Interactive Brokers - incorrect market data feed

A

AlgoTradie

I trade futures using api with IB (via gateway) mainly around economic news release time and use IB's snapshot market data (for trade decision making).

My api system has been working fine for some time – and recently have started noticing weird market data fed to me by IBS API server – costing me heavily a couple of times. The data doesn't even match with IB TWS time sales data. It's not that there is a delay – just that some snapshots vary wildly from prior data-snaps (and data for a stretch of 3 seconds around event time does not match at all with IB TWS time sales at all – it's off by around 70 pips at times.

Have taken up with IB customer rep explained that IB TWS time sales data server is different from the api market date server – have asked them for a server message log for the last such incident.


I now realize (after reading some of the threads) I should be using a different market data provider. Who is the best/100% reliable for CME globex futures? Thanks.
 
AlgoTradie said:
I trade futures using api with IB (via gateway) mainly around economic news release time and use IB's snapshot market data (for trade decision making).

My api system has been working fine for some time – and recently have started noticing weird market data fed to me by IBS API server – costing me heavily a couple of times. The data doesn't even match with IB TWS time sales data. It's not that there is a delay – just that some snapshots vary wildly from prior data-snaps (and data for a stretch of 3 seconds around event time does not match at all with IB TWS time sales at all – it's off by around 70 pips at times.

Have taken up with IB customer rep explained that IB TWS time sales data server is different from the api market date server – have asked them for a server message log for the last such incident.


I now realize (after reading some of the threads) I should be using a different market data provider. Who is the best/100% reliable for CME globex futures? Thanks.
More...


IMHO:

There is no best data provider for CME Globex futures. If there is one, the other will go out of business within a short period of time. We need to compromise.

My friends and I have tried IQFeed, Sierra Chart real-time feed, and Optimus Futures Rithmic feed. All of them are very good, and give very similar results. You can get historical tick by tick data from the first two. I have backtested some rubber band trades last year using IQFeed, and got some weird results occasionally. Some people claim that they get historical tick data from the combo Sierra Chart/Optimus Futures Rithmic feed.


Good luck.
 
moonmist said:
IMHO:

There is no best data provider for CME Globex futures. If there is one, the other will go out of business within a short period of time. We need to compromise.

My friends and I have tried IQFeed, Sierra Chart real-time feed, and Optimus Futures Rithmic feed. All of them are very good, and give very similar results. You can get historical tick by tick data from the first two. I have backtested some rubber band trades last year using IQFeed, and got some weird results occasionally. Some people claim that they get historical tick data from the combo Sierra Chart/Optimus Futures Rithmic feed.


Good luck.
More...

Regarding the backtesting results:

It seems that IQFeed data are too good. I got five to ten profitable trades within seconds. In reality, this is impossible due to latency.
 
Thanks moonmist. Do you know if the historical data you use is exactly what was broadcast live? The reason I ask is because
i am only looking for accurate live data particularly at event times. Ideally would like to hear from someone who has traded off live data without any major data integrity complaints at times when prices move fast. I need api access to the data feed too.
 
AlgoTradie said:
Thanks moonmist. Do you know if the historical data you use is exactly what was broadcast live? The reason I ask is because
i am only looking for accurate live data particularly at event times. Ideally would like to hear from someone who has traded off live data without any major data integrity complaints at times when prices move fast. I need api access to the data feed too.
More...

Well, if you ask this question, I guess you found out the hard way that IB's historical data could be very different from that were broadcast live, especially after some major news releases.

Last year, I found out that after the crude oil report on Wednesday, IB's live data could be three to four ticks off the high/low of some high quality data feeds. If I did a "delete and download all data" after market closed, my charts looked much better. That means that IB's historical data are of much higher quality than that of the live. What your program/API sees in real-time can be very different from the historical data. Hence, all backtesting results using IB historical data become questionable. This problem would become more serious for GC and NG since they are more volatile than CL.

Sierra Chart real-time feed and Optimus Futures Rithmic feed are definitely good enough to trade live at event times provided that you have a fast computer, fast internet connection with low latency, etc. However, no data feed is perfect. Under some rare situations, they can miss the high/low by one tick. IQFeed has a great reputation. When Sierra Chart finished their CME real-time feed, they tested it against IQFeed to ensure accuracy. I suspect that IQFeed would be more reliable than the first two. However, someone did claim that IQFeed has a higher latency due to TCP:

http://www.sierrachart.com/SupportBoard.php?PostID=17343

Regardless which one you choose, it would be much better than IB data feed.

If memory serves, dom993 is running a CL automated trading system using IQFeed:

http://www.elitetrader.com/vb/showthread.php?t=271781

Good luck.
 
Thanks moonmist. Am checking out these names for market data now. i hope they offer api access.
jharmon - i trade trends - would consider noise if i could find a broker to execute orders fast enough.
 
(apologies for my intrusion)

Trading via a compiled Visual C++ executable, on Windows 7 , via the IB Gateway. Dedicated PC. FiOS broadband.

Trading in the Crude Oil stats release on Wednesday

Algorithm tested and works fine during "routine" trading.

But on this event, it refuses to trade, seemingly unable to receive the Price events.

Has anyone else had this happen? I'm posting it here because it is reminiscent of the OP's dilemma, where on market-moving news he can't rely on the IB price "feed."

As a postscript, once I had to call IB to find out where a trade executed, as the price was way off the market. They themselves used Bloomberg to tell me what the market was actually at over the interval. They didn't seem to use their own product.
 
IQfeed (or Kinetick for those using NinjaTrader) is a quality "true ticks" datafeed with a couple limitations which have to be known:

- the IQfeed server farm is way out there (Denver if my recollection is correct), which means about 50ms latency from there back to NY/Chicago (they claim having dedicated lines from the exchanges, so that latency that way is negligible)

- there have been repeated Internet connectivity issues somewhere between Denver & Chicago in February/March this year (several weeks of daily issues), and again a couple weeks ago for about 2 days - this is independent of IQfeed, but had some impact on trading.

I am told (by one of my clients) that the Rithmic feed is perfect in Aurora (where he has his VPS), so this should be a very good choice for a VPS in Chicago or even NY. I don't know about their historical data.

I also have clients on CQG, which is working fine (although from the remote monitoring I do on a couple of these systems, CQG seems to lose at times a few ticks vs IQfeed, the difference sometimes amount to over 100 contracts by the end of the day).
 
Thank you, Dom.

In general, I've been pleased with IB, incl. a lack of obvious latency, certainly for trading by hand using TWS. Only very rarely do I not get the price I "click" on in a Market Order-type trade. And when this happens I often attribute it to being "front run," not latency.

I've two/three big issues with IB: First, the issue I asked about, of trading around news events, and the inability of the price events to work even in C++ (very fast code).. Second, and outside the purview of this thread, there is no way for me to have read-only access to my account, say from an iPad, while it is trading via the IB Gateway, without paying a second time for market data, in my case almost $200/month extra. IB flat-out lies about the read-only access, not telling users it comes at the expense of full access. Thirdly, related to this, is IB's decision not to support its users with the CME's new Non-Professional Globex subscriptions.
 
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