Do we expect problems from the impending SEC change to lot sizes, and the corresponding forced upgrade to TWS API 10.37 or later? Basically, I understand lot sizes for US stocks will no longer be always 100, but will vary depending on the historical price of that stock.
While using the IB plugin, I see real-time data in AmiBroker in lots instead of shares whether or not I have checked the TWS option “Send market data in lots for US stocks for dual-mode API clients.” So I have always been multiplying by 100. But if lot sizes are no longer fixed at 100, then this would be a problem.
Alternatively – if someone knows how to force TWS to send volume data to AmiBroker in shares instead of lots via the IB Plugin, please advise?
Reference from an email I received from IB:
Subject: Urgent: Notice of Change to TWS API LotSize Configuration
Due to an external SEC rule update (RIN 3235-AN23), we are required to enforce a change in the round lot sizes of US stock that will vary by price from November 3, 2025. To remove disruption to your trading operations, you must upgrade at a minimum to TWS and TWS API to 10.37 Stable or newer.
If you are already using version 10.37 or above, you may have to ensure that you have ticked the setting “Send market data in lots for US stocks for dual-mode API clients.”
Thank you Tomasz, after much unsuccessful investigation I have decided to wait till Monday premarket to compare bar-by-bar volume data for a few key stocks in AmiBroker vs. another platform. Then I will know if stock-specific scaling will be required.
Supposedly TWS allows volume to be reported by API in Round Lots or shares, but I have never had luck seeing it in shares regardless of either option setting, even with different computers with different TWS versions. Now, the IB reference for a Round Lot is supposed to be 100, but whether the SEC change to the definition of a Round Lot will affect this specifically is not clear.
I have confirmed the IB plugin still works with TWS. AmiBroker still receives US stock volume in lots, which unfortunately is now either 100, 40, 10, or even 1 share (for very high priced stocks). So a correction factor must be applied on a per-stock basis based on historical closing price etc. It works but adds one more step for screeners or live trading etc.
The same result is obtained whether TWS is set to send volume in lots or shares for US stocks. When I use my own program relying on the latest TWS API I am able to pull volume data from TWS in either shares or lots depending on the TWS setting. Data in shares eliminates the lot correction factor issue entirely. But since the AmiBroker IB Plugin was last updated many years ago, I assume it is relying on an older TWS API function that only allows US stock volume to be pulled in lots.
Tomasz, is there any plan to update the existing IB Plugin officially sometime, or is this left as an exercise to the end user?
