Hi all,
Just thought I would add that I've verified that the bug is definitely in TWS itself. My earlier assertion that the numbers in the GUI were correct was actually incorrect. I was looking at imbalance percentage rather than raw imbalance. When you compare raw imbalance and auction volume in TWS GUI for ASX listed stocks pre-auction, those two fields are always identical (which obviously they shouldn't be). I've submitted a bug report to IB directly with a screenshot and we'll see how responsive they are.
Cheers,
Colin
