MultiCharts / Interactive Brokers

And this is ask data
ASK.png
 
I guess I am not quite sure what your point is - you are comparing apples to oranges. IB data is aggregated. I don't remember if they update up to 4 times per second, or up to 10, but the point is, they will absolutely not match anything that returns every tick like IQFeed. IQFeed can easily send 100 updates per second for a single symbol. The difference will be insignificant in most cases on time based OHLC charts, but will be quite drastic on tick charts.

And as far as comparing datafeeds, you aren't even going to get the same results comparing two different instances of TWS on the same computer.
 
The point is... using data from one source and trading at another is problematic if they don't line up. When I trade at TradeStation, the data and quotes always lineup 100% of the time, not so with IB using IQFeed.
 
Sigh. that is not what those charts represent! IB datafeed does not return every tick. They DO use every tick internally for charts, so if you retrieve 1 min OHLC from IB and from IQFeed, they will be the same. and the datafeed is completely and totally independent of trading. I don't know how else to explain that. I've been doing this for 20 years with IB, Ameritrade, IQFeed, QuoteMedia and many others. You are making up dependencies where they do not exist
 
Not getting anywhere in this conversation. Bill Cruz was my tech support contact person, so been at this quite a long time. I do not use time based charts. TICKS MATTER.
 
Ok what BIG1 is saying is that if your trade decisions are based on the bid/ask data coming from IB, those decisions would be different than if the data were coming from IQFeed. That's correct, because the IB bid/ask data is aggregated while IQ's data is tick.

But what Jerry is saying is that it if your trading strategy is sensitive to the correct up-to-date bid/ask NBBO data, then it is better to use IQFeed. There is no advantage to using IB's data while trading at IB because IB's fills are not based on the data IB sends to you through its API. They are based on NBBO and other factors, which are not related to the bid/ask or trade data that IB sends out in its API.
 
BIG1RED9 said:
I am trying to make this combination work for high speed trading of equities. Using limit orders and automation it not unusual for me to trade 500 trades a day per equity.

The data is so slow loading loading charts it can take forever. MC says its working fine. I have thought about using IQFeed, but am concerned that mapped symbols will not be 100% in sync with IB. I have run tests on Bid and Ask data streams and IQ has many more ticks than IB for a given period of time. That potentially means I would have to change my trading to time based bars. That might kill my strategy.
Additionally, in an effort to get rebates to offset the costs, I wanted to create a chart from a particular ECN and then route my orders to it. I suppose I could try making charts using IQFeed and then only select the order route.

Any ideas appreciated.
BR
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I trade stocks and ETFs using IQFeed real-time data and IB together. My universe of stocks is just a filter of the most liquid stocks above $5. Never had a problem with symbol Match-up.
 
BIG1RED9 said:
I am trying to make this combination work for high speed trading of equities. Using limit orders and automation it not unusual for me to trade 500 trades a day per equity.

The data is so slow loading loading charts it can take forever. MC says its working fine. I have thought about using IQFeed, but am concerned that mapped symbols will not be 100% in sync with IB. I have run tests on Bid and Ask data streams and IQ has many more ticks than IB for a given period of time. That potentially means I would have to change my trading to time based bars. That might kill my strategy.
Additionally, in an effort to get rebates to offset the costs, I wanted to create a chart from a particular ECN and then route my orders to it. I suppose I could try making charts using IQFeed and then only select the order route.

Any ideas appreciated.
BR
More...
I believe IQFeed has an ECN field (I've never used it) in their data stream (not historical data). I don't know but MC probably can't use it (ask).
If you write your own code (Java/C#/C++/Python/etc) you can access the field via the API.
 
BIG1RED9 said:
Lets say we agree to disagree. As a rule I always run 1 tick charts for bid, ask and trade. I wrote a counter to count each tick. No matter if its a stock or futures, the count is different between brokers as well as data providers.
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IQFeed consolidates a bunch of ECNs. Not everyone does (TradingView comes to mind). I don't know what IB does (though they aggregate what data they do have around every 200ms).
 
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