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Difference between IB time&sales and owndata
- Thread starter robinxing
- Start date
Actually, this might be an interesting exercise to do with friends who are using different - and even the same (maybe you are attaching to different farms/servers) - data vendors: Compare what should be equivalent charts and see if they match up or, if they are mismatched, by how much...
actually, what IB sends out is not the actual tick data, but 1 second cummulative snapshots. compare it with eSignal or openTick, or whatever paid data feed you can get access to. To make the matters even worse, what IB sends through its API differs from what you see in TWS, and is usually delayed by additional second. I wouldn't even waste my time comparing the data. It's just my humble opinion. GL
J
J
Quote from Jaba122:
actually, what IB sends out is not the actual tick data, but 1 second cummulative snapshots. compare it with eSignal or openTick, or whatever paid data feed you can get access to. To make the matters even worse, what IB sends through its API differs from what you see in TWS, and is usually delayed by additional second. I wouldn't even waste my time comparing the data. It's just my humble opinion. GL
J
Oh the joy of IB discussions. Jaba I will take it that you are simply ignorant of the facts and not malicious so I will not label you.
The snapshots are sent between every 100ms and 250ms if there is data to be sent (it used to be 250ms everywhere but IB was speeding things up to 100ms ... I don't know if that applies everywhere yet or not).
The data doesn't differ from TWS. What is send is the price at the end of the 200ms interval ... the last price ... plus the volume which is 100% accurate for some exchanges and less so for others depending on how the exchange reports data to ib. Any other prices that occur in the interval won't show in the live data feed.
If more than 1 transaction occurs in a 250ms period the tick count will be lower for ib that data vendors ... but ... the ib data never lags because they don't get a flood of packets at critical times.
If you want "correct" data from ib then subscribe to the 5 second true data feed which has an OHLCVT count that is as close to accurate as IB can get it. If you want live and correct you need to use something like sierrachart that combines the live data for instant responsiveness with 5 second data to correct any errors in the live data.
If however you want to trade fast tick charts and its important that you see the same thing as someone with a different data feed then you should use the exact same data feed and charting that they do (and you might not see the same thing but thats a different story).
No.
I remember looking at something like that from the exchange and it was expensive (but it might have been sgx data).
I remember looking at something like that from the exchange and it was expensive (but it might have been sgx data).
Kiwi, thank you for the information. That explains why a tick chart from IB is so much different than a tick chart from, say, OpenTick. I have a few questions, if you don't mind.
1 - where can I subscribe to that True 5 seconds data?
2 - does the True Tick come on the same IP/port as the "regular" data?
3 - is Sierra the only software able to combine both streams? I didn't see that feature in Quote tracker for example...
Thanks a lot
J
1 - where can I subscribe to that True 5 seconds data?
2 - does the True Tick come on the same IP/port as the "regular" data?
3 - is Sierra the only software able to combine both streams? I didn't see that feature in Quote tracker for example...
Thanks a lot
J
Quote from Jaba122:
Kiwi, thank you for the information. That explains why a tick chart from IB is so much different than a tick chart from, say, OpenTick. I have a few questions, if you don't mind.
1 - where can I subscribe to that True 5 seconds data?
2 - does the True Tick come on the same IP/port as the "regular" data?
3 - is Sierra the only software able to combine both streams? I didn't see that feature in Quote tracker for example...
Thanks a lot
J
why would u want 5sec delayed? ive never heard of sucha thing, if u use minute charts, they look exactly the same as other feeds, maybe a tick off here and there (compared to TS and esig even between those 2 its slightly diff), but thats splitting cunt hairs