IB Backfill Improvements
- Thread starter kiwi_trader
- Start date
IBsoft,
I for one am chiming in. I've talked to Buttontrader about this very subject. Having tick data would be huge and I have wanted to refer some clients to IB but this has been a sticking point.
Just my 2 cents.
I for one am chiming in. I've talked to Buttontrader about this very subject. Having tick data would be huge and I have wanted to refer some clients to IB but this has been a sticking point.
Just my 2 cents.
I was asked by Admin at SierraCharts to ask you guys about it. I will suggest they contact you and also that Jerry at QT contact you as well.
Would you like Howard to call you as well? I don't believe he uses your backfill at present but given the number of his customers using Tick charts I can't see him ever using it if you don't fix it. Shall I get onto Howard?
Would you like Howard to call you as well? I don't believe he uses your backfill at present but given the number of his customers using Tick charts I can't see him ever using it if you don't fix it. Shall I get onto Howard?
Yes. Agreed. The bucket size is limited to whatever the minimum time period for the bar is --- the most important missing element is the number of trades during that bar.
How exactly would it work and how would it benefit the tick chart drawing?
If I understand this correctly, the proposal is to just return the same data as is being returned now (1 minute OHLC data for example) and add # of trades in that 1 minute period to the returned data. Right?
If so, how exactly would this be used for tick charts? The info is not enough to determine how many trades were at a given price, nor is it enough to tell which ticks at which price came first.
Right now we do two types of backfill:
1) 1 minute OHLC - we just add 4 points for every 1 minute bar - one at O, H, L, C and assign 1/4 the volume of that bar to each of the 4 points.
2) Tick backfill where 1 record is returned for every tick - we just store what is returned.
The proposed solution would make it so the chart would have the correct # of ticks and thus tick candles, but the range of the candles would be arbitrary.
I guess I would like to hear from the techie users who utilize tick charts before adding my endorsement of this idea.
Jerry Medved
http://www.quotetracker.com
If I understand this correctly, the proposal is to just return the same data as is being returned now (1 minute OHLC data for example) and add # of trades in that 1 minute period to the returned data. Right?
If so, how exactly would this be used for tick charts? The info is not enough to determine how many trades were at a given price, nor is it enough to tell which ticks at which price came first.
Right now we do two types of backfill:
1) 1 minute OHLC - we just add 4 points for every 1 minute bar - one at O, H, L, C and assign 1/4 the volume of that bar to each of the 4 points.
2) Tick backfill where 1 record is returned for every tick - we just store what is returned.
The proposed solution would make it so the chart would have the correct # of ticks and thus tick candles, but the range of the candles would be arbitrary.
I guess I would like to hear from the techie users who utilize tick charts before adding my endorsement of this idea.
Jerry Medved
http://www.quotetracker.com
Jerry,
Ideally tick data would be supplied ... but better than now is where I would like to be.
The merit for me is this. Currently you have no tick information so you produce a "tick" chart with one bar for each minute bar. Sierra produce nothing when there is no trade information.
By comparison if IB provide the number of transactions in each time bar of backfill they provide you can use that to "space your bars out" as much as you have granularity for.
If I had a 55t chart and you had 3 bars to make up 55t then we improve the information that is available. If there is only one bar for 55t (and it could well have 100t in it) then its going to look the same as what you have now.
The issue for me is that when I start trading with live data (after backfilling) I would like my MAs etc to be in as close to the correct starting position as possible. This will, in many cases, get us much closer than we are now.
Ideally tick data would be supplied ... but better than now is where I would like to be.
The merit for me is this. Currently you have no tick information so you produce a "tick" chart with one bar for each minute bar. Sierra produce nothing when there is no trade information.
By comparison if IB provide the number of transactions in each time bar of backfill they provide you can use that to "space your bars out" as much as you have granularity for.
If I had a 55t chart and you had 3 bars to make up 55t then we improve the information that is available. If there is only one bar for 55t (and it could well have 100t in it) then its going to look the same as what you have now.
The issue for me is that when I start trading with live data (after backfilling) I would like my MAs etc to be in as close to the correct starting position as possible. This will, in many cases, get us much closer than we are now.