Discrepancy with IB feed volume

Hi

The volume data for HSI futures in the time & sales and chart in TWS is very different from what MC shows in the footprint and charts. IB customer service says that their API feed excludes large block trades yet the footprint show large sizes that do not show up in the TWS time & sales.
I just wonder what kind of volume feed MC gets from IB and whether it is reliable. Fottprint and the normal volume indicator also are different in MC??

Appreciate any help on this!

Thanks

Hi
The volume data for HSI futures in the time & sales and chart in TWS is very different from what MC shows in the footprint and charts. IB customer service says that their API feed excludes large block trades yet the footprint show large sizes that do not show up in the TWS time & sales.
I just wonder what kind of volume feed MC gets from IB and whether it is reliable. Fottprint and the normal volume indicator also are different in MC??
Appreciate any help on this!
Thanks

IB aggregates its quotes. ie. IB combines the trades and feeds the data to you in chunks. The chunk size is approximately one every 250~300 millisecond.
e.g. If there are 3 trades happened in that 250 milliseconds, you will see one trade reported to you.

T & S is a different data stream.

I don't think it is the tick aggregation, take a look at my attached picture. 1 min footprint next to IB Time & Sales. That 500+ block in MC does not show in TWS, their data adds up to around 200!

I suspect that there may be a difference in the data feeds here, IB says that the Time & Sales only takes the Exchange data which excludes large block trades, but they say the API feed takes data from the IB charts which is always less Volume then what MC shows.

Could someone at MC please clarify?

Thanks