Data Feed with IB
- Thread starter CodeX
- Start date
Codex:
There are no retail data-feeds that do not lag to some degree. The exchange must send them to the data providers or brokers. The dat sellers or brokers in turn send them to us.
Take a look at this thread:
http://www.elitetrader.com/vb/showthread.php?threadid=255236
Jack
There are no retail data-feeds that do not lag to some degree. The exchange must send them to the data providers or brokers. The dat sellers or brokers in turn send them to us.
Take a look at this thread:
http://www.elitetrader.com/vb/showthread.php?threadid=255236
Jack
Thanks for the explanation, Jack.
I was reading the thread you referred me to and correct me if i m wrong but with:
1) IB, the servers send the latest received data from the exchange every 100 to 300ms. It will be the latest but it will not be the whole lot of information; there will be milli seconds of lapse
2) Kinetic, send the latest and as soon as they receive the data from the exchange; so it will also be the latest but with more details.
So if the exchange sends the dats every 50ms, kinetic will be sending it every 50+ ms, whereas IB server will be ready to receive the data only after 100ms and will be sending the latest received data every 100+ ms and in certain instances 300ms.
Meaning Kinetic data feed is superior in terms of details and frequency but both IB and Kinetic send the latest data.
For me, 100 to 300ms (0.1 to 0.3 second) is barely noticeable, but am not sure about very experienced and talented day traders who might have very acute reactions.
I was reading the thread you referred me to and correct me if i m wrong but with:
1) IB, the servers send the latest received data from the exchange every 100 to 300ms. It will be the latest but it will not be the whole lot of information; there will be milli seconds of lapse
2) Kinetic, send the latest and as soon as they receive the data from the exchange; so it will also be the latest but with more details.
So if the exchange sends the dats every 50ms, kinetic will be sending it every 50+ ms, whereas IB server will be ready to receive the data only after 100ms and will be sending the latest received data every 100+ ms and in certain instances 300ms.
Meaning Kinetic data feed is superior in terms of details and frequency but both IB and Kinetic send the latest data.
For me, 100 to 300ms (0.1 to 0.3 second) is barely noticeable, but am not sure about very experienced and talented day traders who might have very acute reactions.
CodeX:
You understand it.
Human reaction time with respect to a Go/NoGo stimulus in younger people (20's) is about 200 milliseconds if they are poised to respond (finger on the mouse and waiting to act).
Depending where you are in relation to your broker or the data provider there is an internet transmission latency (delay) of 10 to 100 milliseconds(ms) . Add this to the 200ms or more response time and there will be about 220ms to 400ms round-trip response time. There is also an additional delay while your broker checks your margin level or cash balance to determine whether to allow a trade.
So - You are correct, either feed will work. However, if you have developed an approach that is dependent on entering at a specific point over or under a price you could miss that point if it fleetingly occurred within IB's sampling period and a trade replaced it. However, and this is very subjective, if you miss it there is always another trade just a bit ahead.
Just to confuse things a bit more, if the exchange sends a price\bid\ask to IB .00001 ms prior to IB's sample, you'll get that data without any real delay other than internet latency.
I suggest you use the ET search feature to find terms like latency, ping time, colocation and co-location. Just remember that many commenters seem to pull answers out of the air.
Jack
You understand it.
Human reaction time with respect to a Go/NoGo stimulus in younger people (20's) is about 200 milliseconds if they are poised to respond (finger on the mouse and waiting to act).
Depending where you are in relation to your broker or the data provider there is an internet transmission latency (delay) of 10 to 100 milliseconds(ms) . Add this to the 200ms or more response time and there will be about 220ms to 400ms round-trip response time. There is also an additional delay while your broker checks your margin level or cash balance to determine whether to allow a trade.
So - You are correct, either feed will work. However, if you have developed an approach that is dependent on entering at a specific point over or under a price you could miss that point if it fleetingly occurred within IB's sampling period and a trade replaced it. However, and this is very subjective, if you miss it there is always another trade just a bit ahead.
Just to confuse things a bit more, if the exchange sends a price\bid\ask to IB .00001 ms prior to IB's sample, you'll get that data without any real delay other than internet latency.
I suggest you use the ET search feature to find terms like latency, ping time, colocation and co-location. Just remember that many commenters seem to pull answers out of the air.
Jack
for once i'm going to be in IB side(cause this was designed by a few bright people,who was in charge at the very beginning). guys,who can see things far into the future..not current bunch of amateurs..
go to TWSAPI yahoo group. this topic was beaten to death.
there is no lag,the data delivered as a snapshot with certain amount of milliseconds between them. it's not a "streaming"\live data. and it's out there for your own good. no lag for example at feds announcements,while other sources typically chuckle..you don't want to be the last guy in chain to see all those 50K submit\cancel quotes per second.
here(but i remember there is even deeper explanation by Richard L King)
http://finance.groups.yahoo.com/group/TWSAPI/message/9590
Yep, last share I traded was June 30th 2012. I used to be one of those big bad HFT guys... now all I do is enable HFT guys to steal.
Take it however you like. I don't trade anything anymore but IB's snapshot data does not provide you a full picture under certain circumstances. Depending on the strategy IB data can be anything from perfect to terrible - just depends.
I still have a funded (in cash) account at IB so I could surf if I wanted to
