IB - data generation process

[poohbear]

Quote from kostia00:

It is both internal network bandwidth required to deliver data from N exchanges to M distribution servers, and external network bandwidth to deliver from M distribution servers to customers.

The question of whether to get more of either or both is more than a technical question and will be examined by IB management: note that as we are not charging for the backfill and for 5-second bars (besides regular market data fees), we would like to keep the costs of these additional services under control.

Please, make the chart a bit prettier. They are really too ugly and there's no way to adjust them.

Also please provide 1 ,2, 3, minute bars on 2, 3, 5 days charts. Now we can only see 1, 2 minute bars on daily chart.

 

[giles117]

Quote from poohbear:

Please, make the chart a bit prettier. They are really too ugly and there's no way to adjust them.

AMEN!!!!!

 

[kiwi_trader]

kostia,

Thanks very much for the update. I am very much looking forward to it and will be working with the Sierra Chart folk to get an update that will handle this.

For those who are interested in the opportunity and the problem this presents here is how I will be using it.

I use one symbol on my charting for my tick charts which are "near real" getting data with 200ms sampling. I enter and exit by what is happening on these charts. These charts may not include every high and low but if you look at the picture u will see how I use the background from the longer timeframe chart to show the true highs and lows (from the 5sec true data).

I will use the new symbol (5sec true data) to form all of my longer timeframe (minute+) charts.

With Sierrachart we can use the longer timeframe chart as background to the short timeframe. That allows me to see any highs and lows that show in the true feed but don't show in the realtime feed. At present I get "true" data by backfilling one of my tws symbols for the same data but not the other.

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=1415583">

 

[robinxing]

I hope I can backfill the snapshot tick data from IB tws

 

[joesan]

It seems impossible to achieve this currently. But then again statistically this will not have significant effect on the final trading result. Sometimes it hurts, sometime it helps.

Quote from robinxing:

I hope I can backfill the snapshot tick data from IB tws

 

[robinxing]

Quote from joesan:

It seems impossible to achieve this currently. But then again statistically this will not have significant effect on the final trading result. Sometimes it hurts, sometime it helps.

sure

the filter tick data helps me

the tick chart of esignal has too many spikes

 

[simki]

Quote from kostia00:

Starting with TWS version 866, the charts are receiving the 5-second bar data from the IB servers, and starting yesterday the calculation of the 5-second bars for US SMART stocks and GLOBEX futures have been changed to include every tick, so the TWS charts should never miss high or low of the day and the bar volume displayed should be 100% accurate. We are in the process of rolling this out to all exchanges and products.

We will be upgrading the API in the coming weeks and giving third-party applications access to the same real-time and accurate 5-second bar feed.

I think starting with 5s is too long... 1s is more like it.

If you provide a 5s accurate feed, users will most likely subscribe to it but still keep the 200ms feed. Then your bandwidth load will most definitely increase a lot.

If you provide a 1s accurate feed, it is more likely that some users will switch to the new feed completely, thus lightening load on the 200ms feed.

Of course the ultimate aim is to provide this feature in the 200ms feed.

thank you

 

[kon.P]

simki,
i agree...1 sec. acurrate data included number of ticks true highs and lows and up and dn volume it's the best solution..

 

[Tums]

Quote from kostia00:

Starting with TWS version 866, the charts are receiving the 5-second bar data from the IB servers, and starting yesterday the calculation of the 5-second bars for US SMART stocks and GLOBEX futures have been changed to include every tick, so the TWS charts should never miss high or low of the day and the bar volume displayed should be 100% accurate. We are in the process of rolling this out to all exchanges and products.

We will be upgrading the API in the coming weeks and giving third-party applications access to the same real-time and accurate 5-second bar feed.

seems like IB is doing everything it can to discourage people using IB as a datafeed.

 

[dcraig]

Quote from Tums:

seems like IB is doing everything it can to discourage people using IB as a datafeed.

I have to agree. I sincerely hope this is not seen as a replacement for the current feed. How can a 5 second OHLC bar be "real time" ? What a mess.