Proof TWS tick is broken for weeks and useless, misleading

[SoesWasBetter]

There's nothing wrong with IB's data when it's working correctly.

Only the putz's claim they cant use it.

Meanwhile their biz is up HUGE yoy , so all you pikers claiming you left don't mean diddly.

 

[geosing]

There's nothing wrong with IB's data when it's working correctly.

Only the putz's claim they cant use it.

Meanwhile their biz is up HUGE yoy , so all you pikers claiming you left don't mean diddly.

I raised a trouble ticket about this broken $TICK data. They claim that this is exchange provided data and they have no control over it. NYSE is providing them with $TICK that stays negative all day long while breadth is like 2000 advancers all day long??? .... I depend on this for scalps and action on extremes. It appears not many IB traders use this data. Have you contacted support and what do they say?

Today (Sep 1) supposed $TICK from TWS


Considering eSignal or Ninjatrader/Kinetick going forward.

 

[Macca1]

There's nothing wrong with IB's data when it's working correctly.

Only the putz's claim they cant use it.

Meanwhile their biz is up HUGE yoy , so all you pikers claiming you left don't mean diddly.

Not sure who the putz are, but anyone who is using calculations based on tick resolution or bid/ ask allocations can't use it, because, it's simply not accurate.

 

[Macca1]

I raised a trouble ticket about this broken $TICK data. They claim that this is exchange provided data and they have no control over it. NYSE is providing them with $TICK that stays negative all day long while breadth is like 2000 advancers all day long???

NYSE don't provide TICK-NYSE. It's a vendor calculated index- It will be provided by IB's data vendor not by the exchange.

 

[jharmon]

NYSE don't provide TICK-NYSE. It's a vendor calculated index- It will be provided by IB's data vendor not by the exchange.

Anybody who uses an indicator without knowing a) how it's calculated (primary listing exchange or consolidated tape, which trade types are included etc.) and b) which instruments it uses in its calculations, is a fool.

Just because some 50 year trading technique used it, it doesn't mean it's useful today.

Also, these indicators were developed when a tick was 1/8 - are they really relevant now?

Have you considered how the SEC two year tick pilot program for 0.05 ticks in small caps for selected stocks is going to affect such an indicator?

 

[SoesWasBetter]

I have to assume none of you 'critics' actually trades for a living and if you do, you must lose a lot of money.

Your responses are ludicrous.

 

[jharmon]

 

[geosing]

NYSE don't provide TICK-NYSE. It's a vendor calculated index- It will be provided by IB's data vendor not by the exchange.

I was just reporting what IB support said. I know most data providers calculate their own index, as NYSE stopped broadcasting $TICK long ago. I believe it was revived by S&P Comstock and then offered by other data vendors based on their own algos. I will probably go back to NeoTicker/eSignal or IQFeed - just for the custom TICK index - more appropriate for short term trading purposes. One could create just S&P100 $TICK e.g. or any custom group of symbols. I guess there is no such thing as free lunch.

 

[Macca1]

I was just reporting what IB support said. I know most data providers calculate their own index, as NYSE stopped broadcasting $TICK long ago. I believe it was revived by S&P Comstock and then offered by other data vendors based on their own algos. I will probably go back to NeoTicker/eSignal or IQFeed - just for the custom TICK index - more appropriate for short term trading purposes. One could create just S&P100 $TICK e.g. or any custom group of symbols. I guess there is no such thing as free lunch.

eSignal & IQ feed can produce quite different $TICK results.

I've tested various mean reversion strats using IQ feed $TICK & Barchart $TICK taking high/low extreme readings based on a percentile ranking algo. Returns were pretty much random( Not saying there isn't any predictability, just not for what I was doing). If you're looking to build your own index I suggest checking out % of stocks in a universe above/ below VWAP & +/- STDs of VWAP.

I haven't investigated TRIN but a post on twitter caught my eye recently, comparing feature importance based on a random forest in predicting 60min Emini Returns from 2016-08 to 2017-02

@systematictrade

 

[JackRab]

Y compared to the latest wonder-butt Itchy Mo'Curd Clouds* that capture 'retail' attention so much -- including now on IB, which used to be free of most such noise.

Yeah, I've got the clouds on, but not really working with it to be honest... haven't figured out whether it works or not... so probably it doesn't