I use IB TWS as my data feed with Tradestation 2000i, and yes it does give intra-day volume data. I dont know why you are not getting it with your package. To use the TWS I bought a piece of software from Traders-soft.com which works perfectly with my system. Attached is part of today's chart but I stopped trading when the UK markets closed so the data only goes up to around 12.30 on the CME Exchange but it does show that it works.
Agree with Skim, for Sierra you just select Volume from the studies list. However, up to version 30(ish) there was a problem in that the volume figure from IB was displayed incorrectly - this is fixed in the current version (34).
Thanks - everyone for helping out an IB newbie - this morning its working for me through medved - what a difference a day makes?
I did three things that might have been the fix, 1) setup TWS to display volume data in the market data rows 2) downloaded the latest API layer from IB 3) Sent them an email overnight to ask why it wasn't working and to check my account.