Slow IB data feed ?

[arman555]

Hello Fellas,

I am looking for answers and solution to this problem. I do pair trading and some times calendar spread. These spread are very very tight but also almost risk free to trade. My problem with IB is that their "Spread chart" does not seem good to me. First of all there are no wicks made on the candles, its just rectangle, every candle. Second, during the morning rush all the securities just go crazy on other plat forms like TOS. IB, on the other hand, shows very little update on the quotes.

In order for my pending order to be triggered I need to have those spikes during volatile time, that deviations during rush hours. But IB always seems slow.

For example, i tired on TOS the pair of SPY-IVV, and i was able to trigger it -1.85 to -1.95. 10 points deviation. But on IB the price doesn't even seem to move.

Solution question: Can i use IQfeed or some other to feed my own application then route the order to IB. (BTW i have paid subscription to most of the exchanges, data should be "real time"

Another question: I see that creating the spread on IB shows up weird. For example, if the spread on the LEGS are 0.01 for both legs. But the ratio of those instrument are say 5*A and 8*B... TWS would now show the BID and ASK spread on combo instrument to be 0.13 ??? The price that doesnt move to begin with now have a huge spread which makes it even more hard. That doesnt make any sense to me.

 

[gaussian]

I am looking for answers and solution to this problem. I do pair trading and some times calendar spread. These spread are very very tight but also almost risk free to trade. My problem with IB is that their "Spread chart" does not seem good to me. First of all there are no wicks made on the candles, its just rectangle, every candle. Second, during the morning rush all the securities just go crazy on other plat forms like TOS. IB, on the other hand, shows very little update on the quotes.

Tbqh this sounds like a personal problem. I have no problem with TWS (besides the awful ergonomics, of course). Reach out on their support chat.

 

[arman555]

Tbqh this sounds like a personal problem. I have no problem with TWS (besides the awful ergonomics, of course). Reach out on their support chat.

Does your trading also depend on latency? Like pair trade or arbitrage of some sort?

 

[gaussian]

Does your trading also depend on latency? Like pair trade or arbitrage of some sort?

No. If I wanted preferred service I would get enough capital to either join their hedge fund service offerings or get a deal directly with an exchange. If you're a retail trying to play the arbitrage game you are both wasting time and money if you are not colo'd with your exchange of choice. In this case, if this is you, I would recommend contacting exchanges directly for colocation and seat fees. You will not find a regulated broker offering the kind of latency you are implying you need.

 

[GRULSTMRNN]

The latencies IB uses in its data update are not large enough to impact discretionary trading, hence that itself is not a problem. Yes, you can feed your app with any data source and route orders to a different vendor such as IB. Your issue is not one of latency with IB unless your internet connectivity has serious issues that are also not related to IB.

The above is all meant in the context of non-automated trading.

Does your trading also depend on latency? Like pair trade or arbitrage of some sort?

 

[arman555]

The latencies IB uses in its data update are not large enough to impact discretionary trading, hence that itself is not a problem. Yes, you can feed your app with any data source and route orders to a different vendor such as IB. Your issue is not one of latency with IB unless your internet connectivity has serious issues that are also not related to IB.

The above is all meant in the context of non-automated trading.

Thanks for the reply. My latency to IB is 30ms which should be fine. SPY and IVV are very heavily traded and move very fast during rush hours. But again, individual legs do not concern me for as long as the BID and ASK of the combo moves. Which i thought depended on the price of the LEGS. But after talking to support i found out that combos have their own exchanges too and those are preferred over individual legs. Those little pink and red dots beside the price means that its going to such exchanges, and i assume that those combo exchanges do not move as much. (Its all my theory so far). The other problem was the artificial spread on the combos, Some guy on the support tried to replicate and tried for 5 mins before declaring that it cant be solved and he doesn't understand why.

one thing is for sure the IB execution is top class, i always get positive slippage sometimes even by 10 points. which is great, but it doesnt happen much since the price doesnt move enough to trigger trades.

 

[GRULSTMRNN]

Well, of course you might first want to find out whether you are trading exchange traded combos/spreads or individual legs. Then you can easily use the Excel api and stream real time prices for each leg and calculate spreads with given weights in realtime to compare with what IB shows. That would be my recommendation for the first debugging step.

Thanks for the reply. My latency to IB is 30ms which should be fine. SPY and IVV are very heavily traded and move very fast during rush hours. But again, individual legs do not concern me for as long as the BID and ASK of the combo moves. Which i thought depended on the price of the LEGS. But after talking to support i found out that combos have their own exchanges too and those are preferred over individual legs. Those little pink and red dots beside the price means that its going to such exchanges, and i assume that those combo exchanges do not move as much. (Its all my theory so far). The other problem was the artificial spread on the combos, Some guy on the support tried to replicate and tried for 5 mins before declaring that it cant be solved and he doesn't understand why.

one thing is for sure the IB execution is top class, i always get positive slippage sometimes even by 10 points. which is great, but it doesnt happen much since the price doesnt move enough to trigger trades.

 

[arman555]

Well, of course you might first want to find out whether you are trading exchange traded combos/spreads or individual legs. Then you can easily use the Excel api and stream real time prices for each leg and calculate spreads with given weights in realtime to compare with what IB shows. That would be my recommendation for the first debugging step.

I thought the IB didnt give "Real time" but every 250 ms??

 

[GRULSTMRNN]

OK to be precise snapshots, though it's near Realtime for discretionary trading purposes. Snapshot data are something different. Stop concerning yourself with those 250ms snapshot details, it's completely irrelevant for discretionary/manual trading purpose

I thought the IB didnt give "Real time" but every 250 ms??

 

[arman555]

OK to be precise snapshots, though it's near Realtime for discretionary trading purposes. Snapshot data are something different. Stop concerning yourself with those 250ms snapshot details, it's completely irrelevant for discretionary/manual trading purpose

Yeah i underatand that. Well umm its "manual" but i put pending order manually which needs to be triggered as soon as Bid hits the sell trade. And that happens for a very short period of time.
For example spy-ivv... those kind of spread