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How much historical Tick Data does IB Provide ?
- Thread starter trader12
- Start date
Is there any reason you can`t ask IB this?
Would you rather get ten different opinions here or hear the facts straight from the horse`s mouth?
IB does not offer true tick data. That may be my opinion or a fact. Since it is my opinion, it is a fact, but you don`t know that.
Would you rather get ten different opinions here or hear the facts straight from the horse`s mouth?
IB does not offer true tick data. That may be my opinion or a fact. Since it is my opinion, it is a fact, but you don`t know that.
Quote from Laissez Faire:
Is there any reason you can`t ask IB this?
Would you rather get ten different opinions here or hear the facts straight from the horse`s mouth?
IB does not offer true tick data. That may be my opinion or a fact. Since it is my opinion, it is a fact, but you don`t know that.
I did & sales guy didn't know & said he would get back to me but then this forum has pros like you who actually trade the markets & know better.
Also they aren't going to tell me if they don't offer true tick data.
So what kind of tick data do they offer & how do you trade with their untrue tick data ?
I don't think you can get any tick data from IB.
IB samples the current bid/ask/last and will send you updates when you trade real time (I think about 3-5 per second) but if there's a major downtick (e.g. Flash Crash) you won't get all the individual ticks.
That's the reason why some of the tick based platforms had a tough time during the flash crash (by the time you got the tick it was up to 5 seconds old) and IB worked like a charm during this period.
You can download a year of historical data and you can set the time to 1second candles, that's the best you can do I think.
IB samples the current bid/ask/last and will send you updates when you trade real time (I think about 3-5 per second) but if there's a major downtick (e.g. Flash Crash) you won't get all the individual ticks.
That's the reason why some of the tick based platforms had a tough time during the flash crash (by the time you got the tick it was up to 5 seconds old) and IB worked like a charm during this period.
You can download a year of historical data and you can set the time to 1second candles, that's the best you can do I think.
IB only provides snapshot data, officially pegged at 100 ms, which in real life can be a bit more (100 ms means that the snapshot is taken 10 times per second). You simply can't use IB data with any tick based charts. Because of its snapshot nature, IB feed never lags in fast markets.
The best stand alone tick data feed is DTN IQfeed. It didn't lag during the Flash Crash. eSignal, on the other hand, had some lag issues in the past. Some feeds integrated with order entry platforms, like CTS T4 or TT, also offer tick data and don't lag.
The best stand alone tick data feed is DTN IQfeed. It didn't lag during the Flash Crash. eSignal, on the other hand, had some lag issues in the past. Some feeds integrated with order entry platforms, like CTS T4 or TT, also offer tick data and don't lag.
How about volume data ?
Can I plot say 1000 Volume or 10 K volume charts for say ES or other minis, European futures & currency futures ?
If yes, how many days of back data they provide ?
I am attaching a chart of 10K volume for emini S&P 500.
It seems they are more smoother than minute charts. Please correct me if I am wrong.
Thanks
Can I plot say 1000 Volume or 10 K volume charts for say ES or other minis, European futures & currency futures ?
If yes, how many days of back data they provide ?
I am attaching a chart of 10K volume for emini S&P 500.
It seems they are more smoother than minute charts. Please correct me if I am wrong.
Thanks
Attachments
You can get accurate IB volume data, but only if you use 5 second snapshot feed. This is called by IB "true data" feed and requires adding -TD to the regular "real time" symbol:
ES-201209-GLOBEX
ES-201209-GLOBEX-TD
This is the symbol format required when you use any third party charting platform (they all connect to IB through TWS API). I don't know how to get "true data" from the native charts in TWS, I never use them.
One minute "true data" probably goes back one year. Somebody else would need to confirm this, as I never load more than a few minutes of data from IB (I load all backfill data from other sources, convert to IB symbol format, and then connect to IB feed).
With some charting packages you can actually combine "real time data" with "true data". Here is some more info about this from SierraChart forums:
http://www.sierrachart.com/supportboard/showthread.php?t=37906
http://www.sierrachart.com/supportboard/showthread.php?t=37753
ES-201209-GLOBEX
ES-201209-GLOBEX-TD
This is the symbol format required when you use any third party charting platform (they all connect to IB through TWS API). I don't know how to get "true data" from the native charts in TWS, I never use them.
One minute "true data" probably goes back one year. Somebody else would need to confirm this, as I never load more than a few minutes of data from IB (I load all backfill data from other sources, convert to IB symbol format, and then connect to IB feed).
With some charting packages you can actually combine "real time data" with "true data". Here is some more info about this from SierraChart forums:
http://www.sierrachart.com/supportboard/showthread.php?t=37906
http://www.sierrachart.com/supportboard/showthread.php?t=37753
IB provides historical bars only starting at 1 second interval. Database goes back 1 year for 1 minute data and up to 6 months back for more detailed historical bars. Most current information is available online. See their API/TWS reference guide. Since I use only API I do not know how this information relates to their own TWS platform but I would assume it is the same.
That's right, IB to my knowledge doesn't provide real tick data. If you want to use what others have recommended here, you will run into a lot of walls. I strongly recommend you get a data feed separately, and only use IB for execution. They have always had very weak data, they're practically known for it.