Report Share Posted February 12, 2015 1) MT does not store volume for each bar. It stores cumulative volume for each quotes and shows you the difference in volume. Well, the cumulative volume coming from IB real-time data is sometimes way different than the total volume from the Backfill on the same symbol and that causes problems. Cannot do anything about the bad data, though we will add spike filtering so it won't distort the chart. What specific symbols is this for? I know that for NASDAQ Stocks, I saw this situation when the account is not subscribed for NASDAQ Equities (L1). In that situation, the backfill data is way different. After subscribing, everything works fine. 2) Advisor accounts - I think they should work now. Did you try configuring? If the login used to login to TWS has 2 or more accounts, they all should show up in MT 3) Volume % is dependent on Average Volume, which is not being returned by IB. MT does calculate it for a given symbol if you open a historical chart for it. Quote Link to comment Share on other sites More sharing options...
steve1512 Posted February 16, 2015 Author Report Share Posted February 16, 2015 1. The symbols were GS and TWTR. I`ve subscribed to Nasdaq Level I and the issue has improved somewhat. However, with QT I had the following setup for years: approx. 10-15 stocks streaming real time in the QT portfolio, continously sorteb by Vol%. If I do that in MT the Vol% for some symbols jump up by 20 % or more for a few seconds before returning back to the true level - this messes up the sorting. This behaviour started since IB changed its market data subscriptions a few month back. 2. I have submitted a test order to my advisor account and it went through fine. I did not see a way to specify the allocation mehtod in MT? Eg. IB allocates orders to client accounts based on available equity, percentage based or a fixed ratio. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted February 19, 2015 Report Share Posted February 19, 2015 Vol % is based on Average Volume, which can be returned from IB, but from IB, but does not, at least in my observation. We do have code in place to handle it if it is returned. Otherwise, only time MT updates it is if you open the historical chart on a symbol - MT will use that data (after backfill) to compute the Average Vol. I don't think I am understanding exactly what is happening for you. Are you saying the Vol% fluctuates like that? can you look at the Average Vol column and see if it is getting updates?" Do you have historical chart open for the symbols in question? Advisor Account - we do not have anything in place to manage allocation. MT just submits the order to the selected account. When you submit the order, is it going to 1 account or all of them? Quote Link to comment Share on other sites More sharing options...
steve1512 Posted February 23, 2015 Author Report Share Posted February 23, 2015 Vol% has been resolved - the problem was with my data subscriptions at IB. Advisor: Orders can be sent for a specific account or for all accounts (both works in MT), when submitting an order for all acounts the trade qty allocated to each account can`t be specified in MT, I have submitted some test orders and all such trades are allocated based on available equity. Maybe at some point in the future you could integrate the allocation profiles for trading IB advisor accounts. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted February 23, 2015 Report Share Posted February 23, 2015 Vol % - can you provide details? I still don't get any data on my test account, and I am sure others would like to know too. Quote Link to comment Share on other sites More sharing options...
steve1512 Posted February 24, 2015 Author Report Share Posted February 24, 2015 The symbols on the portfolio are linked to a historical chart and various intraday charts. Once a historical chart has been viewed for any particular symbol Vol% gets updated throughout the trading day - its not necessary to keep a historical chart open all day for each symbol. IB`s US Value bundle subscription is not suitable for this and you have to subscribe to the individual exchanges, eg. NYSE/Nasdaq/Amex Level 1 to get useful Vol% data. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted February 24, 2015 Report Share Posted February 24, 2015 ah, thats what you meant. Yes, because the backfill volume is impacted by the subscription. I ran into this myself. Quote Link to comment Share on other sites More sharing options...
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