MultiCharts / Interactive Brokers

BIG1RED9 said:
With what I learned communicating about this issue, I don’t think trading at IB is going to work at the same level as TradeStation. Verifying each step and with each being successful, I will get to a side by side comparison of IB and TS trading the same symbol. The proof in the end is the results.
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Good luck with your analysis and comparison. I have no experience with TradeStation so I can't comment.
 
terr said:
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.
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I am a bit fresher this morning. Had eye surgery, have slight double vision and my patience is thin. I apologize to Jerry for my tone, I realize he is taking time from his life to comment to help. I am just frustrated that I can't simply turn on what I know works and begin trading. Instead I am under the hood tinkering with crap that makes no sense in the real world and yet I know better because this is the real world. Better than when I started with System Writer, but still not perfect.

I believe that if I create a 5 point chart or 50 tick chart using ASK data for data1, BID data for data2 using IQ I will get a different number of bars and therefore different entrance and exist signals, when using limit orders, then using IB. So if in one instance in the course of the day I have 500 bars with one, if I have 200 bars with the other, there is going to be a difference. Prior to this discussion, I would have expected charts being created using trade data to be the same.

My many years of doing this tells me that if one is going to have a high trading frequency for tiny profits, differences can cause a train wreak. Having said that, I have no idea if it will work or not as I have found out one must verify with live trading to get the data, learn, adjust if possible and move on to the next test.

First I am going to create new charts with 1 bar back so that the charts will build from the live stream. I will be building separate 1 tick bid, ask and trade charts using IB and IQ data. I will build a 1 tick TS chart using trade. At the end of the day I will get a total count, but may end it early if it is very clear.

Next today while the market is closed, I will build both 5 point and 50 tick charts using IB BID and ASK data as well as a separate chart using only last. I will do the same for IQ and finally just a last for TS.

Once the charts have enough bars built I will be in a position to trade IB or IQ live which I will do to see what issues if any surface. I will compare the chart built using TS data in MC, to the TS chart I will trade live using TS.
 
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dholliday said:
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.
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How many trades a day would you say you do on a symbol?
 
dholliday said:
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.
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Above my abilities. I have considered getting an API connection to another broker but that is some serious $$.
 
fan27 said:
I ran into road blocks with MultiCharts that I was able to solve with QuantTerminal (mainly running a portfolio of strategies with multiple time frames per strategy). Might be worth checking out.
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I am fine for futures with CQG, I am trying to get something to work for equities.
 
BIG1RED9 said:
I am fine for futures with CQG, I am trying to get something to work for equities.
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Understood. I have a couple of clients who use QuantTerminal for equities. Would be curious to learn how it compares to Multicharts for your use case.
 
dholliday said:
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.
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I just tried it and in MC you can create a symbol and select an ECN for the chart data. I have several going, ARCA, ISLAND a viable difference in the chart. So depending on what happens with the tests I have running, it might be viable (as an example) to select ARCA as the source of data from IQ and then map IB selecting on ARCA as the ECN to route the trades. No idea if selecting a single ECN is viable for trading, but a potability.
 
Several things to share.

1. IB TWS has an selectable order routing section. In my case I am going to try the setting for max rebates and see how the fills are.

Huge difference in live captured data. I used AAPL and AAL in the test which ran for something more than an hour. This was a 1 tick chart.

AAL
IB ASK 3,016 Ticks
IB BID 3,039
IQ ASK 12,400
IQ BID 12,390
IB LAST 2046
IQ LAST 6229
TS LAST 6229

AAPL
IB ISLAND ASK 1,248
IQ ISLAND ASK 12,638

I am not going to try and trade on IB data. I can already see that the number of trades per day will be a fraction of my current trading at TS. So after the charts build from fresh streamed data, I will try IQ data trading to IB. I do not expect it to work at the level of TS, but I have been wrong so many times before.
 
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