[UPDATER] InteractiveBrokers - Wrong Opening Prices

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lantama
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[UPDATER] InteractiveBrokers - Wrong Opening Prices

Postby lantama » 31 Jul 2012

Hello,

I am using hourly bars/minute data in MC 8 64 latest version. Data Source is IB. Latest TWS and API 966 are in place.

Sometimes I receive wrong opening prices of the day as the last from day before is somehow duplicated. Affected Futures products are DAX, ESTX50 and GBL. When I delete the minute data and do a backfill all is fine. Collected live data makes trouble.
Screenshots attached. The first collected ticks are also wrong for DAX and GBL, but somehow not for ESTX50.

However this problem did not occur every day. As far as I know only DTB (EUREX) is affected. Thus replication isn't that easy.
This is a serious issue for my trading approach. Please help.

Best
lantama
Attachments
ESTX50 right first tick.png
First tick is fine
(15.02 KiB) Downloaded 1155 times
ESTX50 wrong opening.png
Opening price = close from D-1, wrong
(15.06 KiB) Downloaded 1141 times
DAX wrong frist Tick.png
First tick is wrong as well
(14.62 KiB) Downloaded 1126 times
data source settings.png
(10.09 KiB) Downloaded 1140 times
DAX wrong opening.png
08:01:00: Right opening price was around 6810
(14.96 KiB) Downloaded 1132 times

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Henry MultiСharts
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Re: Wrong Opening Prices - EUREX/DTB, Source Interactive

Postby Henry MultiСharts » 31 Jul 2012

Hello Lantama,

Was the screenshot of minute data for FESX SEP 12 instrument taken after the data has been backfilled?

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Re: Wrong Opening Prices - EUREX/DTB, Source Interactive

Postby lantama » 31 Jul 2012

Henry,
no, it is the recorded ESTX50 stuff. Weird like the whole issue...

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Re: Wrong Opening Prices - EUREX/DTB, Source Interactive

Postby Henry MultiСharts » 01 Aug 2012

We are investigating the issue in our environment. I will keep you updated.

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Re: Wrong Opening Prices - EUREX/DTB, Source Interactive

Postby lantama » 01 Aug 2012

Please, it is very dangerous for my trading approach.

However, I cannot give you any proof, but I think it is still related to 'generate new Tick if volume changes' setting.

If toggled on, I miss the closing auction prices @ EUREX/DTB from source IB

If toggled off, I get proper closing auction prices @ EUREX/DTB from source IB, but in this case I think sometimes I receive a duplicated wrong opening price (= closing from day before).

Both would be a bug if I am right. What we need is the best of both worlds ;)

Please keep my posted. Many thanks
lantama

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Re: Wrong Opening Prices - EUREX/DTB, Source Interactive

Postby lantama » 02 Aug 2012

Please, it is very dangerous for my trading approach.
If toggled on, I miss the closing auction prices @ EUREX/DTB from source IB

If toggled off, I get proper closing auction prices @ EUREX/DTB from source IB, but in this case I think sometimes I receive a duplicated wrong opening price (= closing from day before).
lantama
I was wrong. I tested it today. Currently all the opening prices for EUREX / DTB futures products GLB, ESTX50 and DAX are wrong. The 'Generate new tick if volume changes' setting makes no difference.

Best
lantama

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Re: Wrong Opening Prices - EUREX/DTB, Source Interactive

Postby lantama » 07 Aug 2012

Hello Henry, any news regarding this issue?

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Re: Wrong Opening Prices - EUREX/DTB, Source Interactive

Postby lantama » 08 Aug 2012

Today I receive glitches from IB/DTB feed again - as before in former versions (MC7).

I think this is somehow related to the opening price issue. The feed implementation of DTB/IB source in MC seems to be buggy. IB/TWS is filtering these glichtes as you can see in the chart comparison. Somehow I don't see these glitches in a daily MC chart of the FESX SEP either. Please solve this. Filter the EUREX block trades and the wrong opening ticks in any compression! Minute and Tick compression seems to be missing here.

By the way, when I change the 'generate new tick if volume changes' is this changing directly or do I have to restart anything?

As this issue is about two years old now (new Eurex feed release) I would expect to see any progress. Please.
lantama
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FESX 1M Glitches.png
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Re: Wrong Opening Prices - EUREX/DTB, Source Interactive

Postby Henry MultiСharts » 08 Aug 2012

Hello lantama,
Hello Henry, any news regarding this issue?
Our engineers are analyzing this behavior.
Today I receive glitches from IB/DTB feed again - as before in former versions (MC7).
"Generate new tick if volume changes" should be enabled in order to avoid spikes from IB.
In order to make this setting come into effect MultiCharts and all of its applications should be restarted.

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Re: Wrong Opening Prices - EUREX/DTB, Source Interactive

Postby lantama » 08 Aug 2012

Ok, "generate new tick if volume changes" was toggled off as I was looking for 'better' ticks. I will change and check again.
lantama

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Re: Wrong Opening Prices - EUREX/DTB, Source Interactive

Postby Henry MultiСharts » 10 Aug 2012

I have emailed and PMed you an updater with extended logging for tracing this behavior.

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Re: Wrong Opening Prices - EUREX/DTB, Source Interactive

Postby Henry MultiСharts » 02 Oct 2012

IB connection has been improved.
Now a new tick will not be generated until the actual opening price is received when the "Generate a new tick if Total Volume changes" is enabled.

You can download an updater corresponding to your MultICharts version from the links below:
https://dl.dropbox.com/u/27918922/MC_IB_80.zip
https://dl.dropbox.com/u/27918922/MC_IB_80x64.zip

Here is how to install it:
https://www.multicharts.com/trading-sof ... an_Updater

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Re: [UPDATER] Wrong Opening Prices - InteractiveBrokers

Postby sptrader » 03 Oct 2012

I hope this "FIX" will be included in MC8.1 (due out soon I hope)..

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Re: [UPDATER] Wrong Opening Prices - InteractiveBrokers

Postby Henry MultiСharts » 03 Oct 2012

I hope this "FIX" will be included in MC8.1 (due out soon I hope)..
Next version of MultiCharts will include all fixes since MC 8.0 Release.

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Re: [UPDATER] Wrong Opening Prices - InteractiveBrokers

Postby Tresor » 05 Oct 2012

Next version of MultiCharts will include all fixes since MC 8.0 Release.
When will the new version be out?

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Re: [UPDATER] InteractiveBrokers - Wrong Opening Prices

Postby Henry MultiСharts » 05 Oct 2012

When will the new version be out?
It is expected later this fall. There is no exact release date.


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