So I am trying out my new account with IB and find that their S&P 500 index quote (their symbol SPX) is somewhat different than what I get from TDAmeritrade and others. For example, today's close is 921.23 on TDA, WSJ, yahoo etc. But IB's quote shows 920.16. And the discrepancy is seen through out the day. The difference is pretty small (typically < 0.2) but sometimes it can make a difference between a new high or not which is important in my trading. TDA seems to update their SPX every 14 second or so while IB updates it much more frequently. On the other hand, Nasdaq composite (COMP) seem to match between the two. What gives? Are there multiple versions of SP500 ticks? I read that IB coalesaces stock quotes to speed things up but I doubt that they are doing it to slow moving index like SP500. Obviously they are not doing it for COMP.
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 SP500 quote different than TD and others?
- Thread starter BuyLowSellHigh
- Start date
A number of years ago IB computed the various averages from the individual components. If this is still true that would be one reason for the difference you are seeing throughout the day. Different sample times.
The difference in the closing number is more perplexing. I guess another major variable could be the source of the quotes used by IB to compute the index. Which exchange ( or ECN, NBBO, etc.) versus the source used by the Index owner as in Standard and Poors, Dow Jones, etc.
Jack
The difference in the closing number is more perplexing. I guess another major variable could be the source of the quotes used by IB to compute the index. Which exchange ( or ECN, NBBO, etc.) versus the source used by the Index owner as in Standard and Poors, Dow Jones, etc.
Jack
IB has had this problem for a long time. I finally sent in a ticket and got nowhere as you can see. I copied it below. Gareth at IB repeatedly declined to even look at this.
---
Ref# T751974
Date/Time 2009/06/08 16:53:16
Status PCLS
Summary Inaccurate Cash Indexes in TWS
Date/Time Sender Comment
2009/06/08
16:53:16 Your Cash Indexes such as the S&P 500 (Index SPX) and DJ Industrials (Index INDU) have been chronically incorrect for a long time even after the close. The three other services that I see, as well as CNBC, all have prices that are very close during the trading day and they all have one identical price about five minutes after the close, but TWS has something else both during the day and after the close. Additionally, the other services' prices almost always settle at about 4:05 p.m. Eastern, all at the same price; however, TWS keeps changing for another 30 minutes or more! Can we get real-time accurate major Cash Indexes in TWS?
2009/06/10
16:23:15 IBCS
Thank you for your web ticket. We apologize for the market data issue that you are experiencing and should be able to assist in resolving the issue. In order to assist us in doing so, please provide market data related issues to customer service real time (chat or phone) as they are occurring. A real time assessment of the issue, as it is occurring, provides information necessary in order to positively identify the cause of the issue. When the issue is being reviewed after the fact, it is difficult if not impossible, to definitively identify the cause.
In addition to a real time notification of the issue, the following details will also assist in addressing the issue as quickly as possible.
1. The product(s) affected by the issue.
2. The market (bid / ask / last) that is currently being displayed.
3. When the issue began occurring in the account.
4. What the TWS data is being compared to in order to determine that the data may be inaccurate.
The information above should provide sufficient information for addressing most market data issues.
Numbers to call
US: 1 (877) 442-2757 Toll free within or 1 (312) 542-6901 Direct Canada: 1 (877) 745-4222 Toll free within or 1 (514) 287-1027 Direct Europe: 00800-42-276537 Toll free or +41-41-726-9500 Direct Hong Kong: +852-2156-7907 Direct Australia: +61-2-9240-5143 Direct
Thank you,
Gareth
-IB Technical Assistance Center
2009/06/15
20:28:12 If you don't mind, could you just look at TWS' S&P Cash Index and compare it to a reliable source such as CNBC or bigcharts.com around 16:05 Eastern US as this is an ongoing, daily issue. Thank you very much.
2009/06/15
20:28:13 Ticket reopened on Customer Request
2009/06/16
15:05:54 IBCS
I am afraid I cannot do this. Again you will need to contact our Customer Service group in real time who can back check this data directly with the exchange itself.
Thank You
Gareth
-IB Technical Support
---
Ref# T751974
Date/Time 2009/06/08 16:53:16
Status PCLS
Summary Inaccurate Cash Indexes in TWS
Date/Time Sender Comment
2009/06/08
16:53:16 Your Cash Indexes such as the S&P 500 (Index SPX) and DJ Industrials (Index INDU) have been chronically incorrect for a long time even after the close. The three other services that I see, as well as CNBC, all have prices that are very close during the trading day and they all have one identical price about five minutes after the close, but TWS has something else both during the day and after the close. Additionally, the other services' prices almost always settle at about 4:05 p.m. Eastern, all at the same price; however, TWS keeps changing for another 30 minutes or more! Can we get real-time accurate major Cash Indexes in TWS?
2009/06/10
16:23:15 IBCS
Thank you for your web ticket. We apologize for the market data issue that you are experiencing and should be able to assist in resolving the issue. In order to assist us in doing so, please provide market data related issues to customer service real time (chat or phone) as they are occurring. A real time assessment of the issue, as it is occurring, provides information necessary in order to positively identify the cause of the issue. When the issue is being reviewed after the fact, it is difficult if not impossible, to definitively identify the cause.
In addition to a real time notification of the issue, the following details will also assist in addressing the issue as quickly as possible.
1. The product(s) affected by the issue.
2. The market (bid / ask / last) that is currently being displayed.
3. When the issue began occurring in the account.
4. What the TWS data is being compared to in order to determine that the data may be inaccurate.
The information above should provide sufficient information for addressing most market data issues.
Numbers to call
US: 1 (877) 442-2757 Toll free within or 1 (312) 542-6901 Direct Canada: 1 (877) 745-4222 Toll free within or 1 (514) 287-1027 Direct Europe: 00800-42-276537 Toll free or +41-41-726-9500 Direct Hong Kong: +852-2156-7907 Direct Australia: +61-2-9240-5143 Direct
Thank you,
Gareth
-IB Technical Assistance Center
2009/06/15
20:28:12 If you don't mind, could you just look at TWS' S&P Cash Index and compare it to a reliable source such as CNBC or bigcharts.com around 16:05 Eastern US as this is an ongoing, daily issue. Thank you very much.
2009/06/15
20:28:13 Ticket reopened on Customer Request
2009/06/16
15:05:54 IBCS
I am afraid I cannot do this. Again you will need to contact our Customer Service group in real time who can back check this data directly with the exchange itself.
Thank You
Gareth
-IB Technical Support