You are correct that you'll get with reqMktData a new price every 250 ms, but only for very liquid instruments with a constant stream of price changes. For illiquid instruments you won't get an update every 250 ms. For those you'll only get an update when the price changes from the previous price which was reported to you. If, for example, an instrument has a change in price every 2 minutes you'll only get a price update at that time.
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Data provider for real time tick-by-tick data
- Thread starter Luke_4466
- Start date
how many symbols can I stream simultaneously on tws?You are correct that you'll get with reqMktData a new price every 250 ms, but only for very liquid instruments with a constant stream of price changes. For illiquid instruments you won't get an update every 250 ms. For those you'll only get an update when the price changes from the previous price which was reported to you. If, for example, an instrument has a change in price every 2 minutes you'll only get a price update at that time.
how many symbols can I stream simultaneously on tws?
Initially 100. Increases if you do a LOT of trading. You can also pay $30 per 100 more (called Quote Boosters).
https://www.interactivebrokers.com/en/index.php?f=14193
Search for: How Market Data is Allocated
Or if you have a very large account size. From that web page:Initially 100. Increases if you do a LOT of trading. You can also pay $30 per 100 more (called Quote Boosters).
https://www.interactivebrokers.com/en/index.php?f=14193
Search for: How Market Data is Allocated
Example: if your account size is 2 million USD you get 200 lines.In order to receive real-time market data, customers must be a subscriber to market data. All clients initially receive 100 concurrent lines of real-time market data (which can be displayed in TWS or via the API) and always have a minimum of 100 lines of data. After the first month of trading, the quantity of market data is allocated using the greater value of:
- USD monthly commissions divided by 8
- USD equity multiplied by 100 divided by $1,000,000
(rounded down to the nearest integer)- 100
my monthly commission is over tens of thoudands，in theory, I can stream thousands of ticker. But what is the actual limit of ticker I can stream without significant delay?Or if you have a very large account size. From that web page:
Example: if your account size is 2 million USD you get 200 lines.
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my monthly commission is over tens of thoudands，in theory, I can stream thousands of ticker. But what is the actual limit of ticker I can stream without significant delay?
I have done over 800 simultaneous tickers with no delay
are you sure with reqmktdata you can stream 1100 ticker at only 30 dollar per month with IB tws?
I think the wording i used was most clear. You get 100 lines per on quote booster, which is $30. You can purchase up to 10 boosters, which would be $300, that would give you 1100 lines (tickers)
IQFeed and Polygon.io should have the best data. IB is OK. TradingView is not for trading, From what I have seen, and I have TradingView, TradingView is only a small part of the market data.
I use IQFeed but Polygon.io looks to be similar. Try them both and see which one you like best.
Thanks, i will check IQFeed.
Btw i have still not found data provider i can use. Polygon and Finage both provide websocket connection and are easy to use, within somewhat reasonable price range, but their data are different from IB.
They are different in sense that when getting real time tick by tick data, IB will have more ticks coming sometimes. In simpler terms, the data are not same. I was not able to resolve this issue through support both for Polygon and Finage. I am looking for same data as IB, because i am trading on IB.
IQFeed and bunch of others provide some apps you have to install and go through that which adds another layer of complication, when it can be added with simple websocket connection. So i am not currently inclined to try those, since its quite a lot of work to set it up for Python and then i might end up having different data anyway.
So my question would be, does anyone use data provider, which he knows, based on his own testing provides same tick data as IB?
Thanks
They are different in sense that when getting real time tick by tick data, IB will have more ticks coming sometimes. In simpler terms, the data are not same. I was not able to resolve this issue through support both for Polygon and Finage. I am looking for same data as IB, because i am trading on IB.
IQFeed and bunch of others provide some apps you have to install and go through that which adds another layer of complication, when it can be added with simple websocket connection. So i am not currently inclined to try those, since its quite a lot of work to set it up for Python and then i might end up having different data anyway.
So my question would be, does anyone use data provider, which he knows, based on his own testing provides same tick data as IB?
Thanks
What you see in IB data is not what IB uses to execute your trade. For trading, IQFeed covers lots of exchanges (many symbols trade on multiple exchanges) and they go through the effort of finding the best price for you. The data they supply to users is a courtesy, used to display in charts. Who knows what they are doing. The advice people give "use the data that the broker gives you" is just plain wrong, though it is fine for most users.
I don't know what exchanges Polygon.io includes but using json is a bad idea (imo) if trying to be efficient and human-readable. I think they may be working on a different format, hopefully not objects or binary.
I don't know what exchanges Polygon.io includes but using json is a bad idea (imo) if trying to be efficient and human-readable. I think they may be working on a different format, hopefully not objects or binary.