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Ib data
- Thread starter clarodina
- Start date
IB data are from US exchanges but this is not true tick feed. The data is throttled and sampled about 4 times a second to keep customer quote board updating even during spike in market activity. The difference should not be very big and should be even less for bar data than for tick data but it is certainly troublesome to see discrepancies with other feeds. For regular trading it is OK but some people use different data feed and execute orders through IB only.
the sampling isn't the problem
the data data from ib open and close are different from the nasdaq or nyse for msft the different is around 0.01 to 0.06 there is a trade price for data feed the trade price is referring to trade price for trade occuring on ib or is trade price on exchanges?
another question does ib replace their open and close data on receiving from the official exchanges open close? u put a msft realtime chart the open may is 26.01 and on receiving official open 26.03 replace the open data
the data data from ib open and close are different from the nasdaq or nyse for msft the different is around 0.01 to 0.06 there is a trade price for data feed the trade price is referring to trade price for trade occuring on ib or is trade price on exchanges?
another question does ib replace their open and close data on receiving from the official exchanges open close? u put a msft realtime chart the open may is 26.01 and on receiving official open 26.03 replace the open data
IB data is free if you have account with them an have sufficient funds (inactivity fee) and is for 100 RT symbols or more if you trade more. There is also newly introduced paid market data service.
Sampling does matter because it cuts out some quotes and they are missing in the bar data or tick data.
My understanding is that these are exchange trades but may be from any exchange including ECN.
IB bar data come from their servers and the algorithms creating bars are of their own design. Those discrepancies are known and they are OK for many applications.
I do not know of any data feed that would not have some kind of issue. This is the nature of market data and how they are disseminated in this fragmented market system.
Random number generator will provide you with plenty of data that looks just like markets and is free !
Sampling does matter because it cuts out some quotes and they are missing in the bar data or tick data.
My understanding is that these are exchange trades but may be from any exchange including ECN.
IB bar data come from their servers and the algorithms creating bars are of their own design. Those discrepancies are known and they are OK for many applications.
I do not know of any data feed that would not have some kind of issue. This is the nature of market data and how they are disseminated in this fragmented market system.
Random number generator will provide you with plenty of data that looks just like markets and is free !
IB also provides free full data (called True Data) with a different feed, but it's 5 seconds delayed. You need to add -TD to the regular symbol:
es-201209-globex-td
Live Data
There is no delay, but it comes in 100
ms packets (it's not a continuous data stream), so some data will inevitably be missing.
True Data
5 second delayed because it's transmitted once every 5 seconds, but it's complete and includes all data missed by Live Data.
Some charting software packages try to combine both Live and True feeds, with mixed results. You can check Sierra Chart user forums to learn more about this approach.
es-201209-globex-td
Live Data
There is no delay, but it comes in 100
ms packets (it's not a continuous data stream), so some data will inevitably be missing.
True Data
5 second delayed because it's transmitted once every 5 seconds, but it's complete and includes all data missed by Live Data.
Some charting software packages try to combine both Live and True feeds, with mixed results. You can check Sierra Chart user forums to learn more about this approach.