You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
IB backfill - you get what you paid for?
- Thread starter 4XIS4U
- Start date
IB is Time-Slice, not Tick Feed...
that is correct. down to the 30 second level (on backfill , which is what we are discussing here), IB data is about as clean as most other vendors.
also, it is dependant on whether you are filtering or not your backfill which can account for why SEVERAL datafeeds had that spike downwards and some didn't
IB does NOT allow backfilling of tick data. i keep my feed on 24/7 to compile it, so it's irrelevant to me (in the index futures), but if you are desiring to backfill tick data, you will need another datafeed
my main gripe with IB, and i love IB btw, is that they do not have datafeed for CBOE putcall.
that's a serious missing element
also, it is dependant on whether you are filtering or not your backfill which can account for why SEVERAL datafeeds had that spike downwards and some didn't
IB does NOT allow backfilling of tick data. i keep my feed on 24/7 to compile it, so it's irrelevant to me (in the index futures), but if you are desiring to backfill tick data, you will need another datafeed
my main gripe with IB, and i love IB btw, is that they do not have datafeed for CBOE putcall.
that's a serious missing element
also, IB does chunk data if it comes too fast. this is not necessarily bad because most other datafeeds will LAG because they are trying to compile each individual fill and the market moves too fast . in this respect, imo, IB is actually superior. like if u are trading FOMC (although today was pretty tame), you'd much rather have chunked data, than lagging data
Quote from whitster:
also, IB does chunk data if it comes too fast. this is not necessarily bad because most other datafeeds will LAG because they are trying to compile each individual fill and the market moves too fast . in this respect, imo, IB is actually superior. like if u are trading FOMC (although today was pretty tame), you'd much rather have chunked data, than lagging data
I'm aware of IB's chunking process but my question is should the spikes still be there - as my example of HPQ? What does chunking have to do with incorrect trading prices?
Quote from 4XIS4U:
I'm aware of IB's chunking process but my question is should the spikes still be there - as my example of HPQ? What does chunking have to do with incorrect trading prices?
IB doesn't (as yet) filter out bad ticks. I think its being worked on though as per feature poll.