Interactive Brokers and pacing violations

[d08]

As I recall, the enforced limits are quite a bit more lenient than the published limits. You can grab more than 1 day of minute bars in a single request. I forget the exact amount as I haven't done this in a couple of years, but I believe it was better by a multiple.

You can grab a week of 1min but you still have to follow pacing rules. 10 second delay between requests is enough.

 

[Zzzz1]

there are other additional pacing violations one has to be mindful of. I remember that one could only send x number requests in any 10 minute window.

You can grab a week of 1min but you still have to follow pacing rules. 10 second delay between requests is enough.

 

[d08]

there are other additional pacing violations one has to be mindful of. I remember that one could only send x number requests in any 10 minute window.

That's what I'm talking about. Not sure what violation you mean. I just retrieved data with this delay amount.

 

[Zzzz1]

What I meant is

a) one needs to put in a delay in between requests of certain types

AND

b) one can only submit x requests in a 10 minute window.

You talked about a 10 second throttle (not sure what it is)

If we talk about one and the same thing then apologies...

That's what I'm talking about. Not sure what violation you mean. I just retrieved data with this delay amount.

 

[Stymie]

what do you mean with "writing algorithms within their charting application and let them store all the data on their server". Never heard of such. Let's say I wanna chart a basket of USDJPY, EURUSD, GBPUSD, equally weighted. How would I go about that inside TWS?

IF you want a straight forward historical analysis of these 3 Spot FX rates it's simple:

Go to Charts/Edit/Chart Parameters.....
The default is "single contract" so pick "Combined contracts" to make your basket 1-1.
The identifiers are: EUR.USD, USD.JPY and GBP.USD and the default ratio is 1 to 1.

IF you want to get more sophisticated, the other option is a "Virtual Security" and you could build your expression into the chart itself - which you have the ability to trade from....

I would expect IB to be able to provide some support for you but it's straight forward if you just play around with it.

Your basket has traded between a high of 127 back in July 2015 to a low of 103 in August and we are trending back up to 120 as of today....

Once you get comfortable with your combined or virtual security, timeframes and other analysis are just a click away.... why do all the hard work when you leverage their servers....

Good luck...

 

[Stymie]

Thats great for someone who traded one single geographic location or possibly two. But do you have access to Tokyo Stock Exchange, Australian equity market data, non G10 currency pairs, .... with NxCore? I doubt it. But I agree with you about the core functions of a broker. Except here IB would make quite a lot of additional revenue if it offered a fast and efficient historical and live market data server at additional cost. It would instantaneously bankrupt 80% of all retail geared market data providers. Think about one single provider that supplies you with almost 90% of world exchange coverage in any imaginable asset class. I would be willing to pay IB a handful for that.

IB does provide 90% of the global exchanges and data is a core component required for any broker to provide a trading platform. Think about the flow of information - they require two feeds which they keep separate - data feeds to provide a price to trade and a routing feed for orders to get to the exchange. IB uses Thomson Reuters as their datafeed provider and they provide the same service to their clients for a fee of which most passes back to Thomson Reuters. TR is in the business of selling feeds and servers to high velocity traders although they are not as fast as small niche players. They can provide all the major exchanges and Spot FX across all currency pairs output from their Dealing spot FX platform which is where most trading happens in the Spot FX world. I have helped many global hedge funds integrate these feeds into their platforms - don't think you have the fire power of those boys...

What most of the big boys look for is the depth of market for order flow across the globe. They then do most of their adjustments on the open and close of trading in anticipation of what the global order book is likely to do for the day/night. They then look at the correlation across like products and asset classes and then provide liquidity globally hedging off risk in like assets.

That's why you see the big burst of trading at both the open and close as the big funds make adjustments based on what they see in the order books and how they anticipate reactions from the order book when they step into the market. These guys pay tens of millions to multiple vendors for both the feeds,servers and platforms to comingle their trading rooms in US/Europe and Asia. They also route their orders directly to the exchange via fiber to get instant fills if their algos are not sitting on a trading server at the exchange itself.

 

[Zzzz1]

Neat feature but very limited to 4 operators. Also I do not see real-time updates on the chart nor any updating even of 1 minute bars...

But still something I did not know TWS provides. Thanks for the pointer.

IF you want a straight forward historical analysis of these 3 Spot FX rates it's simple:

Go to Charts/Edit/Chart Parameters.....
The default is "single contract" so pick "Combined contracts" to make your basket 1-1.
The identifiers are: EUR.USD, USD.JPY and GBP.USD and the default ratio is 1 to 1.

IF you want to get more sophisticated, the other option is a "Virtual Security" and you could build your expression into the chart itself - which you have the ability to trade from....

I would expect IB to be able to provide some support for you but it's straight forward if you just play around with it.

Your basket has traded between a high of 127 back in July 2015 to a low of 103 in August and we are trending back up to 120 as of today....

Once you get comfortable with your combined or virtual security, timeframes and other analysis are just a click away.... why do all the hard work when you leverage their servers....

Good luck...

 

[Zzzz1]

I think you misunderstand, I doubted that NxCore would provide 90% global exchange coverage and I actually mentioned IB as a broker that does provide around 90% coverage of major markets. But I disagree with you when it comes to core services a broker should provide. A broker is in the business of processing orders and/or making markets. They are historically not in the business of providing historical data feeds. That is the core business of data providers, such as Bloomberg, Reuters,...I mentioned that it would be a huge revenue bump for IB if they provided a better real time data feed (not snapshots) and a comprehensive historical data feed product for which they could charge quite a premium precisely because they cover so many markets. One reason I stay away from most non Bloomberg/Reuters data providers is because they have very poor coverage of Asia and smaller European markets.

IB does provide 90% of the global exchanges and data is a core component required for any broker to provide a trading platform. Think about the flow of information - they require two feeds which they keep separate - data feeds to provide a price to trade and a routing feed for orders to get to the exchange. IB uses Thomson Reuters as their datafeed provider and they provide the same service to their clients for a fee of which most passes back to Thomson Reuters. TR is in the business of selling feeds and servers to high velocity traders although they are not as fast as small niche players. They can provide all the major exchanges and Spot FX across all currency pairs output from their Dealing spot FX platform which is where most trading happens in the Spot FX world. I have helped many global hedge funds integrate these feeds into their platforms - don't think you have the fire power of those boys...

What most of the big boys look for is the depth of market for order flow across the globe. They then do most of their adjustments on the open and close of trading in anticipation of what the global order book is likely to do for the day/night. They then look at the correlation across like products and asset classes and then provide liquidity globally hedging off risk in like assets.

That's why you see the big burst of trading at both the open and close as the big funds make adjustments based on what they see in the order books and how they anticipate reactions from the order book when they step into the market. These guys pay tens of millions to multiple vendors for both the feeds,servers and platforms to comingle their trading rooms in US/Europe and Asia. They also route their orders directly to the exchange via fiber to get instant fills if their algos are not sitting on a trading server at the exchange itself.

 

[Stymie]

As I said, when ready to get more sophisticated - go to the virtual security and there is an open canvas to do whatever you want - limits unknown. Opportunity awaits those who stretch the mind and reach...

 

[Zzzz1]

Mate, I told you I created a virtual security and the limits are well specified: symbols combined by 5 different operators max. Nothing more, nothing less. The limits are clearly defined.

Also, as pointed out, no updates on the charts, no real time update nor any updates even on 1 minute charts...

As I said, when ready to get more sophisticated - go to the virtual security and there is an open canvas to do whatever you want - limits unknown. Opportunity awaits those who stretch the mind and reach...