IB TWS Volume Issue

Quote from rcj:

Under global settings when calculated volume is set, the value
updates correctly on a ticker page in TWS.

However the calculated volume value is not being sent thru
the API for use by some apps getting data from IB. Instead, the
"native" volume value is sent thru the AP!.
More...

There are 2 sources of the volume: the one that is supplied by the data feed (also known as "native" volume, which includes all corrections like trade busts etc) and the one that calculated by us (also known as "calculated" volume, which is just indicative volume and does not include trade busts etc).

As a courtesy to our customers we made it possible in TWS to elect to view native or calculated via config setting discussed above. API clients has (and had for a while) access to both (native is requested using RTVolume generic tick). The config in TWS only updates UI and does not affect API (nor logically it should affect API since both data points are accessible by simply querying it).

We are checking why native volume (and high/low) is now ticking slower than it use to be (this is likely related to the fact how frequently this data is delivered to us from exchange); calculated volume is still ticking very frequently.

Thank you for bringing this up to our attention using appropriate channels.
 
One issue using "calcualteed volume":

If you open an option chain, say AAPL, all option volumes will drop significantly if using "calculated volume".

In this case, the volume means what? Kind of misleading...
 
Quote from gregiii:

If you open an option chain, say AAPL, all option volumes will drop significantly if using "calculated volume".

In this case, the volume means what? Kind of misleading...
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As described in corresponding tooltips in TWS, calculated volume does not include "delayed transactions, ... late reporting trades and combos".

You have an option to use slower ticking but more "true" volume by electing "native" volume display.
 
Quote from dst:

calculated volume does not include "delayed transactions, ... late reporting trades and combos"
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Would love to have the calculated volume come through on the API. Rather not have the delayed transactions thrown in at random to screw up and give false momentum.
 
Quote from rcj:

IB is working on this now ...........

2012/04/26
06:06:01 IBCS Dear ........

Thank you for your report. We have been able to replicate the issue and we have notified our developers. They are researching the issue, we will let you know when there is an update.

Regards,
Guillermo
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just checked the msg center. no update yet.
 
Quote from dst:


We are checking why native volume (and high/low) is now ticking slower than it use to be (this is likely related to the fact how frequently this data is delivered to us from exchange); calculated volume is still ticking very frequently.
More...

We found the issue; the volume will be ticking as frequently as it used to be shortly, it will take couple of days to fully take effect. Thank you for your patience.
 
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