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IB Time and sales screen
- Thread starter stock777
- Start date
That was an interesting / informative reply, Jack, thanks. So, in IB's Booktrader, I'm not seeing all the quotes and trades but only samples??Quote from JackR:
The system that IB uses sends a "sample" of what is happening at the instant it sends it. They use a time-slice technique and send a new packet of data (of maximum size) about 3 to 4 times a second. Thus, the price you see is current the instant it is transmitted. With this method they know the maximum server load per customer. If IB were to send every sale as it occurred the would have no way of knowing how much data they needed to transmit per symbol and thus would need huge server capacity and substantial additional bandwidth to the internet backbone. Does your other service keep up when there is a Fed announcement?
Jack
I had assumed that, knowing the number of customers, what they are trading, and associated average daily volumes, they would size servers accordingly, including extra capacity for peak trading times. And add servers as required to meet 95%(?) of demand.
I view T&S presently via (Medved's) QuoteTracker, using eSignal data. (With eSignal's antiquated single thread design, QT can display eSignal's T&S data faster than eSignal can). And no, it can not keep up during a Fed announcement.
Back to the time-sliced data, that suggests IB will never provide tick charts? Since eSignal does provide tick charts, does that mean they do not use the time-slice technique, but instead provide all the data?
Regards
davez
Quote from davez:
Back to the time-sliced data, that suggests IB will never provide tick charts? Since eSignal does provide tick charts, does that mean they do not use the time-slice technique, but instead provide all the data?
Regards
davez
Dave:
My guess would be that IB has no plans to provide "true" tick charts.
You said you have QuoteTracker(QT) that you run with the eSignal feed. I'd suggest setting up a second copy of QT with IB as your real-time source and do a comparison between the two running T&S runs. You can export from QT to a CSV file and do the comparison external to QT. Do not compare with IB's historical T&S data which is complete and not time=sliced. Don't try it on a slow machine. Sometimes the lag people think is the server is the inability of their machine/software package to process fast enough, causing the local machines buffer to begin filling.
You don't say so, but I assume you trade index futures. If you don't then just watch them around an FOMC announcement. They go wild - up and down. I've either bought or sold using IB's Booktrader, gotten in and gotten out without seeing my out price in BT or the QT scrolling T&S. IB's order servers got the orders in and off but the quote servers, due to the time slice approach, did not show the advance to, through, and back below my price. Looking through IB's backfill T&S after the fact I could see the process unfold.
If you are doing Index Futures using a DOM such as Book Trader, you know you get "Level II" quotes "for free". During periods of high activity the bid/ask quantities change even more rapidly than the traded price and size. I suspect that if IB were to go to "true" T&S everyone would then want true B/A info as well, a real challenge.
There are some older threads here on ET that discuss eSignal vs IB feeds. According toi those threads eSignal does send "real" sequential tick data. I have never used eSignal real-time data so I cannot state it is so from personal knowledge.
IB has recently released a new version of their API and TWS that charts 5 second bars. They are complete and are not built from sampled data. However, they are 5 second bars, an eternity in a fast moving market. So with IB you have a choice, all ticks in 5 second bars or "real-time" current price data with some ticks missing. The 5 second bars would not cause a server problem as they are transmitted once every 5 seconds with just O/H/L/C data.
Jack
Thanks again for your reply, Jack
I will do that... run two QT T&S windows side by side, one fed by eSignal data, the other by IB data. Then compare them both for 'missing' trades, and updating speed.
I trade equities, mostly the QQQQ and yes, BT and T&S go wild during an FOMC or similar announcement. I've learned to place target and stop orders because as you say, I'll often hear my sound associated with an executed order before I see BT or T&S reach that price.
Agreed, I think many people would expect a T&S display to include both quotes as well as trades. Personally, I've never found viewing quotes in T&S to be helpful - its often moving too fast for me to process, and with the game playing quotes often can't be believed anyway. The quotes in BT are good enough for me.
I didn't know IB had 5 second charts. I'll give them a look. But agreed, seeing the instant a large doji appears in my eSignal one minute candle chart would be more informative than waiting to see that direction change in a 5 second IB chart.
Regards
Dave Z
I will do that... run two QT T&S windows side by side, one fed by eSignal data, the other by IB data. Then compare them both for 'missing' trades, and updating speed.
I trade equities, mostly the QQQQ and yes, BT and T&S go wild during an FOMC or similar announcement. I've learned to place target and stop orders because as you say, I'll often hear my sound associated with an executed order before I see BT or T&S reach that price.
Agreed, I think many people would expect a T&S display to include both quotes as well as trades. Personally, I've never found viewing quotes in T&S to be helpful - its often moving too fast for me to process, and with the game playing quotes often can't be believed anyway. The quotes in BT are good enough for me.
I didn't know IB had 5 second charts. I'll give them a look. But agreed, seeing the instant a large doji appears in my eSignal one minute candle chart would be more informative than waiting to see that direction change in a 5 second IB chart.
Regards
Dave Z