Recent content by piggie

IQFeed just added new servers which now generate second time stamp, inside bid/ask sizes on both real time and historical tick data. I am guessing the lag is perhaps caused by theses extra features as they do take up more bandwidth and CPU usage. Hope they fix this lag problem soon. More Quad...

Another issue ( sorry, not quite related to the thread), is the lack of seconds time stamps on real time and historical tick data. IQfeed's new servers are supposed to correct this problem this year. I hope it's much sooner than later.

Confucius said:"Man who try to pick bottom will wake up with shXX in hand.":D

I found the following code posted by a well respected ET member who no longer wishes to participate on the ET forum. Huge loss for the forum in my opinion. It is written in TS Easy Language, which I am not familiar with. Would someone that knows TS translate the code into plain English? Thank...

The lines below are from the TWSevents file, containing the ActiveX callback function TWSevents. The incoming events are first assigned to variable sd, based the id and message type, and then stored in global variable ticker, which is a structure array, and can be access in other functions...

Nick, My programming project has been going well. I got true tick by tick data and am happy with the accuracy of my MD plots. 5Pillars is correct, IB's snap shot can be misleading at times, but this does not mean that you can't build a profitable strategy using IB's feed. I am moving into...

teuffy, I started my programming project from this thread in IB's TWS API forum. http://www.interactivebrokers.com/discus/messages/2/33586.html The two files to get are connect_ib.m and TWSevents.m. This is for the ActiveX approach. You have to download from IB and install the API's...

Kostia, Live data feed was working fine during the gap. Isn't it possible to fill the gap in the backfill data from the live data? I just assume a firm such as IB has redundant backup system for crucial data. Although I can patch up the gap using my own recorded live data, this is the...

I am also waiting for it to be fixed. http://www.elitetrader.com/vb/showthread.php?s=&threadid=73774

Forgot that I could verify with IB's own chart. A picture is worth a thousand words.

Hi George, I know vwap but not the vwap bands. Would you explain what they are and what to look for? I am all ears. Thank you. Harry

Jon, Thank you for the suggestion. I eventually will have a tick by tick datafeed/backfill to explore different analysis and strategies. This is the first backfill problem in last 20 trading days. Since I have not modified my backfill routine, I believe the problem is in IB's database. But...

Did anyone else notice this missing data section from about 14:25 to 15:00 for 7-28-2006? The backfill interval retrieved was 'seconds'. Live data does not have this problem. -h