IBKR data feed, filtering bad data

motorman

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Jan 10, 2022
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I'm testing MW and comparing it to Sierra, I see that the bid ask volume feed from IBKR may be wrong,
IB does not provide tick data, aggregated data only so the Motive Wave logic needs to construct bars and intrabar volume delta from the aggregated data. I'm not sure where the problem is but the volume inprint is way off especially in a fast market. It could be the IBKR data or the software logic that processes the data.
One quick fix would be to filter the data and ignore large prints, I don't see such a setting, minimum volume only.

I wish Motive Wave support could comment on this and share their experiences with IBKR data accuracy and posible workarounds.
 

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  • 2022-01-13 13_20_55-MotiveWave - Console (IBKR).png
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  • 2022-01-13 13_24_24-MotiveWave - Console (IBKR).png
    2022-01-13 13_24_24-MotiveWave - Console (IBKR).png
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