IB's Data Feed is Useless With ButtonTrader, NinjaTrader, ect...

I'd like to know what crucial information folks think they are not getting. Is IB showing the full bid/ask size? As far as I know, YES.

When the price ticks up/down, is IB reporting it realtime? afaik YES.

Is the complaint about every single trade not being sent as a data point?
 
The CME uses netting as well. The big end of day file containing trades and bids/asks actually combines data and is not a canonical record of what occurred at the finest level of granularity.

There are two levels of vendor feeds. I got some email from esignal saying that they moved to a more detailed feed which actually provides better data than what the CME distributes end-of-day.

There is also something called a broker feed which is very fast but uses greater netting. I've observed this because with IB, I'll get an AWK back from the exchange on a fill for a limit order before the prices allowing that order even show up on esignal. (Talking like a half a sec pause here).

From my experience, using the pure ES feed provided by esignal is impossible for human traders and I've actually added filters to show only size prints (thereby effectively slowing the feed).
 
Although I have had my share (or more) of problems with the connection, I have found that there has been an improvement lately. Specifically, there have been no disconnections on my watch for for at least a month now. I hope it continues. Best to all. Steve46
 
Quote from steve46:

Although I have had my share (or more) of problems with the connection, I have found that there has been an improvement lately. Specifically, there have been no disconnections on my watch for for at least a month now. I hope it continues. Best to all. Steve46
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Any comment on that def?
Have the disconnection issues been directly addressed with server improvements during last month or two?
 
Quote from nononsense:

I would love to have an IB tick by tick. Things are not that simple though. I believe what you call "snapshot"is simply dictated by plain commonsense economics. The IB approach is a compromise dictated by server bandwith considerations.

Now about 1 year ago I did some study recording IB data with locally generated time data synched every 15 mins with NIST clocks with millisecond resolution. I compared this data with "postmortem" T&S data as supplied by the CME and CBOT and found that the IB data was mostly much closer to exchange times than some of the popular feeds I also had access to. Granted, IB was "snapshot".

I kind of got convinced by this that for me it would be better to feed this "well timed" snapshot data into my decision algorithms rather than an indigestion of "professional data" mostly trailing IB by 1 sec or more. As I use always limit orders anyhow, I don't mind not seeing the tick that really tripped my move.
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My studies show that there is no way to deliver streaming quotes (like JTrader does), because it would take up way too much bandwith. TWS designers allow 40 symbols per page with snapshot quotes. With streaming quotes this would shrink down to maybe 4 or 6 symbols per page. And customers with dialup would probably see no quotes at all (happens with JTrader).
 
Quote from PuffyGums:


From my experience, using the pure ES feed provided by esignal is impossible for human traders and I've actually added filters to show only size prints (thereby effectively slowing the feed).
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Quote from roberk:


I find IBs feed useful with Button trader even given that they only supply a proportion of the actual bid/ask.
It is usually as accurate as esignal (I compare side by side) .
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Hi All,

I think we are pulling together quite a bit of useful information on feeds. PuffyGums, interesting what you say about CME data. I had already noticed some things I did not quite understand. I also would be happy if you could add a little more to your view on the impossibility to use esignal for human traders.

Roberk, what makes you consider esignal as a "standard of accuracy" in your post that you compare others to? As for esignal, although very popular it seems, I remain still somewhat doubtful although I have not looked at it recently. Can anybody reading this supply some information about verification of its accuracy? In fact founded/thoughtful observations about any feed should be highly welcomed. Thx.

nononsense
 
Quote from franklin:

Any comment on that def?
Have the disconnection issues been directly addressed with server improvements during last month or two?
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New servers and upgrades have taken place but the real answer is that IB addresses such issues as they arise and puts the resources behind them find a solution.
 
Quote from nononsense:

Hi All,



Roberk, what makes you consider esignal as a "standard of accuracy" in your post that you compare others to? As for esignal, although very popular it seems, I remain still somewhat doubtful although I have not looked at it recently. Can anybody reading this supply some information about verification of its accuracy? In fact founded/thoughtful observations about any feed should be highly welcomed. Thx.

nononsense
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I knew someone would call me on this:) In fact if I was writing on an esig thread I might have reversed the phrase and said esig seems as reliable as IB for data.
I thought it was a fair comment since esig is one of the most popular feeds. I am no real fan of esig, but it has access to many markets and most software can use it for datafeed. I just wish it was as bug free as a data feed as buttontrader is as a frontend.
To me it feels like we are still in pioneer times and a few years from now there will be major improvements in data feeds.
 
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