Is it a glitch in Interactive Broker data  [SOLVED]

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arjfca
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Is it a glitch in Interactive Broker data

Postby arjfca » 04 Sep 2012

Hello

I did not check my charts for few days. I look at yesterday chart and when the market reopen on September 03 I have a massive down spike of 894 pips on Eur.Usb... Price drop to 1.1700 Wow

- I see the same spike in all my charts.
- I did check on TWS chart on the spike is not there
- I did reload the data... Same problem
- I did try to repair the database by modifying the spike value... same problem

What else could I do

Martin
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Henry MultiСharts
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Re: Is it a glitch in Interactive Broker data

Postby Henry MultiСharts » 05 Sep 2012

Hello Martin,

Have you tried to reload the data today?

If you have "fixed" the spike manually-it can reappear on the chart if it is not fixed at the datafeed server and you reload the chart.

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Re: Is it a glitch in Interactive Broker data

Postby arjfca » 05 Sep 2012

Hello Henry

I looed again an IB chart frrom TWS using the bid ans ask and this spike do appear in their database to.

So I suppose that this is a real data

I did close all charts, kill Eur.Usd erase the cache and reload. Nothing more I can do

Martin :)

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Re: Is it a glitch in Interactive Broker data

Postby TJ » 05 Sep 2012

What is your TWS version?
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Re: Is it a glitch in Interactive Broker data

Postby arjfca » 05 Sep 2012

TJ wrote:What is your TWS version?


Build 926.5 May 302012
Jave: 1.6.0_35

:)

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Re: Is it a glitch in Interactive Broker data

Postby arjfca » 06 Sep 2012

TJ wrote:What is your TWS version?


Have you seen this big spike down on your side. It occured on September 03 2012 @ 17:15:01 . I did check the 1 second bid chart for that day

Martin
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Re: Is it a glitch in Interactive Broker data

Postby TJ » 06 Sep 2012

I would upgrade the TWS. I remember one of the older versions had this bug.
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Re: Is it a glitch in Interactive Broker data

Postby sptrader » 06 Sep 2012

It's a good idea to use the latest IB API and Java versions as well.
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Re: Is it a glitch in Interactive Broker data

Postby arjfca » 06 Sep 2012

sptrader wrote:It's a good idea to use the latest IB API and Java versions as well.


All as been updated... same big spike.

I'm just curious... anybody as seen the same spike with IB data on Sept 3?

Martin

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Re: Is it a glitch in Interactive Broker data

Postby gauss » 07 Sep 2012

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.
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Re: Is it a glitch in Interactive Broker data

Postby arjfca » 07 Sep 2012

gauss wrote: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.


Hello Gauss

I already got this option selected. So I supposed that this BID price as been really posted on their server.

As soon as my trading day end, I will close all charts and edit the data to get rid of this. It cause all my charts to be compressed to show this massive low price.

A good weekend to all

Martin
Martin

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Re: Is it a glitch in Interactive Broker data

Postby Henry MultiСharts » 07 Sep 2012

gauss, "Generate new tick if total volume changes" is for realtime data only. It won't help fixing incorrect historical price provided by the data feed.
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Re: Is it a glitch in Interactive Broker data

Postby RBN » 09 Sep 2012

I saw that spike down to 1.17 on Sept. 3 with EUR.USD. TWS Build 926.6, June 11 Java 1.7.0_04. Tried all the same things above to edit it. Go to Format Instrument > Setting tab > Chart Settings, and check the Session selection. I had 24 hour selected and the spike shows up. I changed it to Default, and the spike is gone. Check to see if that change helps.
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Resolved: Is it a glitch in Interactive Broker data  [SOLVED]

Postby arjfca » 10 Sep 2012

RBN wrote:I saw that spike down to 1.17 on Sept. 3 with EUR.USD. TWS Build 926.6, June 11 Java 1.7.0_04. Tried all the same things above to edit it. Go to Format Instrument > Setting tab > Chart Settings, and check the Session selection. I had 24 hour selected and the spike shows up. I changed it to Default, and the spike is gone. Check to see if that change helps.


I did check my session and I remembered that I hat changed it to start at1700 and close at1659. I did reselect the market default session time : start at 1730 end: 1700 and the problem was resolved

Thanks to have put me in the good direction

Martin

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Re: Is it a glitch in Interactive Broker data

Postby lois77 » 10 Sep 2012

Hi.

Lately, in the last weeks I have seen some unusual spike lows and highs in ESTX50 and DAX futures.

Kind regards.
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Re: Is it a glitch in Interactive Broker data

Postby RBN » 10 Sep 2012

Also something maybe to keep in mind; see post number 13 in this topic: http://www.multicharts.com/discussion/viewtopic.php?f=1&t=10495
( its referenced from this topic: http://www.multicharts.com/discussion/viewtopic.php?f=1&t=10604 ). ~Rob
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