We display the market data exactly how we receive it from the exchange, without any filtering, in order to guarantee a reliable flow. Executions at prices far from the market or orders which have the right to be executed at a price far from the market sometimes may generate spikes in the market data flow coming from the exchanges. Data feed providers may sometimes apply filters only on historical data but not on real time data in order to filter Block Trades. IBKR does not apply any filters on the data received.
In TWS you can filter spikes out by removing or shrinking the bar:
- Click on a bar and select Replace Bar Data or Remove Bar.
Alternatively, use automatic filtering to define a maximum percentage of deviation of a bar from the previous one:
- In the TWS chart select the Edit menu followed by Global Chart Configuration.
- In the Miscellaneous section enter a value next to Bar Chart Spike Protection (max % change from previous bar) or Line Chart Spike Protection (max % change from previous point)
- Click Apply and OK.
Find out more about spike protection in charts in the TWS Users' Guide.