Impossible to run strategies on IB unreliable equity data?

yeah..filter it. if you dig a bit deeper you will see that those spikes are probably caused by trades outside of NBBO at that time. very simple. what else you expect from free data?
 
Some amount of filtering is always necessary if the system you run depend on the core "NBBO" data series.

The only other retail feed that I've found reliable and able to "keep up" is IQFeed.

As mentioned above, I found no noticeable difference between the two.
 
I agree filtering works but not as you propose. First, many trades lie outside the current best bid/offer. Someone who takes out several levels could print a trade several levels away from the CURRENT bid/offer. Secondly you do not know where the next bid/offer lies, it could be half a standard deviation away from current levels because of news releases or what have you. There are ways to filter bad prints but its not as simple as you imply. A whole industry feeds off this issue and even they are not doing a superb job.



Quote from Bob111:

filter it. very simple. if trade is away from current bid\ask-don't count it,don't display... whatever..i proposed this 'filter' to IB long time ago..
you can do it on your side too.
More...
 
perfectly well put!

Quote from DeeDeeTwo:

If you trade low volume stocks this is common with free IB...
In fact, tick data for these types of stocks is of no value, in general.

It's pretty much impossible to do any meaningful trading...
Without cleaning, normalizing, manipulating, storing, analyzing, etc...
Large amounts of data with a Stone Cold understanding...
Of fairly advanced Statistics and the nature of Zero Sum Games...
But that requires skills that far exceed clicking on charts.
More...
 
On top, IIRC; it could be a report for an out of exchange trade.

Those have to be reported within 3 minutes. But if the market moves in those minutes, then obviously the trade would be reported outside best bid/ask.
 
You must log in or register to reply here.
Back
Top