Quote from Trader_Herry:
Sorry for the confusion.
What I say is since it takes a snapshot every 0.25-0.3 seconds, it doesn't reflect when the change occurs between each interval.
Eg: after the snapshot, when the change happens at 0.1 second, we have to 0.15-0.2 second more before we know the change.
I realise the delay is small, but that's the delay I'm talking about. Am I right about it?
Again, that's not a delay in any sense. It's a snapshot. Think of it in terms of a digital movie camera. It takes pictures 30 frames every second. Does your eye notice the missing frames? Movements seem fluid enough don't they?
Well, your connection (ping time) to any broker will be in the 100ms range round trip. Unless you're using a fractional T1 or higher direct to the brokerage. This is where a delay comes in. There is no trading strategy except arbitage that would be affected in the least by a 3/10's of a second snapshot. Markets don't move that fast anyway. At most, 1 tick maybe even 2. But usually, no tick.
I think this small delay shouldn't matter much, but the inaccurate part worries me. I'm not sure how inaccurate it will be in this approach. Will this affect my accuracy of my decisions? I would like to hear others advice.
Yes and no. The inaccuracy of high and low
is usually a few ticks. However, IB transmits the high and low from the exchange seperately. For instance, a week or two ago, the S&P emini futures high was off by 3 ticks - 3 ticks to low on their 30 min chart. Yet, in TWS, the high was reported accurately. I double checked with CME. So simple deduction was that the true high occured during the 30 min time frame whose high was 3 ticks off.
It's not going to get much worse than that - 3 to 4 ticks off. And it's not as if it happens everyday. Will this affect trading? Doubtful, unless one is looking to scalp day's range extremes. Or if they're scalping off 1 min or tick charts towards the high and/or low of the day.
Next question is, are intraday high and lows, that are not new daily high and/or lows off? Haven't seen it. They seem to only happen at day's high and lows.
I do appreciate if it can remain perfectly stable during a news release (still refresh after 0.25-0.3 seconds).
How does IB perform during this period?
I heard enough bad news about E-signal.
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They perform well because of their chosen method of dissemination. The snap shot method, as mentioned, doesn't "bog" down with information like streaming every single message event.
