any low cost real-time market data source??
- Thread starter adamchubb
- Start date
This is where that popcorn-eating emoji pops up, as adamchubb recognizes that IB's pass-through costs really are cheaper than snot...
You a professional trader via their guidelines or did you check the wrong box in the subscription registration ?
wrbtrader
Also, I understand not to use your broker as your charting source but does your broker classify you as a non-pro or pro ?
In addition, did you file your tax documents as an individual or business ?
My guess is that you setup your account with IB under a business name (corp/LLC) and that tells anyone to charge you a professional fee.
Edit: Ignore my initial question.
wrbtrader
In addition, did you file your tax documents as an individual or business ?
My guess is that you setup your account with IB under a business name (corp/LLC) and that tells anyone to charge you a professional fee.
Edit: Ignore my initial question.
wrbtrader
Last edited:
IB price quotes are 4 per second--one every 250ms--each a volume-weighted average.
Take INTC on the Nasdaq for example, which runs at 1 tick per millisecond. IB will apply a volume weight coefficient to each price, average all 250 of them, and voila! You've got your quote.
What do you expect for $10/month?
Take INTC on the Nasdaq for example, which runs at 1 tick per millisecond. IB will apply a volume weight coefficient to each price, average all 250 of them, and voila! You've got your quote.
What do you expect for $10/month?
Last edited:
If someone was a professional daytrader...why would he/she use IB if they are doing that to their data ?
wrbtrader
What does it mean? You mean the more often quotes come in, the more pulsed they will be? Are you talking about both quotes and trades?
Example based on a number of discussions I had with IB. If I am wrong, please prove me so.
Imagine 3 price quotes with trading volume at each:
Code:
Time Price Volume Total
1ms 17.45 1000 17450
2ms 17.46 50 873
3ms 17.47 25 437
TOTAL 1075 187603 time point volume weighted average price = 18780/1075 = $17.451
For comparison/contrast, here is what they do NOT do: a simple average: (17.45 + 17.46 + 17.47) / 3 = $17.46. This would ignore the volume.
Now, just do that every quarter second each set of 250 price and volume points, and you've happily got your volume weighted price quote.
imo this does make sense for a $10/month data feed. If you want the raw data at 1ms, you'd better get your checkbook out. You'll need a high-speed low-latency data connection (probably a private line), monthly data fees starting at about $300 last time I checked, along with a higher-end NIC card.
Last edited:
I haven't looked into the quality of data much, but I doubt that they alter the price. Most likely, they don't send the tick when the price is same only more shares have traded. So in your table above, the price for all three would be 17.46 for example and they would only send once in 250ms interval. If the price ticks up or down, they may send it prior to 250ms expires. That would make more sense, but hey it's IB. The volume that comes with the tick is not the cumulative volume for that period but the volume of the last processed tick it seems, so pretty much useless (but most people don't care about volume anyway). You get what you get, and you don't get upset 
The biggest advantage is that you can get the data on the cheap via API.
The biggest advantage is that you can get the data on the cheap via API.