Interactive Brokers data quality

Reading the last few posts:

I too love the snapshot data approach because I remember how people suffered when their "all tick" provider lagged.

I have noted on the Sierra board that many of the brokers who supposedly provided all tick data seemed to stop doing so. Either they were found out or they may have streamlined their data provision to fix lag.


If you use time based charts there is no need for IB data to be even slightly wrong. It's perfect. Combining 5 second data with the snapshot data gives you 100% responsiveness plus true information about the past highs and lows with IB's and other's snapshot data.

Range charts can also be 100% accurate but its trickier with tick and volume charts if they can have bars in the 5-10 second range. If you are trading strategies that rely on a sub 15 second view then I think you need different data. Otherwise the combination of snapshot+5 second is just fine.
 
Quote from tortoise:

As some people know, I have a love/hate relationship with IB. One thing I do love about IB is its "snapshot" data. In hyperfast markets (eg, right after Fed announcements, etc.), IB is the ordinary trader's best chance of knowing what the market is actually doing.
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I disagree 100%
Not if you are scalping.
Snap-shot feeds are the kiss of death.
 
As I understand he IB feed. They send out the current price (last sale) somewhere in the range of 3 to 10 times per second. (every 330 to 100 milliseconds) Say you are plotting tick data. Let's say IB is sending updates every 330 milliseconds. At time 0 the price is 1254.0 One-third of a second later you get another data burst that says the price is 1254.25. It is possible that the price traded down to 1253.75 or up to 1254.50 in the third of a second interval between data transmissions but is at the 1254.25 at the instant of the second transmission.

IB has not been forthcoming about that update rate (every 100 milliseconds or 250 milliseconds or worse). I've asked a number of times. However, if you enter a limit order and the price gyrates through your price in that 1/3 of a second, you will get filled even though it happened in the interval between data bursts and did not show up on your chart. So depending on what type of trading you are doing and the setups you are looking for, there may be nothing wrong with using IB's feed for your charting. Then again, it could be costing you money.

Jack
 
Quote from stock777:

How ridiculous is it to assume a <200ms reaction time for a human RELIABLY?

Have we sunken to the level of absurdity?
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Apparently it's no longer about humans.

Read how BOX is reducing their Price Improvement auction (PIP) time from 1 second to 100 milliseconds.

"BOX believes that its Options Participants operate electronic systems that enable them to react and respond to orders in a meaningful way in fractions of a second. BOX anticipates that its Participants will continue to compete within the proposed PIP duration of 100 milliseconds."

-and-

"BOX believes that 100 milliseconds will continue to provide all market participants with sufficient time to respond, compete, and provide price improvement for orders and will provide investors and other market participants with more timely executions, thereby reducing their market risk."

http://www.gpo.gov/fdsys/pkg/FR-2011-12-22/pdf/2011-32750.pdf
 
Quote from kostia00:

ISLAND data and SMART data would be different. We do allow SMART requests via API.
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What? Seriously? In the docs it said you cant specify SMART for a history request. Ok well then that explains it. Thanks.
 
Note: I confused the "exchange" and "primaryExchange" parameter of the IContract within the request.

For the IContract primaryExchange parameter the API docs say

Identifies the listing exchange for the contract (do not list SMART)
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but for the "exchange" I listed SMART when sending the IContract with the request.

@kostia00
Does it matter what I specify under "primaryExchange" ?
 
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