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The recent versions of TWS feed bars from the backend: see http://www.elitetrader.com/vb/showthread.php?s=&postid=1414772#post1414772 This should resolve the problem for US stocks and GLOBEX (now) and all other exchanges (as we roll out the new code). If you are interested in any particular...

This is not a replacement for the existing real-time feed. This is a new additional feed to address the needs of some users and charting applications to get true high, low, volume of any 5-second interval, which the current real-time snapshot feed may miss.

It is both internal network bandwidth required to deliver data from N exchanges to M distribution servers, and external network bandwidth to deliver from M distribution servers to customers. The question of whether to get more of either or both is more than a technical question and will be...

Hi Jim! I believe our main consideration is the network bandwidth usage. We would like to make sure we can keep up with the demand for this data before we commit to providing any higher-frequency high/low data. Thanks!

The goal is to facilitate accurate bar charting (any bar size that's a multiple of 5 seconds). Besides catching true high/low and allowing one to compute VWAP/TWAP, it can be used to chart GLOBEX futures volume based on outright trades only (excluding the spread): the volume reported by IB in...

That's correct, IB servers are streaming 5-second bars, one every 5 seconds, to TWS. TWS 866 and later uses these bars to build charts. Besides OHLCV we are sending # of ticks/trades in the 5-second bar and sum(price*size/time) so that VWAP (for trades)/TWAP(for bid/ask/midpoint) can be calculated.

FYI, starting with TWS version 866, the charts are receiving the 5-second bar data from the IB servers, and starting yesterday the calculation of the 5-second bars for US SMART stocks and GLOBEX futures have been changed to include every tick, so the TWS charts should never miss high or low of...

FYI, starting with TWS version 866, the charts are receiving the 5-second bar data from the IB servers, and starting yesterday the calculation of the 5-second bars for US SMART stocks and GLOBEX futures have been changed to include every tick, so the TWS charts should never miss high or low of...

Starting with TWS version 866, the charts are receiving the 5-second bar data from the IB servers, and starting yesterday the calculation of the 5-second bars for US SMART stocks and GLOBEX futures have been changed to include every tick, so the TWS charts should never miss high or low of the...

Yes, I think the futures are coming soon.

IB TWS built-in charts can show this info: in the latest beta, go to Configure->Settings, and enable "price histogram". We will move this to a less obscure place in the next release.

If you're looking at daily volume, the volume includes spread trades. However, spread trades are not reported as last sales (due to ambiguity of price assignment?), and therefore do not appear in times and sales and do not show up on the IB charts. See...

IB's backfill would be missing data when we (IB) have market data feed outage (which was the case with GLOBEX ES futures on Friday July 28th). Unfortunately, the gap will stay there, as we currently do not have/use any other source besides real-time market data feed to populate the backfill...

If you place your orders for HK/Asia products to our US server, the first leg would be via commodity internet (which in your case would add about 350ms-180ms=170ms, then the order would travel inside IB's network back to our HK servers which would add roughly the same (I don't have any real...

The market data is now distributed from the server farm located in the same region as exchange. The orders submitted by TWS, however, go thru the region where your initial connection is made. Hence if you trade Asia products, and first connect to US servers, your orders for Asia products would...

IB's line charts display opening and closing values correctly, and use VWAP of equal-length time periods for inner points (in case of Lasts) and time-weighted price for bid/ask/midpoint.

Eurex, and all other exchanges where IB customers trade, should now be available for paper trading. The paper trading account of each customer is given the same permissions as real account, ie in order to be able to paper-trade Eurex you need you real account to have trading permissions on Eurex.

IB's paper trading contains something that attempts to simulate priority queue. If you join the BBO bid or ask, paper trading system keeps track of size "in front" of you and counts trades happening at your price until the queue in front is exhausted. It also treats BBO size decrease as a signal...

We (IB) are looking for your suggestions as to how we can improve the paper trading system. The current system is providing executions at bid/ask up to present quote size for the marketable orders, and simulates partial fills for non-marketable orders that match or improve BBO. Please either...

Hi Jim! As always, the best (and oftentimes the only) way to get the answer for a particular order is to open a ticket with IB's help desk. They should be able to pinpoint exact tick off which the stop has triggered, and bid/ask at the time of the trigger if the order triggered off the last...