Historical Data Filtering

Historical data at IB is filtered for trade types which occur away from the NBBO such as combo legs, block trades, and derivative trades. For that reason the daily volume from the (unfiltered) real time data functionality will generally be larger than the (filtered) historical volume reported by historical data functionality. Also, differences are expected in other fields such as the VWAP between the real time and historical data feeds.

As historical data at IB gets adjusted, compressed and filtered by default, there may be historical data differences if you request historical data at different time points.

See our FAQ for more insight, here.