Last Trade at Ask or Bid ( ES/NQ )

Quote from koms:

IB data is not accurate to T&S.

The problems with IB are :
1) IB had 2 different API events which return T&S data
a) tickSize b) tickPrice , ideally it should have returned only one event with price as well as size the way you see on t&s. This is what messes up the entire work.
2) Also , the data is bundled ( meaning if there were 3, 1 contract trades at say 1730.00 then IB will return size = 3 as if there was only one trade ).

Market delta uses IB data. Now this adds to my confusion. How does market delta figure out correct Ask/Bid trade when the input data from IB itself is not correct.
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The IB datafeed has been discussed many times before. I suggest you do a search at ET.
(1) Everybody knows that IB does not transmit every tick - details available from earlier posts;
(2) Compared to other realtime feeds, IB data appeared to be very accurate, one of the best.

I can conceive that for your particular trading style you may want something different.
For me, IB seems to give me what I need.
 
I would think the only way you can get the data you are looking for is at the exchange level (which could be very expensive), if it's even available. Time delays along with constantly moving bid/offer prices would make it very difficult for the data provider or end user to accuratly do what you want.

The api I use (efloortrader) makes available last price as well as bid/offer price, but you would have to build your own counter as mentioned before. I couldn't comment on the accuracy as I've never tried it, but I don't think you can be 100% accurate with any data provider.
 
Quote from koms:

IB data is not accurate to T&S.

The problems with IB are :
1) IB had 2 different API events which return T&S data
a) tickSize b) tickPrice , ideally it should have returned only one event with price as well as size the way you see on t&s. This is what messes up the entire work.
2) Also , the data is bundled ( meaning if there were 3, 1 contract trades at say 1730.00 then IB will return size = 3 as if there was only one trade ).

Market delta uses IB data. Now this adds to my confusion. How does market delta figure out correct Ask/Bid trade when the input data from IB itself is not correct.
More...

MarketDelta FAQ on feeds including IB TWS:

http://www.marketdelta.com/kb/article.aspx?id=10168
 
Quote from dcraig:

Could you provide a little more info on the differences between IB and eSignal ?

Have you tried ES/NQ only ? Other instruments ?

Is the problem with trade size ?

Thanks
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By posting the above Market Delta link, you mostly answered your own question. (very interesting link BTW).

IB: being a broker, they give speed and the ability to provide you with the best bid/offer the highest priority

eSignal: being a charting provider, they give the ability to provide you with the most accurate (read: complete) data feed the highest priotity.

What this means is that if you're developing an automated trading application that relies on both, accurate tick data and fast execution, you'll have to integrate both platforms with a third party application like Ninja Trader.

The only problem with this setup is that your trading signals come from the charting application (eSignal), which can be behind IB when the market is moving quickly.

I have tried this with NQ/YM and especially with the DAX, where the discrepancy is most apparent because it is moving faster than most other products at times. The Bid/Ask "counter" I developed with IB's VB API produced results varying up to 50% when compared with eSignal's T&S data.
 
The only way to advance with this pro/con argumentation is to provide FIGURES.

What has been done in the past is to record streams to be evaluated, each incoming tick being timestamped with a local clock kept in sync with one of the available atomic standards.

At night, download CME or CBOT T&S data and compare. You probably will have to code some data conversion and some analysis programs.
I did this about 2 years ago for a few, including IB. I have not repeated this evaluation since, but I am still rather satisfied with IB streams (luckily they seem to have definitely licked their little problems of some time ago and seem to manage to keep their web-hounds at a leash :) ).

I suggest to anybody wishing to keep up the 'missing tick' discussion to first get hold of some numeric facts.
 
I will try out the following options ( will prefer #2 )

1) eSignal's EFS and integrated it with IB through Ninja Trader
2) Ninja Script with the Zen Fire data feed
 
I've been using www.marketdelta.com which I highly recc.

At first I used IB for the marketdelta data feed but then switched the feed to eSignal, which seems to me to be more accurate. I noticed with the IB data feed that marketdelta would often pause during a quick move in ES, and there were lots of bursts and pauses in general, but since switching the feed to eSignal it still occasionally pauses but not nearly as often. My two cents....
 
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