I got an email from MultiCharts about IB TWS spikes (email shown below). Up until the email I figured all was normal in the "e-mini ES". Yes there were lot of long 10 second bars due to the big drop in the market (this always happens and sometimes these bars can be $400 per contract in length - my program paints then red if they are $200 or more per contract). However a very strange one which I attached came through after the email. It effected 10 second bars and all bar sizes right up to the 60 minute bars. I restarted MC and it corrected itself except for the 10 second bars. A few questions.
1/ Am I to assume that this is the problem mentioned in the email?
2/ When did this issue start. I once saw a very strange long bar one time before but only that one time.
3/ I am assuming that if this is the issue a long trade would not have been stopped out by this.
4/ Did anyone get the exact same thing or is this a random per user thing?
Thanks,
John
Dear users,
If you are using Interactive Brokers as a data source you may sometimes get bad ticks, so-called "spikes" with the price 10-15 points higher or lower than current price. This is a known issue on IB API side and has been confirmed by IB as a bug.
In order to solve the issue please enable "Generate new tick if total volume changes" option in Quote Manager --> Tools --> Data Sources --> Interactive Brokers --> Settings. This will eliminate spikes however some ticks may slightly differ from IB TWS data as they will be formed on volume change basis.
Happy Trading
MultiCharts Team
http://www.multicharts.com