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very different trade volume data compared to other data providers

 

Hi,

I'm wondering why I'd be getting very different trade volume data from IB via TWS when compared to other data providers? Here's a sample for 1 day trade bar 'volume' data for QQQ, the first data column is the one from another reputable data provider while the second data column is what IB is returning:

2024-12-10? 24237090.0 16029341.0
2024-12-11? 32098579.0 19361377.0
2024-12-12? 23492804.0 12993718.0
2024-12-13? 28656855.0 16873336.0
2024-12-16? 31918863.0 17959509.0
2024-12-17? 28106770.0 17517398.0
2024-12-18? 54521255.0 33075903.0
2024-12-19? 46005404.0 29951593.0
2024-12-20? 60086561.0 30793425.0
2024-12-23? 29346800.0 16918299.0

Using useRTH=False returns somewhat higher volumes, but still not close to other sources.

Otherwise, the open high low close values are very similar, at most a $.02 difference for most rows.

I wonder what the source of the difference could be?


?kos
 

You should take a look at our archive. There are many detailed discussions about this topic, but here the highlights:
  • There is no standard which trades are included
  • When you request data, are you limiting the request contract to just one exchange or do you get data for all exchanges
  • IBKR generally does only include volume from "reportable trades" in historical bar data. The non-reportable volume of an instrument can be sizable.
You could grab for QQQ for one of the days. The cumulative volume will likely be very close or even identical to the data you received from the other provider. The and fields in the objects will tell you exactly which trades were non-reportable and for what reason. You will probably see a few large block transfers, odd-lots, and the auctions at market open/close.
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闯ü谤驳别苍
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On Sun, Apr 13, 2025 at 09:14 AM, ?kos Maróy wrote:

Hi,
?
I'm wondering why I'd be getting very different trade volume data from IB via TWS when compared to other data providers? Here's a sample for 1 day trade bar 'volume' data for QQQ, the first data column is the one from another reputable data provider while the second data column is what IB is returning:
?
2024-12-10? 24237090.0 16029341.0
2024-12-11? 32098579.0 19361377.0
2024-12-12? 23492804.0 12993718.0
2024-12-13? 28656855.0 16873336.0
2024-12-16? 31918863.0 17959509.0
2024-12-17? 28106770.0 17517398.0
2024-12-18? 54521255.0 33075903.0
2024-12-19? 46005404.0 29951593.0
2024-12-20? 60086561.0 30793425.0
2024-12-23? 29346800.0 16918299.0
?
Using useRTH=False returns somewhat higher volumes, but still not close to other sources.
?
Otherwise, the open high low close values are very similar, at most a $.02 difference for most rows.
?
I wonder what the source of the difference could be?
?
?
?kos
?
?

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