I just thought I'd add to my original message: I'd be very interested in hearing whether anyone has experienced this bug on exchanges other than the ASX, and also whether anyone has experienced this bug using languages other than Python? I've joined the github project for TWS API, so if I could confirm that this behaviour only happens on Python that would certainly narrow things down.
I also should have added to the original post that the auction imbalance displays correctly in the TWS GUI, which suggests fairly strongly that the problem is occurring somewhere in the API.
Cheers,
Colin
