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Direct MessagesDate/Time: Mon, 29 Apr 2024 13:21:47 +0000
volume from interactive brokers data is incorrect
View Count: 3942
| [2015-10-16 16:13:43] |
| User385518 - Posts: 9 |
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I am just trying to connect to interactive brokers to download the daily historical data for Hong Kong stocks. However, the volume bars on the daily chart are all wrong. Some bars even show zero volume which is obviously incorrect. How to solve this problem? Am I doing something wrong in the connecting process?
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| [2015-10-16 17:43:57] |
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You are doing nothing wrong. The volume you see is the volume provided by the Interactive Brokers system. Really you need to ask Interactive Brokers about this. You should see the same volumes when you open a chart for the same symbol in TWS. Do you? 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: 2015-10-16 17:44:24
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| [2015-10-17 00:10:53] |
| User385518 - Posts: 9 |
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No, the chart at TWS looks normal. Only the chart at sierra shows many daily bars with "volume = 1" The attached charts are the same symbol for TWS and sierra respectively
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 chart from sierra.png / V - Attached On 2015-10-17 00:09:18 UTC - Size: 241.38 KB - 623 views chart from TWS.png / V - Attached On 2015-10-17 00:09:28 UTC - Size: 281.91 KB - 836 views Attachment Deleted. |
| [2015-10-17 08:50:05] |
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We have to set up some logging for this. What we suspect is happening is that Interactive Brokers is using a nonstandard format for the volume values which are interpreted as 1 by Sierra Chart. We will follow-up about this in a couple of days when we have a new version to test this. 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: 2015-10-19 23:53:43
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| [2015-10-17 11:31:00] |
| User385518 - Posts: 9 |
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Thanks.
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| [2015-10-19 23:53:01] |
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Update Sierra Chart with Help >> Download Prerelease. Here are instructions: http://www.sierrachart.com/index.php?page=doc/download.php#FastUpdate After the update set Global Settings >> Data/Trade Service Settings >> Output Debugging Messages to True. Connect to Interactive Brokers and only open one Historical Daily chart where you are having this problem. Please only open one chart otherwise there will be too much information and make it confusing. After the chart is open select Edit >>Delete All Data and Download. Post a copy of the Message Log. We will have a look. When done, set Global Settings >> Data/Trade Service Settings >> Output Debugging Messages to False. 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: 2015-10-19 23:53:59
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| [2015-10-20 01:03:48] |
| User385518 - Posts: 9 |
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where to find the "Output Debugging Messages" column? I cannot find it in "Data/Trade Service Settings".
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| [2015-10-20 02:22:29] |
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As we said, you need to update Sierra Chart by selecting Help >> Download Prerelease. Please refer to our prior post.
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 |
| [2015-10-20 08:49:28] |
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Thank you. We have determined the cause of the problem. We actually now realize that the problem is solved in the version you are running. Go to the chart with the incorrect volume and select Edit >> Delete All Data and Download. The volume should now be correct. If for some reason it is not resolved, it will be in the next release. 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: 2015-10-20 08:50:03
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| [2015-10-20 10:04:20] |
| User385518 - Posts: 9 |
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Thanks for your help.
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| [2015-10-27 11:35:42] |
| User780585 - Posts: 6 |
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I have followed your instruction to select "Edit >> Delete All Data and Download" and it works during the trial period. But now after I've paid. The volume still doesn't show correctly. |
| [2015-10-27 14:46:48] |
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Add the Volume study to the chart and post an image of the chart by following these instructions: https://www.sierrachart.com/index.php?page=PostingInformation.php#Image 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 |
| [2015-10-27 17:43:07] |
| User780585 - Posts: 6 |
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http://www.sierrachart.com/image.php?l=1445967657459.png
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| [2015-10-27 18:04:29] |
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You are not running the up-to-date version of Sierra Chart. You are running 1307. You need to be on the current version. Did you go back to a previous version? Follow the instructions here to update: https://www.sierrachart.com/index.php?page=doc/download.php#FastUpdate After the update, re-download the data in the chart with Edit >>Delete All Data and Download. 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: 2015-10-27 18:05:34
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| [2015-10-27 18:21:17] |
| User780585 - Posts: 6 |
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ok now. thanks
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| [2023-09-04 17:27:26] |
| centi - Posts: 10 |
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Hi, I have activated the trial version of Sierra Chart & configured the Daily Chart & 1 hour chart. Market : NSE - India Screenshot reference ticker - WIPRO-STK-NSE-INR While the 1 hour chart is perfectly Ok, the Daily chart had 2 kind of issues. 1. During the day in progress, the volume is about 70% higher than all the other Daily volume bars. 2. After the market is closed the volume become 1. (screenshot attached) No problem in 1 hour timeframe. Now, for the problem no 1, I think, I know the reason. Interactive brokers updates the volume as cumulative volume at any point of time during market hours. That means, the volume from the last update is the volume of the day since open. - It appears that Sierra chart calculates the total volume from previous bars & it exceeds the volume of all the other day's volume by 70X. I forgot to take the screenshot & i will take to tomorrow. The second problem is similar to the issue mentioned in this above thread. Request your analysis & if it is a simple fix, please help on this issue. |
| Screenshot 2023-09-04 225440.jpg / V - Attached On 2023-09-04 17:26:40 UTC - Size: 223.87 KB - 43 views |
| [2023-09-04 17:55:03] |
| centi - Posts: 10 |
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Also, i forgot to mention, the volume scale in 1D timeframe is not appearing But it is ok in 1 hour timeframe. |
| [2023-09-05 04:24:08] |
| centi - Posts: 10 |
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Hi, I have attached screenshot for market hours volume mismatch between IB & SC. The volume in Sierra Chart is already high compared to actual volume. Around market closing hours, this will be even larger like 70 times of the actual volume.
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| Screenshot 2023-09-05 094726_wiproSC.jpg / V - Attached On 2023-09-05 04:23:32 UTC - Size: 210.93 KB - 38 views Screenshot 2023-09-05 094631_wiproIB.jpg / V - Attached On 2023-09-05 04:23:43 UTC - Size: 183.19 KB - 42 views |
| [2023-09-05 13:43:40] |
| centi - Posts: 10 |
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This was taken 80 minutes before the market close.
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| Screenshot 2023-09-05 140827.png / V - Attached On 2023-09-05 13:43:31 UTC - Size: 81.52 KB - 35 views |
| [2023-09-05 15:35:17] |
| Sierra_Chart Engineering - Posts: 14133 |
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Does the volume for the last bar in the chart match the volume you see in Window >> Current Quote Window? Not sure this is relevant but make sure that Global Settings >> Data/Trade Service Settings >> Simulate Trades to Match Daily Volume (IB specific setting) is set to No. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-09-05 15:36:10
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| [2023-09-05 15:46:19] |
| centi - Posts: 10 |
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As I mentioned, after market hours, the numbers are showing like 1 or 5 etc.. that value is matching with Window >> Current Quote Window value. I will check tomorrow during market hours & update the status whether the bar value in chart & the Quote winodw is matching. Global Settings >> Data/Trade Service Settings >> Simulate Trades to Match Daily Volume was set to no, since beginning. Thankyou |
| [2023-09-05 15:57:33] |
| centi - Posts: 10 |
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After the Market close, these are the values are in Current Quote Window.
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| Screenshot 2023-09-05 212535.png / V - Attached On 2023-09-05 15:56:42 UTC - Size: 12.1 KB - 33 views |
| [2023-09-06 10:03:07] |
| centi - Posts: 10 |
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After a bit of some analysis, I came to this understanding. Interactive Brokers have a concept of calculating volumes by excluding some transactions. These are like 1. Delayed Transactions, 2. Busts, 3. Late reported trades and 4. Combos. These are significantly affecting the volume compared to Native volumes reported in other charting platforms & even in Exchange data they show the Native Volume. Now, the problem occured in SierraCharts because, SC takes the historical data which incluses volume (Calculated by IB) from IBAPI using lets say "reqHistoricalData" which is the API call. But for the current trading day, it appears that SC is taking quote values from "reqMktData" which is the quickest way to access data for multiple contracts. But this creates problem as this api call "reqMktData" contains the native volume which is different from the calculated Volume obtained from "reqHistoricalData". And this is one of the reason why the Volume goes to 1 or 5 after the market closes - because "reqMktData" will show only the transactions from after hours session (30 mins post market closure). Now, I can request in 2 ways, Either I need to get help from IB team to enable the Native Volume (which I dont think IB will consider any request from 1 retail trader) Or, I can request SC team to take the streaming data from the same API call "reqHistoricalData" where they have the streaming quotes (with IB Calculated Volume). And this can be used only for charts. for the QuoteBoard, SC can still stick to "reqMktData" where the volume will not match. But The chart will be having the correct market data feed. Please let me know whether you will consider this request... Date Time Of Last Edit: 2023-09-06 10:58:52
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| Screenshot 2023-09-06 152151.jpg / V - Attached On 2023-09-06 10:01:36 UTC - Size: 132.75 KB - 37 views |
| [2023-09-07 02:43:46] |
| Sierra_Chart Engineering - Posts: 14133 |
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This means this is what Interactive Brokers is providing: As I mentioned, after market hours, the numbers are showing like 1 or 5 etc.. that value is matching with Window >> Current Quote Window value.
If you do not want this data in the Historical Chart, then uncheck this Chart Setting: Chart Settings: Allow Real-Time Updating of Historical Chart (Chart >> Chart Settings >> Chart Data >> Chart Data menu) 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, use the Teton service: Sierra Chart Teton Futures Order Routing |
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