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Direct MessagesDate/Time: Sat, 18 May 2024 19:50:55 +0000
Post From: A Better Implementation of Interactive Broker's Data Feed
| [2013-04-05 17:23:23] |
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This posting is very puzzling to us. We have addressed this problem for you and for others and made it very clear here: https://www.sierrachart.com/supportboard/showthread.php?t=42481 Once again here is a restatement of what we previously said: We will add an option to not insert trades from Daily Volume messages and then you can evaluate what works best for you. There is a good reason why we do that processing because sometimes there is trading that occurs, but TWS will only send daily volume messages.
There used to be a way to disable this, but we force this feature on because if someone inadvertently disables it, then we would receive feedback from them asking why their chart bars look sparse and incomplete. So unless IB has changed the data feed, we would likely think that you would keep the option on. Although, we want to provide you the capability to do your own evaluation. The problem with this is that if you find you need to keep this on, we might as well take the option out. This is now supported in the latest Sierra Chart version: Quote: When using the Interactive Brokers Trading service, this functionality to simulate a trade in order for the Intraday chart volume to match the Daily Volume messages, has shown to cause volume spikes in Intraday charts. Therefore, this can be disabled for Interactive Brokers. To disable this, uncheck Global Settings >> Data/Trade Service Settings >> More Interactive Brokers Settings >> Simulate Trades to Match Daily Volume. Actually, there is a way to disable this. Enable Global Settings >>Data/Trade Service Settings >> More Interactive Brokers Settings >> Record True Real-Time Data in Intraday Charts. More information about this here: http://www.sierrachart.com/index.php?l=doc/IB.php#TrueRealTimeData Unless you use Record True Real-Time Data in Intraday Charts, that we advised you to. Why do not you use it? Here is the documentation once again for this: http://www.sierrachart.com/index.php?l=doc/IB.php#TrueRealTimeData How is it that you overlooked and disregarded what we said. Please explain. There is nothing new here. We provided solutions. We assumed you followed our suggestions and you continued to indicate there was a problem with the data feed, and we said this is an IB problem , which is correct if you continued to have an issue after following our instructions, so there was nothing for us to do. And there still is not. We have for years, based on user feedback heard about incomplete data from IB. So we know there is and has been a problem. Maybe they have made some improvements which seem to be indicated in your testing. There was a good reason why Sierra Chart would simulate trades to match the daily volume messages. This was implemented many years ago based upon how the data feed from Interactive Brokers worked many years ago and this information was explained to us by a user. What TWS would do, is when the price does not change they do not send a new price but instead just increment the daily volume. So the only accurate way to chart it was to do processing with the daily volume messages. We are just providing some background here. This may not be necessary currently or in the CL Futures market. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2013-04-05 17:50:54
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