Interactive Brokers data quality

[sprstpd]

Quote from braincell:

Note: I confused the "exchange" and "primaryExchange" parameter of the IContract within the request.

For the IContract primaryExchange parameter the API docs say



but for the "exchange" I listed SMART when sending the IContract with the request.

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

In some cases it does where the same symbol is traded on multiple exchanges throughout the world.

 

[kostia00]

Quote from braincell:

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

Specifying primaryExchange == ISLAND should result in US stock being picked up: sprstpd is correct that this is needed to differentiate IBM in the US from IBM elsewhere.

 

[kostia00]

Quote from MarketMasher:

Forget that last post - apparently it is the API version 9.2 that started the 5 sec bars, and has been out for a long time.

So that means that you would have to build bars that are sampling at 5 sec rates and adjust the OHLCV values until the time of the bar you actually want to watch is finished, then restart sampling for the next bar to get the true OHLCV of each bar as it is built.

From the discussion below it seems that NT is not using 5-second bars from IB stream as of Sept 2011.

http://www.ninjatrader.com/support/forum/showthread.php?t=2829

 

[stock777]

Even 1 second was never designed for a human. This is just an excuse to benefit the co located frontrunners. So obvious its not even funny.

Quote from Options12:

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

 

[Options12]

Quote from stock777:

Even 1 second was never designed for a human. This is just an excuse to benefit the co located frontrunners. So obvious its not even funny.

Yeah but if IB's CEO is successful in his effort to get exchanges to hold the orders of HFT firms for 100 milliseconds, then this change at BOX shuts these firms out.

The result will be a PIP auction with only market makers in attendance. And the customer will suffer due to fewer participants around to improve the price during the auction period.

From:

http://online.wsj.com/article/SB10001424052970203752604576641293119362426.html

"Mr. Peterffy has a solution: Require exchanges to hold orders for one-tenth of a second, while allowing registered market makers, such as Interactive, to trade at will."

 

[wonghang]

Quote from Landis82:

I disagree 100%
Not if you are scalping.
Snap-shot feeds are the kiss of death.

I agree with Landis82 that complete tick data are important.
Actually, are there any vendor that could provide complete real time tick data in worldwide market similar to IB data service?

 

[pismo10]

So would this effect stops placed on the IB DOM or is this just a charting issue? This bundling of data could cause significant slippage if it involves orders as well. Or are the stops placed on the main CL or ES exchange computers? If they are placed on my PC or IB's and they are using bundled data then slippage could be an issue.

 

[greedytrader]

Quote from kostia00:

Can you please post or PM me a specific example of high or low being inaccurate and we'll check?

are you really stupid or do you pretend to be ignorant? IB, your company, provides charts based on a snapshot of the transactions. The chart is NOT updated constantly according to the transactions.

Man, talking about a company managed by people who know nothing about trading.

 

[RedDuke]

Quote from greedytrader:

are you really stupid or do you pretend to be ignorant? IB, your company, provides charts based on a snapshot of the transactions. The chart is NOT updated constantly according to the transactions.

Man, talking about a company managed by people who know nothing about trading.

IB feed has advantages as well. 200ms snap shots are Ok for most strategies except got HFT.

 

[Jack_Larkin]

While I'm sure 100ms updates are 'good enough' for the majority of IB clients, the principle issue (I think) is that IB is passing through the data/market entitlement fees to their clients and the clients are not fully getting what they pay for in that respect.

Say a client gets level 2 of all US exchanges. They are paying quite a bit in data fees each month to IB for this, so why should they have to pay the same fees again with another data vendor just to get a true 'stream'?

If you are paying for data, and presumably this is passed on to the exchange to cover their fee, then clients should get the full data product the exchange is putting out, not clumps of it in 100ms intervals.