IB Chronic Data Feed Issue

Quote from dst:

I would like to gather all information/complaints related to book trader/market depth to make sure we have addressed every single one of them.

Please send PM to me or to DAV with short summary of the issue. I will also follow up on each issue reported in this thread so far (no need to resend).

Thank you in advance for your assistance,
- Dennis, IB dev
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Hi Dennis,

Very good to read that IB will address this issue finally.

Actually it's very easy to gather all info you need by yourself, by just asking one of your programmers to spend a few hours building in a corruption-monitor in TWS. Then you can very easily see the very same things like this attached screenshot (it's from ButtonTrader's monitor which prints every issue to file).

Then build the same monitor on the IB-server backend, and see were the cause originates from.

We run our monitor every day and always have some (or a lot) issues in our file. (if you want, I can send you hundreds).

I will send you some addition info soon.
Thanks again
Hoi
 

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Quote from jeb9999:

YM was migrated from the eCBOT platform to the Globex platform om 01/13/2008.

http://www.cmegroup.com/resources-for/files/CC038_Migrationdoc.pdf
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Ok, thnx Jeb. i remember going over that doc because my angst coefficient was rising regarding my YM trading being affected by the changes.

There's a tiny chance that something is also amiss at the matching
engine host or comm line linked to IB. Anyway i just would like to hear more from IB on this if possible. OK, it may be crazy, but ...
Again, thnx.
 
Oh lord ... All kinds of characters working the YM tonight...
Felons, drunks, at least two really nasty Bots, Pervs, Dope Fiends, Pimps ... they're gonna get my piker $$ for sure...
And the MD problem has been going on and off all evening.
Crazzy.


<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=2543353>
 

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OK ...

Thanks Dst, for the heads up and thanks for getting on this problem. Let's hope the fix holds. And, if not, then i know IB guys will stay on it.
Also, DAV, Thanks for the PM's to me early on when this thread restarted and it was suggested by a poster IB would not respond.
And Hoi(ButtonTrader), appreciate taking time to post info and help.

regards
 
Quote from dst:

FYI, the fix for this is being rolled out.

Hoi, thanks for info and detailed email.
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dst,

Can you please indicate which TWS release will contain the fix?

Also, can you confirm that this fix would address the market depth problem as in the attached image? I believe this is a corrupted DOM as there should be only one price per level for the ES Globex contract. Thanks.
 

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Quote from nonlinear5:

dst,

Can you please indicate which TWS release will contain the fix?

Also, can you confirm that this fix would address the market depth problem as in the attached image? I believe this is a corrupted DOM as there should be only one price per level for the ES Globex contract. Thanks.
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Same problem last night with YM market depth. i have pics if IB needs them as well.
 
Quote from nonlinear5:

dst,

Can you please indicate which TWS release will contain the fix?

Also, can you confirm that this fix would address the market depth problem as in the attached image? I believe this is a corrupted DOM as there should be only one price per level for the ES Globex contract. Thanks.
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Based on the information we have gathered so far this will be backend only fix.

In your picture DOM is not corrupted. This is normal since generally market participants like seeing higher level of granularity of the info. Note that the color is designed to help you visually group quotes that are on the same level.
 
Quote from dst:
Based on the information we have gathered so far this will be backend only fix.
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So, this means that no TWS upgrade would be required, is that correct? When is the "backend fix" expected to take effect?


Quote from dst:
In your picture DOM is not corrupted. This is normal since generally market participants like seeing higher level of granularity of the info.
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So, in this case, why is the granularity evident on the bid side, and not on the ask side?
 
Quote from nonlinear5:

So, this means that no TWS upgrade would be required, is that correct? When is the "backend fix" expected to take effect?

So, in this case, why is the granularity evident on the bid side, and not on the ask side?
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Correct, no TWS upgrade is required; it is becoming gradually in effect, should be fully rollout in 1-2 days.

Look at SPY market depth now - you'll see this level of granularity on both bid and ask sides.
 
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