Time And Sales vs. TWS

O

OldTrader

It seems that there is a conflict between the volume I see in the Time and Sales window from E-Signal versus the volume I see on the TWS.

My impression is that TWS must 'lump' volume together when it occurs at the same price, whereas the Time And Sales window shows all trade volume. But this is just an impression.

Does anyone know what the story is here? Appreciate any information anyone may have regarding the seeming discrepancy here.

OldTrader
 
dafa, though tere are issues with futures volume from IB right now, what OldTrader is referring to is different.

eSignal data is tick by tick. IB's data is not. IB updates the quotes max of 2 or 3 times per second. Therefore, if you are watching a symbol that is trading more often than that, you will get "Lumped" updates covering multiple trades.
 
Quote from j_medved:

dafa, though tere are issues with futures volume from IB right now, what OldTrader is referring to is different.

eSignal data is tick by tick. IB's data is not. IB updates the quotes max of 2 or 3 times per second. Therefore, if you are watching a symbol that is trading more often than that, you will get "Lumped" updates covering multiple trades.
More...

This seems to cover what I'm referring to. It looks like the volume is 'lumped' and therefore, when you see a trade of a certain size on TWS, it may or may not be an actual trade of that size versus a combination of various trades.

In fact, I have tried to add some of them quickly in my head on the Time and Sales to see if they add up to the TWS. Normally, this gets into the ballpark, but there is still some discrepancy.

Thanks for the answer.

OldTrader
 
I have also noticed some unusual "Last Size" on ES with TWS during this past week. I wonder if anyone else noticed the same problem.
 
I've seen that eSignal - at times - shows several prints for ES for each one that I see in TWS. If IB "lumps" some, that could be the answer. I've also recently seen a few ES trade sizes of 400 - 600, when the contract limit is supposed to be only 250.
 
You must log in or register to reply here.
Back
Top