Discrepancies between real-time and historical market data

xb All Messages By This Member #53619 Attached are the logs from my subscription to real-time and historical bar data yesterday. As you can see, there are discrepancies between the 'high' and 'Wap' values in the two datasets. I'm wondering if anyone can explain why this might be occurring. Any insights would be helpful. ? RealTimeBars: JD,Time:1733404940,Open:36.28,High:36.28,Low:36.28,Close:36.28,Volume:500000000000,Wap:36280000000,Count:1 HistoricalBars: JD,BarData(date=datetime.datetime(2024, 12, 5, 8, 22, 20, tzinfo=backports.zoneinfo.ZoneInfo(key='US/Eastern')), open=36.28, high=36.29, low=36.28, close=36.28, volume=500.0, average=36.282, barCount=1) ? Thanks? xb
ds-avatar All Messages By This Member #53628 Time and sales forensics is your best friend here. This kind of mismatch is not infrequent but I'm not sure any regular pattern could be established. AFAIK IB do not disclose how exactly they source and aggregate their price data so it essentially can only be guessed with some limited certainty what any of these figures mean. пт, 6 дек. 2024 г., 02:09 xb via <kcbsbo=[email protected]>: toggle quoted message Show quoted text Attached are the logs from my subscription to real-time and historical bar data yesterday. As you can see, there are discrepancies between the 'high' and 'Wap' values in the two datasets. I'm wondering if anyone can explain why this might be occurring. Any insights would be helpful. ? RealTimeBars: JD,Time:1733404940,Open:36.28,High:36.28,Low:36.28,Close:36.28,Volume:500000000000,Wap:36280000000,Count:1 HistoricalBars: JD,BarData(date=datetime.datetime(2024, 12, 5, 8, 22, 20, tzinfo=backports.zoneinfo.ZoneInfo(key='US/Eastern')), open=36.28, high=36.29, low=36.28, close=36.28, volume=500.0, average=36.282, barCount=1) ? Thanks? xb -- Best, DS

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Discrepancies between real-time and historical market data