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same volume for SMART and NYSE or ISLAND in reqMktData

 

In this answer it was pointed out the importance of setting SMART as a contract exchange to get most of the information/volume while using reqMktData. Which I always believed is the correct way, totally agree. However I double checked and found that for reqMktData it doesn't seem to matter. I.e. no matter if I ask for SMART or specific exchange I get the same volume information. Note, this is true only for reqMktData, if I use historical data using reqHistoricalData I see very different volume for SMART vs NYSE/ISLAND just like expected. So not to hijack the original thread maybe we can clear it up here.?
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If I run the attached program like this >python Program_exchanges.py --port 4001 I get the following output. I.e. looks like I am getting same volume for all exchanges (maybe several lots difference sometimes, I guess it has to do with timing, but definitely not 20-70% volume difference as one would expect having seen historical data).
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I have tried different stocks. Seems to be true for all I have tried. In case one want to experiment this is how I list the contracts I want data for
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and then loop through them and ship go reqMktData
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The question is: is that expected behavior for reqMktData? I was not expecting this, I was expecting same behavior as for reqHistoricalData

Program_exchanges.py
Program_exchanges.py

 

I have never looked into this in the first place, but after a quick test with my data recorder I can confirm your observation for the Volume tick as well as all fields of the RtVolume tick. But the data feeds are not identical and other ticks may provide different values.

My quick test:

  • Requested MTDR@SMART from an IBGW paper account
  • And in parallel MTDR@NYSE from a TWS Paper account
  • Over a 15 min periods, SMART had received 1,611 ticks while NYSE received only received 657
  • My data recorder requests all available tick types when calling reqMktData

I'll let this run for the rest of the day and, if I can find some time, will drill down a little more.

´³¨¹°ù²µ±ð²Ô

PS. Going forward, please do not attach code to your posts and limit the code inside the posts to the absolute minimum. We are not a Python code exchange, you cannot expect other people to run your code, it makes your posts and the discussion less relevant for the majority of members that use programming languages other than Python, and serious legal and licensing issues can arise.

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On Wed, Jan 8, 2025 at 12:17 PM, ajn wrote:

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The question is: is that expected behavior for reqMktData? I was not expecting this, I was expecting same behavior as for reqHistoricalData

 

Some more stats from comparing real-time feeds for MTDR@NYSE and MTDR@SMART on 20250108 between 13:30 and 16:10 US/Central:
  • The NYSE feed did not get any 5 second real time bars
  • The SMART feed received more than twice the ticks than the NYSE feed
  • Several ticks (marked in green) received the same number of ticks and the same data. Except for "Volume" where 3 of the 946 ticks had different values
  • Seven tick types were only sent in the SMART feed.
Hope this help,
´³¨¹°ù²µ±ð²Ô
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Thanks ´³¨¹°ù²µ±ð²Ô, very serious work! Very appreciated!
I guess the expectation that the difference between calling @SMART would give info from all exchanges yet @NYSE would give info specific for NYSE. And particular indicator which is expected to be very different is volume. Yet both my test and yours shows that it is basically the same number.?
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Fortunately, in my case I am only interested in full data. So it is not causing any issues for me. However, like it often happens: "If there is discrepancy between expectation and reality it is worth double checking, very likely there is an issue on my side, I understand it wrong or code it wrong or anything else is wrong on my side". So I approach it only from this angle. If consensus on this forum is?
1. reqHistoricalData will give you very different volume data for @SMART vs @NYSE (SMART having ALL the volume, NYSE only for that specific exchange)
2. reqMktData will give you same volume data no matter if you call it for @SMART or @NYSE, we don't know why (or insert explanation here)
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I am totally fine with that consensus. Just trying to get rid of bugs/discrepancies one by one in my code/understanding of IB API.?
AJ
 

Good job ´³¨¹°ù²µ±ð²Ô and AJ. I learnt this today and wanted to say Thank you to you both.?
This type of analysis is why we are in the forum.?

Daniel.

On Thu, Jan 9, 2025 at 12:13?PM ajn via <andrei.jefremov=[email protected]> wrote:
Thanks ´³¨¹°ù²µ±ð²Ô, very serious work! Very appreciated!
I guess the expectation that the difference between calling @SMART would give info from all exchanges yet @NYSE would give info specific for NYSE. And particular indicator which is expected to be very different is volume. Yet both my test and yours shows that it is basically the same number.?
?
Fortunately, in my case I am only interested in full data. So it is not causing any issues for me. However, like it often happens: "If there is discrepancy between expectation and reality it is worth double checking, very likely there is an issue on my side, I understand it wrong or code it wrong or anything else is wrong on my side". So I approach it only from this angle. If consensus on this forum is?
1. reqHistoricalData will give you very different volume data for @SMART vs @NYSE (SMART having ALL the volume, NYSE only for that specific exchange)
2. reqMktData will give you same volume data no matter if you call it for @SMART or @NYSE, we don't know why (or insert explanation here)
?
I am totally fine with that consensus. Just trying to get rid of bugs/discrepancies one by one in my code/understanding of IB API.?
AJ



--
Daniel
 

The "Volume" tick does seem to report the same value for @SMART and @NYSE and it includes "Unreportable Trades" since the value is identical to the totalVolume field of the "RtVolume" tick.

But the totalVolume field of the "RtTradeVolume" tick does report exchange specific values similar to reqHistoricalData if that is what you are looking for. Below the last reported Volume, RtVolume, and RtTradeVolume ticks for @SMART and @NYSE from my test.

Also, LastExchange in both feeds properly identifies the source of "Price" ticks so that your client could keep a more detailed picture of the trade distribution across all exchanges the instrument trades on.

´³¨¹°ù²µ±ð²Ô

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On Thu, Jan 9, 2025 at 05:13 AM, ajn wrote:

Thanks ´³¨¹°ù²µ±ð²Ô, very serious work! Very appreciated!
I guess the expectation that the difference between calling @SMART would give info from all exchanges yet @NYSE would give info specific for NYSE. And particular indicator which is expected to be very different is volume. Yet both my test and yours shows that it is basically the same number.?
?
Fortunately, in my case I am only interested in full data. So it is not causing any issues for me. However, like it often happens: "If there is discrepancy between expectation and reality it is worth double checking, very likely there is an issue on my side, I understand it wrong or code it wrong or anything else is wrong on my side". So I approach it only from this angle. If consensus on this forum is?
1. reqHistoricalData will give you very different volume data for @SMART vs @NYSE (SMART having ALL the volume, NYSE only for that specific exchange)
2. reqMktData will give you same volume data no matter if you call it for @SMART or @NYSE, we don't know why (or insert explanation here)
?
I am totally fine with that consensus. Just trying to get rid of bugs/discrepancies one by one in my code/understanding of IB API.?
AJ

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