Unofficial TWS bug thread
- Thread starter TWS_Beta_Tester
- Start date
IMO there is a bug in the calculation of the EMA for different time periods on the same time frame.
eg: the EMA(78) in my example has a different value at the last bar when i look at the 5day chart (hourly bars) compared to the 15day chart (when i look at the hourly chart).
interactive brokers wants me to believe that this is correct. but the guy from the helpdesk didnt seem to copy and paste. he wants to explain me thats correct but his formula just says it must be the same.
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IB Support:
I understand your point that both chart are hourly bars with the EMA (78). But the EAM(78) values are different with the time period 5 days and 15 days. As I said the EMA is expected to have different values for the same bar over different periods. EMA takes into account all past data and dependent on past values "forever", not only k items, while SMA(k)/WMA(k) only take into account k past data points. So the calculation over different periods will not produce the same results for the overlapping period. Please refer to the below EMA formula.
EMA formula:
i = the index of the bar
n = the number of periods to use for EMA
factor = 2 / (n + 1)
EMA(1) = SUM(price(i)) / n, where i = 1, 0, -1, ..., (2 - n)
For i > 1:
EMA(i) = factor * price(i) + (1 - factor) * EMA(i - 1)
eg: the EMA(78) in my example has a different value at the last bar when i look at the 5day chart (hourly bars) compared to the 15day chart (when i look at the hourly chart).
interactive brokers wants me to believe that this is correct. but the guy from the helpdesk didnt seem to copy and paste. he wants to explain me thats correct but his formula just says it must be the same.
----------------
IB Support:
I understand your point that both chart are hourly bars with the EMA (78). But the EAM(78) values are different with the time period 5 days and 15 days. As I said the EMA is expected to have different values for the same bar over different periods. EMA takes into account all past data and dependent on past values "forever", not only k items, while SMA(k)/WMA(k) only take into account k past data points. So the calculation over different periods will not produce the same results for the overlapping period. Please refer to the below EMA formula.
EMA formula:
i = the index of the bar
n = the number of periods to use for EMA
factor = 2 / (n + 1)
EMA(1) = SUM(price(i)) / n, where i = 1, 0, -1, ..., (2 - n)
For i > 1:
EMA(i) = factor * price(i) + (1 - factor) * EMA(i - 1)
one more time i'm asking IB for certain features that can be actually beneficial for ANY trader. not some nonsense that no one is using ,but something that might help us. let's get back to my favored 'greatly improved' T&S window.
please bring back the total volume column. put it back where it was before. it was very useful,specially in premarket(i did post examples while ago,why it's important)
allow customers to change columns and their positions. make sure they are saved and next time customer opens T&S window-everything should be in same order as he placed it.
allow customer to change colors. SPECIFICALLY-prices and sizes in this T&S window. having only 1 option-grey on black ain't even funny(great color combo btw! really easy to see). same for grid.
allow customer to choose number of digits AFTER DECIMAL POINT.
if there is a sub penny trades-i want to see them! why on chart price iare reported correct and in T&S all trades are rounded to 2 digits after decimal point?
and finally- please, ADD EXCHANGE NAME,where trade did take place.
all those fields\columns should be optional and customer should have an ability to add or remove them.
i'm not asking some complicated or unique or hard to implement features. those are common things and every decent broker or data provider has them
Thank you!
please bring back the total volume column. put it back where it was before. it was very useful,specially in premarket(i did post examples while ago,why it's important)
allow customers to change columns and their positions. make sure they are saved and next time customer opens T&S window-everything should be in same order as he placed it.
allow customer to change colors. SPECIFICALLY-prices and sizes in this T&S window. having only 1 option-grey on black ain't even funny(great color combo btw! really easy to see). same for grid.
allow customer to choose number of digits AFTER DECIMAL POINT.
if there is a sub penny trades-i want to see them! why on chart price iare reported correct and in T&S all trades are rounded to 2 digits after decimal point?
and finally- please, ADD EXCHANGE NAME,where trade did take place.
all those fields\columns should be optional and customer should have an ability to add or remove them.
i'm not asking some complicated or unique or hard to implement features. those are common things and every decent broker or data provider has them
Thank you!
IMHO:
This IB support person is right.
In order for the initial condition to become negligible, about 3 x "period of EMA" bars are needed. In this case, it would be 3 x 78 = 234 hourly bars. Five days is way too short. You need at least ten around-the-clock trading days. ( 234 / 24 = 9.75 )
this is where i have problem with IB..their logic behind things.
they use to have a nice,easy to use T&S window. it use to present data in NORMAL, COMMON way. like it was presented in many other software vendors. now with this new T&S window for no reason whatsoever IB is trying to reinvent the wheel.but the problem is-there was no people with real trading experience and lack of common sense.
rather than add those features that i was asking for many many years to existing window-they choose to 'redesign' the whole thing and CUT the fields that actually do make sense. and substitute existing ones with weird combination of numbers,colored in not so user friendly colors. Mr Peterffly- you ask us in your letter above for opinion\advise-here....just read this whole thread.you will get the point.
to keep themselves busy your employees are creating appearance of work,doing nothing,but some cosmetic changes and shuffling existing features from left to right and so on..
it was a disaster in progress..and it's been like this for many many years..
you use to have an advantage over rest of the competition by providing tools that was only been available for WS pros and that what's was your 'edge' back then.
where this is all go? why we can't even have a f*** total volume column in this pathetic looking T&S window?
why we even talking about it here? why retail day traders are asking YOU to put the stuff back,where it was before? why NOTHING useful,revolutionary,that might benefit those,who feeds you coming from you,IB anymore?
they use to have a nice,easy to use T&S window. it use to present data in NORMAL, COMMON way. like it was presented in many other software vendors. now with this new T&S window for no reason whatsoever IB is trying to reinvent the wheel.but the problem is-there was no people with real trading experience and lack of common sense.
rather than add those features that i was asking for many many years to existing window-they choose to 'redesign' the whole thing and CUT the fields that actually do make sense. and substitute existing ones with weird combination of numbers,colored in not so user friendly colors. Mr Peterffly- you ask us in your letter above for opinion\advise-here....just read this whole thread.you will get the point.
to keep themselves busy your employees are creating appearance of work,doing nothing,but some cosmetic changes and shuffling existing features from left to right and so on..
it was a disaster in progress..and it's been like this for many many years..
you use to have an advantage over rest of the competition by providing tools that was only been available for WS pros and that what's was your 'edge' back then.
where this is all go? why we can't even have a f*** total volume column in this pathetic looking T&S window?
why we even talking about it here? why retail day traders are asking YOU to put the stuff back,where it was before? why NOTHING useful,revolutionary,that might benefit those,who feeds you coming from you,IB anymore?
I initially thought that IB does not give us information on "exchange name" and does not display sub-penny trades on T&S because they do not want 1000s of queries from their retail customers to their customer representatives asking to explain about 100s of exchanges and routing avenues available and which exchange they should send their orders to etc.
However, IB has smart routing, already supports more than 20 routing venues so it means my initial thought was wrong. Now, I really don't understand any reason why they won't show "Exchange name" and let the customers select number of decimals on T&S Windows. Every other trading platform like Sterling etc. has this feature.
IB - I know you are listening and reading this demand from your customers. So, please fix this. Thanks a lot.