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Regarding the volume problem with IB data again

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[2013-03-20 19:45:25] #1 [Go To First Post]
traderleong - Posts: 12
I have attached two charts showing the volume problem with IB data. I observed that this is caused by occassional wrong daily volume messages from the IB data. Sometimes the IB data sends false very low daily volume messages after a real big daily volume number. I guess SC calculates the volume for each trade (tick or each snapshot) by subtracting the previous volume message from the new volume message. When the new volume message is lower than the previous one, SC then discard the volume data. This is fine. The problem happens when a new big real daily volume comes again after the low fake volume message, and the voume calculated for the tick or trade or snapshort will be the big daily volume number minus a very small number. This can happen several times even within a 5min or 10min bar, and thus you get a huge volume bar for 5min chart. This also messes up volume-bar chart. The small fake volume message that IB data sends can be 1, 2, 4, 9, 45, 60, or some other random small numbers. I have suggested a solution to this problem in the old message board. That is to discard any decreasing daily volume message in a filter since daily volume will not decrease until a new session starts. We cannot just dicard some fixed low numbers like 1, 2, or 3, because you do not know what fake daily volume number is going to come next after a realy daily volume number (it can be just a random low number). There is only one daily volume number that can be lower than the previous daily volume message, and this is the daily volume message at the start of a new session and it is the first daily volume message at a new session start. The filter should be able to know which daily volume message is the first message for a new session, thus keeping the first daily volume message which is the lowest should not be a problem. It is highly appreciated that the SC team solve this annoying problem.


Attachment Deleted. AUD-201306-GLOBEX 10 min #4 41353.7913.png / V - Attached On 2013-03-20 19:36:38 UTC - Size: 28.64 KB - 728 views AUD-201306-GLOBEX 670 vol #3 41353.7912.png / V - Attached On 2013-03-20 19:36:47 UTC - Size: 22.59 KB - 586 views

[2013-03-20 20:16:43] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Why do you use Interactive Brokers with a problem like this and their inability to resolve it. It is unacceptable that Interactive Brokers cannot be told about this problem and they cannot take care of it. When it comes to trading futures there are more reliable solutions out there than Interactive Brokers, unless there is some very good reason why you need to use Interactive Brokers. The solution to look at the start of the trading session, to know when to use a lower daily volume message, is unreliable for many reasons. We would never implement that. The cause of this problem is described here: http://www.sierrachart.com/index.php?l=doc/doc_ChartDataFiles.html#SimTradesMatchDailyVol And we have a solution for this. We will just make what is described there an option. So you can turn that option off. 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: 2013-03-20 20:17:40

[2013-03-20 23:01:10] #3 [Go To First Post]
traderleong - Posts: 12
Thanks for the reply. Is the option available now to turn off simulated trade and simulated volume? The simulated trade would definitely be wrong if IB data sends a very low daily volume message after a prior big daily volume message. I trade through IB for their very low commissions. I trade micro currency futures frequently and their commission is 33 cents all fees in per side. Their data works fine for my trading technique if the volume problem can be solved. I would save a couple hundreds dollars of commission fee per month if I stay with IB. Date Time Of Last Edit: 2013-03-22 19:59:18

[2013-03-20 23:09:40] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Understood about the commissions, but we are going to check with some brokers we work with to see if they can match that. In the next release, you will find this option: Global Settings >> Data/Trade Service Settings >> More Interactive Brokers Settings >>SimulateTradesToMatchDailyVolume. So you will want to uncheck 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

[2013-03-22 07:28:43] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This is now supported in the latest prerelease: 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. 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

[2013-03-22 19:58:21] #6 [Go To First Post]
traderleong - Posts: 12
Thanks a lot for the support. However there is a problem coming up when disabling simulated trades. IB data is really terrible that their volume data for trades is almost all bad, the volume for each snapshot is extreamely low compared to TDAmeritrade data (but unfortunately TDA data is not available to SC). Now it is clear that we DO need simulated trades from IB daily volume data since their daily volume data is largely correct. We only need to filter out accassional bad data within their daily volume messages. When we use the "delete/download" option to refresh data again from IB data feed the newly downloaded data seems to be correct. So it seems that the real-time streaming data from IB is different from the data saved on their data server. The problem now is that it is not practical to delete and refresh each bar every time. It is highly appreciated that SC support can create a filter for simulated trades for IB data.

[2013-03-22 20:10:15] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Why not use Global Settings >>Data/Trade Service Settings >> More Interactive Brokers Settings >> Record True Real-Time Data in Intraday Charts. This is documented here: http://www.sierrachart.com/index.php?l=doc/IB.php#TrueRealTimeData What we recommend in your case you do is use the Barchart Data Feed for market data and you can trade with Interactive Brokers. Please refer to these two pages: http://www.sierrachart.com/index.php?l=doc/MultipleServices.html http://www.sierrachart.com/index.php?l=doc/Barchart.com.php 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: 2013-03-22 20:10:46

[2013-03-22 21:09:56] #8 [Go To First Post]
traderleong - Posts: 12
Thanks for the tip. 5 seconds data with accuracy is good enough for me. I only need to plot volume profile (the volume by price study) accurately to gauge support/resistance levels. I use volume chart and I think it is better than tick chart in that a volume chart follows trendline better than a tick chart.

[2017-10-24 23:12:16] #9 [Go To First Post]
FFTrader - Posts: 180
Thanks for the tip. 5 seconds data with accuracy is good enough for me. I only need to plot volume profile (the volume by price study) accurately to gauge support/resistance levels. I use volume chart and I think it is better than tick chart in that a volume chart follows trendline better than a tick chart. traderleong, I have to use Interactive Brokers and Sierra Chart. Question: I may be good with 5 seconds data too - but I am still experiencing that I have to re-download the data to have the correct volume. Can you talk about what are the settings for you and may be I can copy your IB settings - specifically, in the Data/Trade Service Settings and after selecting the usual server addresses and ClientIDs, I wanted to know what are your settings for: 1. Intraday Data Storage Time Unit - I have it at 1 Tick and may be it is better to have it at 1 second or 5 seconds? 2. Maximum Historical Intraday Days to Download Limit 3. Download 5 seconds Historical Intraday Data 4. Record True Real-Time Data in Intraday Charts. 5. Simulate Trades to Match Daily Volume - I would imagine you have it set to "True" after the discussions here? 6. Clear Out of Order Market Depth Data Date Time Of Last Edit: 2017-10-24 23:51:56

[2017-10-25 00:12:42] #10 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
They are not going to answer because they do not have an active account at this time. We recommend you use the Sierra Chart Exchange Data Feed: Sierra Chart Exchange Data Feed 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

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