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stock volume data problem in IRT


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stock volume data problem in IRT

  #1 (permalink)
liuliuwang
signapore
 
Posts: 17 since Mar 2012
Thanks Given: 5
Thanks Received: 3

I have been monitoring some Hong Kong stocks today using IRT with IB Tws.

after the day closed, I noticed something strange, i.e, the stock volume shown in IRT QuotePage.
for all stocks I monitored, the volume shown in QuotePage looks like 100 times than what is shown in IB TWS.

for example, this ticker "270" (SEHK), the volume in IRT is 359.49mln
in IB, it is 3.595mln
I checked yahoo finance, shown as 3.594mln ( 0270.HK: Summary for GUANGDONG INV- Yahoo! Finance )

so, I am wondering if, by default, IRT multiply every trade size received from TWS by 100 (maybe due to US stocks lot size = 100?).
but I cannot find any setting on this.... :-(

anyone can help? thanks !

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  #2 (permalink)
liuliuwang
signapore
 
Posts: 17 since Mar 2012
Thanks Given: 5
Thanks Received: 3

ps: Futures data is correct, e.g., HSI/ES/Kospi futures' volume data is same as that in IB TWS.

wondering if there is a stock "lot size" setting somewhere which cause IRT multiply 100 to the size sent by TWS......
just cannot find it !

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  #3 (permalink)
 
LS Chad's Avatar
 LS Chad 
Milton, GA
 
Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker: DTN IQFeed
Trading: ES
Posts: 165 since Apr 2010
Thanks Given: 2
Thanks Received: 144


Can you maybe open a Time & Sales window in both IRT and IB on this symbol, and compare the live ticks and their associated volume. Seeing discrepancies there? Post a screenshot of these if you can.

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  #4 (permalink)
liuliuwang
signapore
 
Posts: 17 since Mar 2012
Thanks Given: 5
Thanks Received: 3


LS Chad View Post
Can you maybe open a Time & Sales window in both IRT and IB on this symbol, and compare the live ticks and their associated volume. Seeing discrepancies there? Post a screenshot of these if you can.

sure, will do it later after Hong Kong open.
thanks

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  #5 (permalink)
liuliuwang
signapore
 
Posts: 17 since Mar 2012
Thanks Given: 5
Thanks Received: 3



hi, Chad,

please refer to the attached screen-shot, we can see:

the last trade price and last trade size shown in IB time&sales is "5.31 2000"
and in IRT time&sales, is "5.31 200k"

the volume in IB is "1.765M", vs in IRT "176.49m"

I will attach a few more settings page shortly for your reference.
thanks for help !

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  #6 (permalink)
liuliuwang
signapore
 
Posts: 17 since Mar 2012
Thanks Given: 5
Thanks Received: 3



hi, here are a few settings including settings for Time&Sales, Instrument, and Performance.
looking forward to hearing your solution, :-)

thanks again !

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  #7 (permalink)
liuliuwang
signapore
 
Posts: 17 since Mar 2012
Thanks Given: 5
Thanks Received: 3

anyone had the same issue?
anyone can help?
thx

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  #8 (permalink)
 
LS Chad's Avatar
 LS Chad 
Milton, GA
 
Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker: DTN IQFeed
Trading: ES
Posts: 165 since Apr 2010
Thanks Given: 2
Thanks Received: 144

We are looking into this. Will get back to you shortly. Thanks.

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  #9 (permalink)
liuliuwang
signapore
 
Posts: 17 since Mar 2012
Thanks Given: 5
Thanks Received: 3


LS Chad View Post
We are looking into this. Will get back to you shortly. Thanks.

roger that, thanks a lot !

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  #10 (permalink)
 
LS Chad's Avatar
 LS Chad 
Milton, GA
 
Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker: DTN IQFeed
Trading: ES
Posts: 165 since Apr 2010
Thanks Given: 2
Thanks Received: 144


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.

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Last Updated on May 1, 2012


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