Their web site is confusing on this issue. It looks that they offer a few ticks in the "Time and Sales" window, but as an official valid bar duration. So you may not be able to chart in tick bars in TWS, or build a strategy on top of it. Is this accurate? What about their API? Can one build API bars pro grammatically by themselves? Is there sample code for doing that? Thanks.
Does IB offer ticker chart for e-minis?
- Thread starter ARC001
- Start date
4 updates per second to be precise
That is shocking! What is the rational for IB not to provide tick bars? Not useful, or too expensive to provide? Coming from the world of Tradestation, I take tick bars for granted. And I thought IB is more comprehensive and flexible in their product offerings, and caters to the needs of professional traders. Its API does look impressive, though.
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IB made their bones serving institutional traders first and foremost. Retail remains an afterthought. With that, few institutionals (and for that matter, lesser hedgies/semi-retail/solo-traders) are going to want the breadth that IB offers, AND need tick-by-tick data. If they do? They know to co-locate "somewhere's else..."
FX and US options refresh faster: http://interactivebrokers.github.io/tws-api/top_data.html
It says right there... 250ms frequency. That's 4 times a second.
The time and sales isn't tick by tick either. It's aggregated
No problem. The title of the thread specifically refers to e-mini, for which the 250 ms refresh applies.
There is however a thing that needs to be taken in consideration, especially for instruments which have a small trading volume. It is not guaranteed that a price update is sent every 250 ms! The 250 ms means that after a price update has been sent IB waits at least 250 ms before sending the next price update. If there were no trades during this period will IB not send an update. They will only send an update once the price has changed.
Example: an e-mini contract with very low trading volume has a trade. The price is sent by IB. Then IB starts the clock to wait for 250 ms. Then it will see whether trades were done with a different price. If there were no trades, or only trades with the same price, no data is sent. If no trades are done for e.g. 1 minute, no price will be sent during this minute. Suppose that 2 minutes later the next trade executes then IB will send an update. In the mean time will there be "radio silence".
Robert Morse
Sponsor
I can't say I agree with that. IMO, the original idea was to provide an inexpensive source of option order flow to Timberhill, their trading arm. They love the retail flow. In the early days of PFOF in options, it was getting very expensive to set up these DMM relationships where you received directed option orders. Having control over their own option order flow was a new concept back then, for a MM. I was on the Option allocation committee on the AMEX. Timber Hill through a subsidiary was a Specialist on the floor and went after most new option listing. They did not win too many as in general, their markets were wider and smaller than others. Getting directed order flow was in some ways easier than getting a Specialist allocation. Having your own order flow was better than free.