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

Quote from nononsense:

Hi Johnny,

I posted earlier that I would love to see IB go tick by tick. However, whether IB, X-trader or Y-trader, they are all faced with the same technological situations: many ticks, many users, lots of bandwith. How to tackle this: install heavier servers, pay for faster communication links -> cost goes up, user number goes down -> you get all your ticks.

Because the crowd goes crazy about cheap front ends - many crazes come and go in the speculation business - a lot of guys are now faulting people like IB for this. They don't seem to grasp much of the underlying reality. Let these go to "better" places. If you know how to make money with this the much stiffer costs will easily pay for themselves! No "cheap crowd pleasers" exist for X-trader though!

Furthermore, some posters pointed out that data leaving the exchanges is not necessarily "tick by tick". See references to CME and EUREX in previous posts!

One day everybody will have tick by tick. I'm sure. Other crazes will reign by that day!

nononsense
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Makes you wonder whether someone creative at IB couldn't find a compromise. What about a couple of servers dedicated to sending out a tick-by-tick datafeed but which costs $50-$100 a month to access. With access given to a fixed number of users per server (more servers added as demand grows). The people willing to pay for this data can foot the bill for IB's extra costs. The "masses" can stay on servers using snapshot quotes. I agree that a solution where every Tom, Dick or Harry has full access to tick-by-tick data would just mess things up for the rest of us.

IB would be "investing" in a smart solution instead of going with a one-size-fits-all approach. I really like the speed of IB's datafeed and the fact that it has an open API. If they kept the speed and went tick-for-tick, I might just have a quick org! Until then, they should do it just for me and screw everyone else :p
 
Quote from juggernaut:

Even though sending the tick data is the cleanest and easiest
way in the long run. IB could send the price range, basically
the high and the low since the last snapshot. This would
go a long way toward making it look like a true tick feed.
This would require very little additional bandwidth and
would not bog down in fast markets since it's still a snapshot
feed.
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Hi Def,

Many people seem to volonteer some clever schemes to enable IB to do better. I think that a lot of this is pie in the sky stuff.

As for me, I can live with IB's current feed. As others also confirmed, it is one of the best in timing. Ticks seem already to be missing leaving the exchanges I heard. I as a user invested a tremendous amount of time and work in analyzing my system's performance based on the current IB datafeed.

Ok for IB to shorten the time interval between snapshots - better send us all ticks you can. We all know what this entails of course. But please, NO experimentation with other "clever" schemes that nobody has any experience with. Stick to what you offered for many years now. You owe this to your customers.

The two tier solution proposed by John is very good of course. But you will have to pay for this.

nononsense
 
version 77:

Thank you for sending the information to mg101. This is what happened:

You submitted a stop limit order to sell for ESH4 at Globex with the trigger price of 1124. This order type is not simulated by IB, but handled natively by Globex. Hence, the market data we distribute to the TWS or Button-Trader has no relevance.

At the time when your trade was executed at 1124 price level there were 12 other executions at the same price; we checked this on Bloomberg as well as the CME's website. (Note that on CME website the times are in Central Standard Time).

IBsoft
 
Quote from IBsoft:

version 77:

Thank you for sending the information to mg101. This is what happened:

You submitted a stop limit order to sell for ESH4 at Globex with the trigger price of 1124. This order type is not simulated by IB, but handled natively by Globex. Hence, the market data we distribute to the TWS or Button-Trader has no relevance.

At the time when your trade was executed at 1124 price level there were 12 other executions at the same price; we checked this on Bloomberg as well as the CME's website. (Note that on CME website the times are in Central Standard Time).

IBsoft
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That's nice. But as we all know, IB's snapshot data did not show
even one of these quotes. Not one. So it seems IB's data feed
is not of much help when using ButtonTrader, NinjaTrader or any
of the others I mentioned. My stop was taken out with a phantom
tick not supplied by IB. Not one of these 12 trades were shown
using IB's feed either. This is why I question using any of these
front ends with IB's snapshot data.

Granted, IB did show the bid going down to 1124.00 for 1 second.
But that was all. No quotes. No trades. I am sure this is true with
every spike you see on your candles using IB's feed. Also the top
and bottom of every candle. And of course we don't have the true
volume either. Hmmm. Why provide the data feed in the first place?
 
I watch the IB feed very closely at the sub-second level for all US index futures, and I doubt that we're missing much. Eurex, however, is a completely different story, but that is not IB's fault.

The few times when you might be missing something are when the market is moving fast, but those would also be the times when IB would need to snapshot data just to keep up with the market (better that than to fall behind!), so I doubt they will ever be able to provide a "free" feed that is tick-by-tick (or at least not anytime soon). I'm amazed they manage to do what they do. :)
 
Quote from version77:


Granted, IB did show the bid going down to 1124.00 for 1 second.
But that was all. No quotes. No trades. I am sure this is true with
every spike you see on your candles using IB's feed. Also the top
and bottom of every candle. And of course we don't have the true
volume either. Hmmm. Why provide the data feed in the first place?
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My comment above did not apply to trades. You may very well have a problem seeing all trades. I've never trusted that part of their data feed and do not rely on it in my trading, although their periodic trade volume updates are close enough for what I'm doing with volume. If I was using one of the IB front-ends to their API, I wouldn't have it make any split-second decisions based on trade data.
 
Quote from franklin:

If I was using one of the IB front-ends to their API, I wouldn't have it make any split-second decisions based on trade data.
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Yet that's pretty much what they are doing, and what their developers are marketing to the public when it comes to many of the 'cleverer' features. Buyer beware!
 
Still no answer to my question. What's all the fuss about? Yes, I saw the post about trailing stops based on the yadda yadda. What kind of micromanaged trading are you guys doing, that you think seeing every single trade and tick and not simply accurate b/a size and price can't handle?

Tradestation appears to deliver every trade in its time and sales feed. But I don't detect any particular edge in * information * content vs. IB .
 
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