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

Quote from juggernaut:

IB does no bundling of trades. They just send a snapshot
of the current price/vol, etc at each time interval. That's
why you don't see certain prices if they occur between the
snapshot. If IB wanted to fix this while maintaining a snapshot
feed they need to send a HLC bar which gives a summary
of what transpired between the snapshots. This is not pie
in the sky, just a simple addition which would satisfy most
users of the datafeed.
More...

I just want to support juggernaut's common sense approach to the data feed issue. Even if we recieved every trade we would still have to bundle them into "periods" or "time intervals". I currently bundle my data into 5 sec. periods. That can also be changed into 10 sec, 1 min, 1 day, etc. The goal however is to build a H/L/C bar with Volume. These four pieces are the required components for all Technical Analysis / Indicators.

It would save my app a lot of processing time if IB would package trades in periods. Providing H/L/C and V by subscription for a standard set of periods would be the easiest approach. 5 sec, 10 sec, 30 sec, 1 min, 5 min, 1 hour, 1 day seems like obvious periods. I believe a granularity of 5 secs for scalping would be fine for me...for you?. I'd love to have H/L/C and V so I don't have to build them. Otherwise....I want every tick and I'll do it myself.
 
Quote from juggernaut:

That's why you don't see certain prices if they occur between the snapshot.
More...

You also do not see certain prices that occur OUTSIDE of the
snapshot which I believe makes for incorrect candles/bars in
your charts for the time period you are charting IF you are using
IB's data feed for your charting...

I can see tails on the bottom of candles and know traders got hit
on trades below the tail by at least one tick... At least in some
cases. Getting hit on a stop when you cannot see the price on
your chart is kinda well... how can I say it nicely?... :(
 
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