Volume Discrepancy between minute & Day Charts with IB d  [SOLVED]

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Volume Discrepancy between minute & Day Charts with IB d

Postby Guest » 22 Mar 2007

Please find attached a chart of HSI futures with a 30mins data and also Daily data plotted.

Subchart1: HSI futures 30 min price
SubChart2: HSI futures 30min Volume
SubChart3: HSI futures 1 Day price
SubChart4: HSI futures 1 Day Volume

Noticed at 9:50:50 , about 5 minutes after market opens, the 30min volume shows 1679, but the Day volume shows 1871.

But they should be the same.
IF the cumulative volume in IB's price messages is correct, why does Multicharts post different volumes ?....

I noticed the same problem for other Futures too.

Does it mean for all intraday Charts.. the volumes are way out ?

aljafp
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Postby aljafp » 22 Mar 2007

Please find attached the chart for the above mentioned bug.
Attachments
Volume Error.png
Volume Error.png (42.93 KiB) Viewed 383 times

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Kate
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Postby Kate » 26 Mar 2007

Usually IB provides Total volume for daily data but Total volume for minute charts is calculated by the program and due to a number of reasons (your sessions don't coincide with IB sessions for the same exchange, for instance) these values can differ from each other.

Moreover, Total volume of history minute bars is almost always less than TotalVolume in real-time and these values can never coincide.

So could you also post a screenshot from TWS showing the same charts so that we can compare these results?

Please take a look at the attached screenshot.
Attachments
ib_vol.PNG
ib_vol.PNG (20.69 KiB) Viewed 378 times
Last edited by Kate on 26 Mar 2007, edited 1 time in total.

Guest

Postby Guest » 26 Mar 2007

Reply in bold
Usually IB provides Total volume for daily data but Total volume for minute charts is calculated by the program and due to a number of reasons (your sessions don't coincide with IB sessions for the same exchange, for instance) these values can differ from each other.

In my example since both the minute charts and the Day charts are using the same session settings.

Moreover, Total volume of history minute bars is almost always less than TotalVolume in real-time and these values can never coincide.

This does not apply in my example, since both are realtime feeds ( history is not involved here )


So could you also post a screenshot from TWS showing the same charts so that we can compare these results?

Hang Seng Futures quotes is Free from IB.
So i am sure you can investigate the data discrepancy by subscribing to the feed and plotting the charts from TWS.




Are you saying that at realtime, the vol message for minute chart is different from the vol message for a Day interval chart ?

If they are the same, then shouldn't the volume for the Day Chart match the volume for the first 30 minute chart real time ?

Since Starting volume for the first bar of any day for a 30 minute chart is 0, the volume at any point in time should just equals to the volume message.
Which should match the volume message in the Day interval chart.

Guest

Postby Guest » 26 Mar 2007

I think Kate is merely saying GIGO.
MC is presenting what TWS provides.

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Kate
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  [SOLVED]

Postby Kate » 28 Mar 2007

Are you saying that at realtime, the vol message for minute chart is different from the vol message for a Day interval chart ?


Yes, the total volume for a daily chart will be different from the total volume for a minute chart because the daily volume is provided by IB but the total volume for a minute chart is calculated by MultiCharts by summing up volumes received for each minute.

Since Starting volume for the first bar of any day for a 30 minute chart is 0, the volume at any point in time should just equals to the volume message.
Which should match the volume message in the Day interval chart.


If you have only real-time, a 30 minute chart will be created from real-time ticks starting with 0 volume. The volume for 30 minute bars won't be equal to the current Volume message.

Guest

Postby Guest » 28 Mar 2007

Are you saying that at realtime, the vol message for minute chart is different from the vol message for a Day interval chart ?


Yes, the total volume for a daily chart will be different from the total volume for a minute chart because the daily volume is provided by IB but the total volume for a minute chart is calculated by MultiCharts by summing up volumes received for each minute.

Since Starting volume for the first bar of any day for a 30 minute chart is 0, the volume at any point in time should just equals to the volume message.
Which should match the volume message in the Day interval chart.


If you have only real-time, a 30 minute chart will be created from real-time ticks starting with 0 volume. The volume for 30 minute bars won't be equal to the current Volume message.


Say at 25mins past opening, the volume message that Multicharts receives from IB is the SAME for minute/ticks and Day interval, then Multicharts should display the same.

But if because Multicharts aggregates the volume from ticks for 30minutes charts and the resulting volume is different, then there are flaws Multicharts logic, such that certain volume went MISSING in the process.

I know its hard to determine ticks from IB feed, but the cumulative volume message from IB is ACCURATE.

If you aggregate the volume for a 30mins charts from 1 minute data which is stored in multicharts anyway, then i think you will get more accurate volume. Since the volume for any minute will just be volume at end of period - volume at start of period.

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Kate
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Postby Kate » 30 Mar 2007

Please take a look at the screenshot I posted above which shows that similar volume discrepancy takes place in TWS as well. As you can see on this screenshot the real-time volume in TWS differs from what is displayed in IB sample for history data.


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