IB TWS Time & Sales

L

laocoon

Hi

I'm currently in the process of developing an automated scalping strategy that relies on Time & Sales "T&S" data to generate signals. The strategy will run on one of the numerous API's of the IB TWS.

For that reason, I've been thoroughly investigating the availability of a true T&S functionality for the TWS. There is a lot of confusion about this subject.

On IB's very own user forum, the majority seems to be saying that you can't get real T&S data for the TWS because

- of the way it receives its data (ie, no real tick-by-tick, but compacted data, using a specific algorithm)
- of the data refresh rate of 300 ms
- of the "Snapshot" aspect of the data
- etc, etc

Now, on other forums, I've read that many TWS users are using third party applications with the TWS feed and the T&S feature works great. I've myself tried quite a few of those apps (IB Charts, Quotetracker, Amibroker) and the result is pretty convincing.

I'm currently in the process of comparing the T&S window of the 3 apps I just mentioned with the one of eSignal, since eSignal is a true real-time, tick-by-tick data provider that works very well nowadays. (I've had various serious issues with them in the past, especially for the Eurex feed, but their feed has been very stable and reliable for over 6 months now.)

I'd be very interested in hearing what other users have to say about this subject, since it seems to draw a lot of interest on various forums but nobody really seems to have a definite answer on the questions raised.

Thanks

PS: Def, I'd appreciate it if you could enlighten me on the subject
 
Quote from laocoon:

Hi

I'm currently in the process of developing an automated scalping strategy that relies on Time & Sales "T&S" data to generate signals. The strategy will run on one of the numerous API's of the IB TWS.

For that reason, I've been thoroughly investigating the availability of a true T&S functionality for the TWS. There is a lot of confusion about this subject.

On IB's very own user forum, the majority seems to be saying that you can't get real T&S data for the TWS because

- of the way it receives its data (ie, no real tick-by-tick, but compacted data, using a specific algorithm)
- of the data refresh rate of 300 ms
- of the "Snapshot" aspect of the data
- etc, etc

Now, on other forums, I've read that many TWS users are using third party applications with the TWS feed and the T&S feature works great. I've myself tried quite a few of those apps (IB Charts, Quotetracker, Amibroker) and the result is pretty convincing.

I'm currently in the process of comparing the T&S window of the 3 apps I just mentioned with the one of eSignal, since eSignal is a true real-time, tick-by-tick data provider that works very well nowadays. (I've had various serious issues with them in the past, especially for the Eurex feed, but their feed has been very stable and reliable for over 6 months now.)

I'd be very interested in hearing what other users have to say about this subject, since it seems to draw a lot of interest on various forums but nobody really seems to have a definite answer on the questions raised.

Thanks

PS: Def, I'd appreciate it if you could enlighten me on the subject
More...
I suggest you do an ETsearch on this.
A lot of nutty stuff has been posted on this topic. Although the IB stream does not have 'every' tick, it is more than adequate for high speed trading systems. In fact a year back or so several comparisons with other data stream vendors have been posted. IB came out brilliantly for timing accuracy. This is much more important than ' getting every tick' 1-2 seconds late(if everything goes well). Since the start of IB ' charting' and ' backfill' , it would be desirable to check on the current state of IB's datastream timing accuracy. I sincerely hope they didn't screw up on it in the meantime by adding these useless non-trading related gimmicks. I am planning on retesting this thoroughly but have been discouraged by the ' freeze phenomenon'. I must say that for the last 2 or 3 weeks I haven't experienced this shameful IB failure. I hope they definitely solved this problem. So in a couple of weeks I'll start looking at stream timing over again.

FYI, the refresh rate used to be around 700msecs. If you are talking T&S, their 1min backfill is completely useless of course.
 
Quote from laocoon:

Hi

I'm currently in the process of developing an automated scalping strategy that relies on Time & Sales "T&S" data to generate signals. The strategy will run on one of the numerous API's of the IB TWS.

For that reason, I've been thoroughly investigating the availability of a true T&S functionality for the TWS. There is a lot of confusion about this subject.

On IB's very own user forum, the majority seems to be saying that you can't get real T&S data for the TWS because

- of the way it receives its data (ie, no real tick-by-tick, but compacted data, using a specific algorithm)
- of the data refresh rate of 300 ms
- of the "Snapshot" aspect of the data
- etc, etc

Now, on other forums, I've read that many TWS users are using third party applications with the TWS feed and the T&S feature works great. I've myself tried quite a few of those apps (IB Charts, Quotetracker, Amibroker) and the result is pretty convincing.

I'm currently in the process of comparing the T&S window of the 3 apps I just mentioned with the one of eSignal, since eSignal is a true real-time, tick-by-tick data provider that works very well nowadays. (I've had various serious issues with them in the past, especially for the Eurex feed, but their feed has been very stable and reliable for over 6 months now.)

I'd be very interested in hearing what other users have to say about this subject, since it seems to draw a lot of interest on various forums but nobody really seems to have a definite answer on the questions raised.

Thanks

PS: Def, I'd appreciate it if you could enlighten me on the subject
More...

The market data is not tick-by tick. The dynamic refresh rate is 0-0.25 seconds.

There are no plans to switch the core market data distribution to be tick-by-tick. We believe our approach is superior. (See the above nononsense comment).
 
Quote from nononsense:

I suggest you do an ETsearch on this.
A lot of nutty stuff has been posted on this topic. Although the IB stream does not have 'every' tick, it is more than adequate for high speed trading systems. In fact a year back or so several comparisons with other data stream vendors have been posted. IB came out brilliantly for timing accuracy. This is much more important than ' getting every tick' 1-2 seconds late(if everything goes well). Since the start of IB ' charting' and ' backfill' , it would be desirable to check on the current state of IB's datastream timing accuracy. I sincerely hope they didn't screw up on it in the meantime by adding these useless non-trading related gimmicks. I am planning on retesting this thoroughly but have been discouraged by the ' freeze phenomenon'. I must say that for the last 2 or 3 weeks I haven't experienced this shameful IB failure. I hope they deinitely solved this problem. So in a couple of weeks I'll start looking at stream timing over again.

FYI, the refresh rate used to be around 700msecs. If you are talking T&S, their 1min backfill is completely useless of course.
More...

If you do get around to do the timing accuracy test, please let me know the results. Thanks.
 
Quote from IBsoft:

The market data is not tick-by tick. The dynamic refresh rate is 0-0.25 seconds.

There are no plans to switch the core market data distribution to be tick-by-tick. We believe our approach is superior. (See the above nononsense comment).
More...


Thanks for your answer. I noticed indeed that the IB feed is always a few hundred milliseconds ahead of the eSignal feed. That's obviously good news.

But now, since I'll spend considerable time & effort building my ATS on IB's API, I'd also like to know the downside of the dynamic refresh rate approach (ie, what information I will be missing, in this case compared to eSignal's T&S chart which is tick-by-tick.).

Thanks.
 
Can you get the official IB fact about T & S? I like to know from IB directly. It is too time consuming & inaccurate to get indirectly.

Thanks!

Quote from IBsoft:

If you do get around to do the timing accuracy test, please let me know the results. Thanks.
More...
 
Quote from zxcv1fu:

Can you get the official IB fact about T & S? I like to know from IB directly. It is too time consuming & inaccurate to get indirectly.

Thanks!
More...

Sorry? I work for IB. What I post is from IB directly.
 
Sorry!

If I trade ES does it mean my tick chart will be inaccuract?
In the 89 tick chart I will get different look from eSignal? One of my friends said they look the same but I am not so sure.

Thanks!
 
Quote from zxcv1fu:

Sorry!

If I trade ES does it mean my tick chart will be inaccuract?
In the 89 tick chart I will get different look from eSignal? One of my friends said they look the same but I am not so sure.

Thanks!
More...

If your chart is being by IB data, it will not be tick-by-tick. If you compared the two side-by-side, unless you really zoom in, your regular line and bar charts should look the same.
 
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