Up Down Vol IB API
Hello Fire1,
With IB you can see in Market Statistics page, from Market Scanner Nyse Up Vol, Nyse Down Vol, Nyse Unchange Vol, Nyse Total Vol, Nyse advance issues, Nyse decline issues, Nyse unchange issues.
For Nasdaq and AMEX you can also see those values. Now, even though you can see these values you can not plot them using IB neither API. However the difference between Nyse up vol minus Nyse down vol is possible to plot it with an API like Ninjatrader, IB uses for this difference the ticker VOL-NYSE, but this difference is impossible to see it directly in TWS (if you add the ticker NYSE-VOL, you will notice that it will be accepted but without data). The same thing for the AD-NYSE, AD-NASD, AD-AMEX, VOL-NASD, VOL-AMEX.
So far everything appears at least good, because VOLD or VOL-NYSE is the difference between up and down vol as I wrote above, HOWEVER, if you read my previous posts above you will discover that the data that we receive from IB for plotting VOL-NYSE is not correct. I attached some comparisons. That is the reason why I am trying to talk with IB customer service but I dont get an answer yet.
So I need more people interesting in asking IB to solve the soonest this big problem.
Cheers, Ricardo
Hello Fire1,
With IB you can see in Market Statistics page, from Market Scanner Nyse Up Vol, Nyse Down Vol, Nyse Unchange Vol, Nyse Total Vol, Nyse advance issues, Nyse decline issues, Nyse unchange issues.
For Nasdaq and AMEX you can also see those values. Now, even though you can see these values you can not plot them using IB neither API. However the difference between Nyse up vol minus Nyse down vol is possible to plot it with an API like Ninjatrader, IB uses for this difference the ticker VOL-NYSE, but this difference is impossible to see it directly in TWS (if you add the ticker NYSE-VOL, you will notice that it will be accepted but without data). The same thing for the AD-NYSE, AD-NASD, AD-AMEX, VOL-NASD, VOL-AMEX.
So far everything appears at least good, because VOLD or VOL-NYSE is the difference between up and down vol as I wrote above, HOWEVER, if you read my previous posts above you will discover that the data that we receive from IB for plotting VOL-NYSE is not correct. I attached some comparisons. That is the reason why I am trying to talk with IB customer service but I dont get an answer yet.
So I need more people interesting in asking IB to solve the soonest this big problem.
Cheers, Ricardo
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