IB Data Source / Generate new Tick if Total Volume changes

Questions about MultiCharts and user contributed studies.
lantama
Posts: 87
Joined: 20 Apr 2008
Has thanked: 5 times
Been thanked: 4 times

IB Data Source / Generate new Tick if Total Volume changes

Postby lantama » 15 Mar 2012

Hello, I have an open inquiry at IB as they suddenly stopped to deliver the auction closing prices on Eurex (DTB) and Osaka (OSE.JPN) almost two years ago. Unfortunately nothing improved since then. Nobody is taking care over there.

However, on my test machine I played around with the MC QM data sources settings of IB. I was unchecking "Generate new Tick if Total Volume changes" and afterwards I received the auction closing prices. Great, but in the recent days I received weird glitches from EUREX. So I guess that I am now receiving some unfiltered IB feed with block trades / roll spread legs. So this is unfortunately no solution as the ticks are jumping around like hell.

First of all I was wondering what happended by changing this setting. The name suggest some different behaviour?! But the most important question for me is now how I may get the proper closing prices (as they are obviously part of the feed, somehow flagged?) without getting glitches :).
To clarify what happens the current status, again:
With 'Generate new Tick if Total Volume changes' checked I am getting a tick when the closing auction ends. But this not the closing auction price, but the last price before auction again. Volume seems to be right.

With 'Generate new Tick if Total Volume changes' unchecked I am getting proper closing auction prices, but somehow other ticks which should be filtered in the normal feed as they are from spread or block trades.

Please investigate,
lantama

User avatar
Henry MultiСharts
Posts: 8521
Joined: 25 Aug 2011
Has thanked: 1213 times
Been thanked: 2741 times

Re: IB Data Source / Generate new Tick if Total Volume chang

Postby Henry MultiСharts » 15 Mar 2012

Hello Lantama,

When “Generate a new tick if total volume changes” is turned on, the Trade Tick Volume = current TotalVolume - previous TotalVolume.
This option also helps to avoid spikes coming from IB API in real-time feed by checking the total volume and generating a new tick if it has changed.
When this option is enabled, the data can be slightly different from TWS chart but you will avoid spikes.
When this option is disabled, no data will be dropped but you can also have spikes on your chart.

lantama
Posts: 87
Joined: 20 Apr 2008
Has thanked: 5 times
Been thanked: 4 times

Re: IB Data Source / Generate new Tick if Total Volume chang

Postby lantama » 15 Mar 2012

Henry,
IB charts showed no spikes. The glitches could not be observed in TWS quote grid either!
So I guess that the way the data from Eurex is handled is simple not right (from IB) and Multicharts is filtering like you described or not. No, means I get alls the stuff. Yes, means I miss the auction prices.

Anyway, fact is that the closing auction price is missing or better say it is wrong. And that is a mess. I don't know who's to blame for that.

Is there any way you as a partner of IB can raise this issue as a bug related to the API?

Best
lantama

User avatar
Henry MultiСharts
Posts: 8521
Joined: 25 Aug 2011
Has thanked: 1213 times
Been thanked: 2741 times

Re: IB Data Source / Generate new Tick if Total Volume chang

Postby Henry MultiСharts » 15 Mar 2012

TWS application has a feature for filtering bad data. This feature does not affect the API connection that MultiCharts uses for receiving data from IB. Sometimes IB API sends bad ticks to MultiCharts, and as MC plots all the data coming from API, you see these spikes on your charts. This bad ticks issue has been confirmed by IB API support.

The checkbox "Generate new tick if total volume changes" in IB data source settings is created to help you to avoid these spikes in MultiCharts.

lantama
Posts: 87
Joined: 20 Apr 2008
Has thanked: 5 times
Been thanked: 4 times

Re: IB Data Source / Generate new Tick if Total Volume chang

Postby lantama » 15 Mar 2012

Henry, no offense, but you are not answering my questions.
Is there a way to manipulate the way Multicharts is filtering IB ticks to avoid bad ticks AND to deliver proper auction closing prices?
If no, would you be so kind to support me in order to solve this issue with the IB support?

Current situation is that IB states that MC should handle the feed differently and you state IB should not send any "bad" ticks. I am lost.

Thanks and regards
lantama

User avatar
Henry MultiСharts
Posts: 8521
Joined: 25 Aug 2011
Has thanked: 1213 times
Been thanked: 2741 times

Re: IB Data Source / Generate new Tick if Total Volume chang

Postby Henry MultiСharts » 15 Mar 2012

Currently there is no way to manipulate the way Multicharts is filtering IB ticks from the user end.

What version and build number of MultiCharts are you running?
IB Spike filtering has been improved in MultiCharts 8.0 beta 1 when the option "generate new tick if total volume changes" is set to On.

Please provide examples of data and screenshots of the charts demonstrating the data difference with "generate new tick" option turned off and on for comparison using MC 8.0. We will evaluate if any improvements are possible.

lantama
Posts: 87
Joined: 20 Apr 2008
Has thanked: 5 times
Been thanked: 4 times

Re: IB Data Source / Generate new Tick if Total Volume chang

Postby lantama » 16 Mar 2012

Henry,
I am using the latest 7.4 version and TWS 922.6. I run two machines currently. Both latest Windows 7 64bit.
PC 1: Generate a new Tick if Total Volume changes: "OFF"
PC 2: Generate a new Tick if Total Volume changes: "ON"

PC 1: receives frequently glitches (see chart), but the closing auction price is fine.
PC 2: receives no glitches (see chart), but the closing auction price is wrong as it is always the last price BEFORE auction duplicated.

You can replicate this behaviour every day. It must be relatively simple to fix this. I don't know who should be in charge here, but someone definitely should act.
Best
lantama
Attachments
PC 2 no Glitches.png
PC 2 no Glitches
PC 2 no Glitches.png (26.12 KiB) Viewed 372 times
PC 1 Glitches.png
PC1 Glitches
PC 1 Glitches.png (42.89 KiB) Viewed 367 times
PC 2 FESX JUN Closing auction.png
PC 2 Closing auction
PC 2 FESX JUN Closing auction.png (17.6 KiB) Viewed 375 times
PC 1 FESX JUN Closing auction.png
PC1 Closing auction
PC 1 FESX JUN Closing auction.png (21.44 KiB) Viewed 369 times

gregorio123456
Posts: 117
Joined: 08 Nov 2005
Been thanked: 3 times

Re: IB Data Source / Generate new Tick if Total Volume chang

Postby gregorio123456 » 16 Mar 2012

good morni....

I put more fuel to the fire

http://www.eurexchange.com/market/quote ... 06_en.html
Daily Settlem Price (was in 15/mar FESX JUN...2525 in eurex site) isn´t the same of the closing auction price .........I ask or is things different ??

in daly charts of TWS the close in 15/mar was 2528 (see in bars).........the same of PC 2 w Generate a new Tick if Total Volume changes: "ON"

and if you use the charts of TWS and put in the setting of charts parameters (prior close "ON") you see 2525 (on charts is one horizontal line) ....

in the end we have 2528-2529-2525 is few tick different .... no problem for me

but I thinks the real close of 15/mar is 2525.........but i have one question ...what was last (price) trade of day???

is just one observation......

Jo

lantama
Posts: 87
Joined: 20 Apr 2008
Has thanked: 5 times
Been thanked: 4 times

Re: IB Data Source / Generate new Tick if Total Volume chang

Postby lantama » 16 Mar 2012

Jo, not really, the daily settlement price is from 17:30 german time as it is from closing time of the underyling cash market. Makes sence as a lot of people are hedging and the options have to be priced that way:

Daily Settlement Price

The Daily Settlement Prices for the current maturity month are derived from the volume-weighted average of the prices of all transactions during the minute before 17:30 CET (for SMI® Futures 17:27 CET and for SMIM® Futures 17:20, reference point), provided that more than five trades transacted within this period.


I am looking for the real LAST and this is the auction price at 22:0X. As far as I know the last price for ESTX50 Jun was 2529.

Best
lantama

gregorio123456
Posts: 117
Joined: 08 Nov 2005
Been thanked: 3 times

Re: IB Data Source / Generate new Tick if Total Volume chang

Postby gregorio123456 » 16 Mar 2012

ok and thanks for information

jo

User avatar
Henry MultiСharts
Posts: 8521
Joined: 25 Aug 2011
Has thanked: 1213 times
Been thanked: 2741 times

Re: IB Data Source / Generate new Tick if Total Volume chang

Postby Henry MultiСharts » 16 Mar 2012

lantama wrote:Henry,
I am using the latest 7.4 version and TWS 922.6. I run two machines currently. Both latest Windows 7 64bit.
PC 1: Generate a new Tick if Total Volume changes: "OFF"
PC 2: Generate a new Tick if Total Volume changes: "ON"

PC 1: receives frequently glitches (see chart), but the closing auction price is fine.
PC 2: receives no glitches (see chart), but the closing auction price is wrong as it is always the last price BEFORE auction duplicated.

You can replicate this behaviour every day. It must be relatively simple to fix this. I don't know who should be in charge here, but someone definitely should act.
Best
lantama


IB Spike filtering has been improved in MultiCharts 8.0 beta 1 when the option "generate new tick if total volume changes" is set to On.
Please run a test on the latest version MultiCharts 8.0 beta 2 and let me know the results.

lantama
Posts: 87
Joined: 20 Apr 2008
Has thanked: 5 times
Been thanked: 4 times

Re: IB Data Source / Generate new Tick if Total Volume chang

Postby lantama » 08 Apr 2012

Henry, unfortunately nothing improved with MC 8 beta 2. Absolutely the same, wrong behaviour. I have no clue why nobody is taking care. I am talking about the closing prices from Europeans most important futures exchange. And I am sure that the change either on your or on IB side is one man hour effort - not more.

Please investigate.
lantama

User avatar
Henry MultiСharts
Posts: 8521
Joined: 25 Aug 2011
Has thanked: 1213 times
Been thanked: 2741 times

Re: IB Data Source / Generate new Tick if Total Volume chang

Postby Henry MultiСharts » 11 Apr 2012

lantama wrote:Henry, unfortunately nothing improved with MC 8 beta 2. Absolutely the same, wrong behaviour. I have no clue why nobody is taking care. I am talking about the closing prices from Europeans most important futures exchange. And I am sure that the change either on your or on IB side is one man hour effort - not more.

Please investigate.
lantama

Please replicate the behavior with incorrect closing auction price with extended logging enabled.
Here are the updaters to enable extended logging for IB data feed.
The updaters can be installed only on MultiCharts 8.0.
You need to download the zip file corresponding to your version of MultiCharts (32 bit or 64 bit).

Then you need to extract the folder from the archive to any location on your PC.

Here is how to install it:
Please, close MultiCharts and all its applications.
• Make sure that all MC processes are ended in Task manager:
o MultiCharts.exe
o MessageCenter.exe
o QuoteManager.exe
o tsServer.exe
o PLEditor.exe
o StudyServer.exe
o TradingServer.exe
o AtCenterServer.exe
o TPserver.exe
o Fixserver.exe

• Run the Updater.exe and click on “Update”.
• Make sure that there are no errors in the log of the updater.
• Close the updater.

Please enable the option “Generate a new Tick if Total Volume changes”.
Replicate the behavior with incorrect closing auction price.
Please collect the logs and send them to my email for analysis support@multicharts.com.
Log files are located here:
%USERPROFILE%\Local Settings\Application Data\TS Support\MultiCharts\
Please paste this line in Start a Run and in the window that will pop up make a zip-folder.
We need all the contents of the MultiCharts folder except for Cache.

Please also let me know which symbol has incorrect closing prices.
Attachments
MC_IB_80x64_log.zip
(1.18 MiB) Downloaded 33 times
MC_IB_80x32_log.zip
(936.01 KiB) Downloaded 36 times


Return to “MultiCharts”