IB=Unreliable real-time data in MC

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danilo
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IB=Unreliable real-time data in MC

Postby danilo » 14 Jun 2012

Testing some script in the real-time I have discovered that the IB API provide wrong trades to MC, this problem doesn't appear in TWS. I have attached 2 pictures, in the fist there is a screenshot of MC that show the problem, in the second a screenshot of TWS (running at the same time) that doesn't show the problem. I suspect that this problem is due to the API interface since TWS doesn't show the problem. I'm using the last API 9.66.



P.S.
When I close the chart and reopen it and the data are restored using the historical IB data feed, the bug disappear.
Attachments
GBL_MC_Chart_2012-06-14_16-01_full_bug.jpg
another MC screenshot plenty of bugs
GBL_MC_Chart_2012-06-14_16-01_full_bug.jpg (333.79 KiB) Viewed 820 times
GBL_IB_Chart_2012-06-14_16-01.jpg
IB chart without bug
GBL_IB_Chart_2012-06-14_16-01.jpg (131.76 KiB) Viewed 812 times
GBL_MC_Chart_2012-06-14_16-01.jpg
MC chart with bug
GBL_MC_Chart_2012-06-14_16-01.jpg (316.59 KiB) Viewed 808 times
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Henry MultiСharts
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Re: IB=Unreliable real-time data in MC

Postby Henry MultiСharts » 14 Jun 2012

Hello Danilo,

Please tell me what version of MultiCharts and TWS are you using so I can help you.
Go to Help -> About and tell me exact version and build number.
Please also attach a screenshot of QuoteManager->Tools->DataSources->IB->Settings window.

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Re: IB=Unreliable real-time data in MC

Postby JoshM » 14 Jun 2012

I've also experienced this in the past (a couple of weeks ago) with FOAT and FBTP on EUREX but assumed it was due to their lower liquidity. However, you're right Danilo (thanks for reporting it here):

screenshot.771.png
screenshot.771.png (131.58 KiB) Viewed 777 times


These spikes happen indeed only with real-time data and are for one tick (i.e. the price jumps to that price level and immediately jumps back).

MultiCharts 7.4 Build 4906
TWS Build 924.2e, Mar 20, 2012
Windows 7 Home Premium (64 bit)
Java version 1.6.0

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Re: IB=Unreliable real-time data in MC

Postby danilo » 14 Jun 2012

I have made more testing and I have added in parallel the TWS VB Sample (available in the API sdk). As example I have fund another spike at 18:01:32 (correspond to IB timestamp 1339689680) the price in MC was 142.32 (see file: GBL_QM_2012-06-14_18-02.jpg) while the correct one is 141.87 (see file GBL_TWS_Sample_2012-06-14_18-02.jpg). I have added also the screenshot of MC and TWS with highlighted the wrong and correct bar.

In summary MC has a problem while TWS and the simple VB example not. I think that MC must investigate to fix the bug.

Ciao.

MultiCharts 7.4 Build 4953
TWS Build 926.5, May 30, 2012
Windows 7 Ultimate (64 bit)
Java version 1.6.29 (32 bit)
Attachments
QM_IB_Settings.jpg
QM IB Settings
QM_IB_Settings.jpg (57.36 KiB) Viewed 775 times
GBL_MC_QM_2012-06-14_18-02.jpg
QM ticks table with bug
GBL_MC_QM_2012-06-14_18-02.jpg (86.64 KiB) Viewed 754 times
GBL_TWS_Sample_2012-06-14_18-02.jpg
TWS VB sample
GBL_TWS_Sample_2012-06-14_18-02.jpg (216.75 KiB) Viewed 767 times
GBL_MC_Chart_2012-06-14_18-02.jpg
MC chart with bug
GBL_MC_Chart_2012-06-14_18-02.jpg (298.74 KiB) Viewed 756 times
GBL_IB_Chart_2012-06-14_18-02.jpg
IB chart without bug
GBL_IB_Chart_2012-06-14_18-02.jpg (105.89 KiB) Viewed 751 times

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Re: IB=Unreliable real-time data in MC

Postby JoshM » 14 Jun 2012

Attached a screenshot of the QuoteManager showing the wrong print (both volume and price are off):

screenshot.773.png
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Re: IB=Unreliable real-time data in MC

Postby Henry MultiСharts » 14 Jun 2012

Danilo, JoshM, please install the attached fix for IB spike issue.
Here is how to install it:

Please close Multicharts and all its windows.
Check that all MC processes are ended in Task manager:
MultiCharts.exe
MessageCenter.exe
QuoteManager.exe
tsServer.exe
PLEditor.exe
StudyServer.exe
TradingServer.exe
atCenterServer.exe
TPserver.exe
Fixserver.exe
Unzip the archive into a new folder.
Then run the Updater.exe and click on Update.
if the update is installed correctly-the last line will say “Done”.

Please let me know if this solution helped you or not.
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MC_IB.zip
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Re: IB=Unreliable real-time data in MC

Postby dahmen walter » 14 Jun 2012

FGBL_NO_SPIKES.png
FGBL_NO_SPIKES.png (104.79 KiB) Viewed 765 times
I am using IB papertrading account for data and cannot confirm these spikes - a difference to real account?

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Re: IB=Unreliable real-time data in MC

Postby danilo » 14 Jun 2012

Could you provide some details on your PC software and HW configuration ?

Thanks

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Re: IB=Unreliable real-time data in MC

Postby dahmen walter » 14 Jun 2012

danilo wrote:Could you provide some details on your PC software and HW configuration ?

Thanks

CPU Intel i3770 Ivy Bridge
MB Gigabyte GA-Z77X-D3H
OS Win 7 Pro 64 bit SP1
JAVA Version 1.7.0_04
TWS Build 925.6b May 1, 2012
MC 8 Beta 3 64 bit
16 GB RAM Corsair Vengeance LP
HD Crucial M4 SSD 256 GB

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Re: IB=Unreliable real-time data in MC

Postby evdl » 15 Jun 2012

Hi Henry,

I also have these spikes with different symbols. Broker is IB and use MC8.0rc with the latest TWS version (webbased login).

Main problem is that this will sometimes trigger signals in my strategy (profit targets, stoplosses).

The update file you posted, is this also for mc80rc because it gave me error message saying that mc is not installed.

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Re: IB=Unreliable real-time data in MC

Postby danilo » 15 Jun 2012

Henry Multicharts wrote:Danilo, JoshM, please install the attached fix for IB spike issue.

Please let me know if this solution helped you or not.


The fix doesn't work.
Last edited by danilo on 15 Jun 2012, edited 1 time in total.

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Re: IB=Unreliable real-time data in MC

Postby Henry MultiСharts » 15 Jun 2012

Evdl, this file is for MC 7.4 only.
Danilo, we will run the tests in our environment and try to trace the issue.

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Re: IB=Unreliable real-time data in MC

Postby Henry MultiСharts » 20 Jun 2012

If "Generate a new tick if Total Volume changes" option is disabled-realtime IB spikes are possible. IB is aware of the issue.

Please enable "Generate a new tick if Total Volume changes" option in QuoteManager->Tools->Data sources->IB->Settings and let me know if the issue is still present.
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Re: IB=Unreliable real-time data in MC

Postby danilo » 20 Jun 2012

please could you explain better the meaning of this option ? the new generated tick will have only a different volume ? and why it's necessary ?

thanks

P.S.
I will be able to test the proposed solution only the next week.

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Re: IB=Unreliable real-time data in MC

Postby Henry MultiСharts » 21 Jun 2012

danilo wrote:please could you explain better the meaning of this option ? the new generated tick will have only a different volume ? and why it's necessary ?

thanks

P.S.
I will be able to test the proposed solution only the next week.


If total volume (in the status line) has not changed but there is a new tick from data feed-this tick will be skipped.
If total volume has changed but there is no new tick from data feed-new tick will be generated.
This solution helps to avoid spikes from IB data feed in realtime.
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Re: IB=Unreliable real-time data in MC

Postby danilo » 28 Jun 2012

I have installed the final version of MC 8, configured the IB settings as suggested and now the problem has disappeared.

Thanks,
Danilo
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