Volume data from IB does not match Yahoo data

K

Kernel007

Hi all, Noob question here.
I am doing some data validation with IB data. While the 'Close' data is matching with Yahoo data (first picture, overlaps, orange=yahoo, blue = IB) ,the volume data is totally different ( orange = yahoo, blue = IB). They are both the same time period and same stock (ITC, exchange is NSE, from Jan 2103 till Sep 2019.

I am not understanding why. Can anybody help?
Open.jpg
Volume.jpg
 
Every data feed is different. Not so much in price but most of the time in recorded volume. IB use a segmented way to represent volume.
 
Yes, I had noticed this also. I think the issue is that IB only provides most but not all exchange volumes, perhaps due to live data licensing issues(?). For US stocks, I find the Yahoo daily volumes more correct.
 
Thanks danielc1. But the two curves are an order different (x axis 1x10^8) and doesn't show any correlation between the peeks, troughs and looks like as if it is two different data sets with no relations to each other.

Below adding a magnified view. (orange = Yahoo, blue = IB)
Magnified volume.jpg
 
The lines do not compare in numbers, but they do correlate in movement. If orange peaks, so does the blue line.
 
Kernel007 said:
I am doing some data validation with IB data. While the 'Close' data is matching with Yahoo data (first picture, overlaps, orange=yahoo, blue = IB) ,the volume data is totally different ( orange = yahoo, blue = IB). They are both the same time period and same stock (ITC, exchange is NSE, from Jan 2103 till Sep 2019.
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I went to the NSE website to see what volume they indicate for ITC. This seems to be similar to what Yahoo reports (according to you, I didn't verify it). In TWS is the daily volume data indeed a lot lower: about 1~2 million shares per trading day. It could be that this mismatch is specific to Indian stocks at IB and therefore it might be best to ask IB's customer service for an explanation.
 
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Thanks HobbyTrading. Yes, the Yahoo data and NSE exchange website data matches( I checked) but IB data is totally different.

I was checking for other stocks and found something interesting. There is a period of time where IB data and yahoo data matches (from 2011 Sep 26 to 2012 Oct 31). And it is the same situation for two different stocks (have checked only two till now).

Below is the full volume chart and with the matching area magnified. Any thoughts as to why is this?
full.jpg
matching.jpg
 
@Kernel007 ,
I see the same thing in my datasets. Did you ever find out an answer to this from interactive brokers?
Thanks,

-Update: Nevermind, I found the answer here on the website:
https://interactivebrokers.github.io/tws-api/historical_bars.html
Note: IB's historical data feed is filtered for some types of trades which generally occur away from the NBBO such as combos, block trades, and derivatives. For that reason the historical data volume will be lower than an unfiltered historical data feed.

- Given this information, Is there a better source than yahoo finance? Sometimes I see delays getting up-to-date yahoo finance data.
 
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