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stock volume data problem in IRT
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Created: by liuliuwang Attachments:2

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stock volume data problem in IRT

  #11 (permalink)
 Vendor: www.linnsoft.com 
Milton, GA
 
Futures Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker/Data: DTN IQFeed
Favorite Futures: ES
 
LS Chad's Avatar
 
Posts: 151 since Apr 2010
Thanks: 2 given, 136 received

We have found and fixed the problem. Fix will be in version 10.5.6 which we should be releasing later today. Turns out, IB sends a volume number which must be multiplied by 100 for stocks on most exchanges. However, there are a few exceptions that we must handle. The exchange SEHK is one of those exceptions. We should be leaving the raw volume sent alone when in fact we were multiplying by 100. Thanks for pointing this out.

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  #12 (permalink)
Trading Apprentice
signapore
 
Futures Experience: Intermediate
Platform: IB TWS
Favorite Futures: ES,Nikkei,HSI
 
Posts: 17 since Mar 2012
Thanks: 5 given, 2 received


LS Chad View Post
We are still investigating. It appears we are presenting the volume just as IB is sending it to us. It could be that IB is scaling down the volume for certain Asian contacts (/100). Will let you know once we hear back from IB on this.

hmm, that is strange, cause the end-of-day volume in IB is same as Yahoo finance, and also same as Hong Kong exchange website, while the volume in IRT is 100 times more.

also for your reference,
I tried to use the IB ActiveX API sample program to receive tick data from TWS, and confirmed the data sent out from TWS is "without multiplied by 100".
for example, when I see the last trade size in IB API sample program is "3000", IRT will show "300000"

anyway, right now, what I do is:
at end-of-day, I export all tick data from IRT for all stocks, and wrote a small program to modify the "last trade size" (divide by 100), and then, import the tick data series back into IRT.

again, so far, this problem only happen on HK stocks.

I monitor HK stocks and some futures listed in KRX, SGX and HK, ALL futures are OK, except one small issue:
if I restart IB and IRT during trading hours, the moment IRT make connection with IB TWS, IRT will show some strange big numbers of "last trade size" on all futures contracts, which totally mess up the intraday chart volume pane and volume indicators. (but this can be fixed quickly by doing a backfill.)

thanks for your help.

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  #13 (permalink)
Trading Apprentice
signapore
 
Futures Experience: Intermediate
Platform: IB TWS
Favorite Futures: ES,Nikkei,HSI
 
Posts: 17 since Mar 2012
Thanks: 5 given, 2 received



LS Chad View Post
We have found and fixed the problem. Fix will be in version 10.5.6 which we should be releasing later today. Turns out, IB sends a volume number which must be multiplied by 100 for stocks on most exchanges. However, there are a few exceptions that we must handle. The exchange SEHK is one of those exceptions. We should be leaving the raw volume sent alone when in fact we were multiplying by 100. Thanks for pointing this out.

great !
that makes sense.

will save me a lot time to import/export, :-)

you guys are one of the best in terms of client support !

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The following user says Thank You to liuliuwang for this post:
 
  #14 (permalink)
Trading Apprentice
signapore
 
Futures Experience: Intermediate
Platform: IB TWS
Favorite Futures: ES,Nikkei,HSI
 
Posts: 17 since Mar 2012
Thanks: 5 given, 2 received


LS Chad View Post
We have found and fixed the problem. Fix will be in version 10.5.6 which we should be releasing later today. Turns out, IB sends a volume number which must be multiplied by 100 for stocks on most exchanges. However, there are a few exceptions that we must handle. The exchange SEHK is one of those exceptions. We should be leaving the raw volume sent alone when in fact we were multiplying by 100. Thanks for pointing this out.

I updated to the new version and confirmed the problem is solved.
thanks again for help.

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