Superfluous update ticks

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janus
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Superfluous update ticks

Postby janus » 08 Mar 2011

I'm detecting extra update ticks in my IOG study with IB. I can tell these were extra ticks because the volume did not change, and it was not at the end of a bar where one sees this happening all the time (where barstatus = 2 and 0). These extra ones occurred well inside a 1 minute bar surrounded by lots of other normal ticks (barstatus = 1). I have only one instrument plotted. Why would I get an extra update tick before the 1 minute bar is completed when no volume was traded? Could this be an IB issue? Anyone else seen this?

Unfortunately it's so rare it's easily missed. I haven't done a really thorough enough test to determine how many there are but it appears to be only a few per day per contract. This is a potential problem for certain signal studies that turn on IOG. I'm tracking down another strange but very rare occurrence (eg, a cover order while net long 1 contract ends up being net short 1 contract, or a buy order for 1 contract when flat ends up being long 2 contracts) and it looks like this is related to the above since they happen at the same time. Not 100% sure until I do some more testing.

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Dave Masalov
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Re: Superfluous update ticks

Postby Dave Masalov » 15 Mar 2011

Dear janus,

Do you have the latest version of TWS and latest IB API update?

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Re: Superfluous update ticks

Postby janus » 15 Mar 2011

Dave Masalov wrote:Dear janus,

Do you have the latest version of TWS and latest IB API update?

Yes back then they were the most recent. However a new version of TWS was released afterwards. I haven't repeated my tests yet. Will let you know the new results soon.

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Dave Masalov
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Re: Superfluous update ticks

Postby Dave Masalov » 16 Mar 2011

Dear janus,

Please compare ticks in MC with Time and Sales in TWS. If MC has extra ticks in real-time comparing to TWS, please send us the screenshots:

- Time and Sales screenshot should display symbol name, ticks, changed or unchanged volume after that tick in TWS
- MC screenshot should show 1 tick chart, bad tick and ticks around this bad tick.

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Re: Superfluous update ticks

Postby janus » 16 Mar 2011

Dave Masalov wrote:Dear janus,
Please compare ticks in MC with Time and Sales in TWS. If MC has extra ticks in real-time comparing to TWS, please send us the screenshots:

I did as you suggested but I've found the Time and Sales totally unreliable. For example I thought I found an inconstancy as shown in the attached image. The Time and Sales snapshot was taken in real-time. However, when I scrolled back using their "Previous" tab to review the Time and Sales during the same period it looked different and did show there were 2 contracts traded instead of 1, implying MC was correct. I've also seen several other similar inconsistencies between what TWS reports and what MC reports with even the "Previous" values disagreeing with MC. Unless I'm reading the screens wrong, something is definitely not working properly.

BTW, the CPU tick is obtained (via a DLL) from the Microsoft Windows function that retrieves the number of milliseconds that have elapsed since the system was started, up to 49.7 days.
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Dave Masalov
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Re: Superfluous update ticks

Postby Dave Masalov » 18 Mar 2011

Dear janus,

If you want ticks to be formed only on Volume change, you need to enable Generate a New Tick if Total Volume Changed option in Quote Manager  Tools  Data Sources  IB (at the bottom of the window).

If the problem persists, please come to our Live Chat between 6:30AM and 11AM EST. We will run IB example application on your machine and will try to compare the data.

We did it on our end and have found out that Time &Sales not always contains ticks that are showed in IB example software. Then you can contact IB with the following question: why Time &Sales data does not always match with official IB API example application?


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