So where's this extended backfill that was due "mid-next week" by IB ??
- Thread starter EchoTrader
- Start date
One thing I have noticed is the time on TWS and my computer
clock can be the same and the time and sales on Ensign is about
10-20 seconds ahead in time... and yet the trades shown with
both QT and Ensign are within microseconds of each other.
(Ensign is a little faster than QT). So I don't know why
the time on Ensigns T&S shows the trades as showing up 10-20
seconds faster than even my time clock on my computer says. I
update it almost every day to make sure it is in synch with Internet
time...
Also, the time and sales is broken down more in Ensign's time and
sales compared to QT's time and sales for some reason which is
strange since both feeds are supposed to be coming from IB.
Ensign gets it's backfill from DTN by the way... And when you first
do a backfill, it is always about 6-8 minutes delayed at first. But if
you wait awhile... say 10 minutes or so... you can do a refresh with
Ensign and it will fill in okay.
I get my backfill from IQFeed for QT so I wouldn't know what the
difference between IB's backfill and Ensign's would be... (even
though I guess I could check)...
Sounds like I better keep my IQFeed backfill data for QT though...
IQFeed backfills great with QT which is weird since Ensign uses
DTN for backfill and it is delayed as I already mentioned...
And what is really weird, is that each and every chart, say a 1-min,
2-min, 3-min, 5-min, 15-min and the daily chart for ES has to each
have it's own backfill when using Ensign. Not that way for QT.
With QT, it only takes one backfill to fill in all time frames for each
symbol. Of course, QT does not have daily charts like Ensign does.
P.S. Even with using IB's data, the 1-min charts look different
between Ensign charts and QT charts. Ensign can be showing a
1-min doji while QT can be showing a 1-min hammer...
Bigbusiness,
You are not comparing QT charts to ensign. You are comparing IB data to ensign, which is NOT the same thing. QT shows you the data as it is returned by the data provider, whoever that data provider is. If you have ensign get the data from IQFeed, then if you want to compare things, use IQFeed in QT to backfill.
I compared QT charts backfilled with IB to IB's own charts. I got the exact same thing you did for the QT charts and QT and IB charts where identical (they should be - they use the same data).
I am comparing 5 minute charts since IB does not have 10 min option. I attached a picture showing IB chart overlayed with QT chart set to low translucency.
With IB data, (and IQFeed for the time being) you cannot compare quotes based on TIME. you have to look at the quotes themselves. IB does not return time on quotes, so all charting software will use system time for the quotes. QT does not just take the time from your computer. QT does a time sync when it starts to make sure that the time it has is accurate. Therefore, if the computer time is lets say 2 minutes ahead of the time QT syncs with, then when you compare data in QT to data in ensign (assuming ensign takes straight system time), QT data would look like its 2 minutes behind). The actual data is exactly the same though.
1) IB does not send T&S data. It sends just updates on individual fields. To get something like T&S data, the software has to combine the data. How we combine the data may be different than how others do it. We are VERY sure that we are doing it accurately. However, others may for example separate the record with a BID update from the LAST update even though they came in at exactly the same time. QT would combine those into one record in T&S. It would not combine 2 updates that show different volumes though because those would be 2 different trades.
2) If you are comparing QT's Raw Data display showing data from IB to another T&S display coming from IQFeed, you are not comparing like quality data. IQFeed's data is tick-by-tick. IB data is consolidated. Again - use the same datafeed in QT and you will get the same results (NOTE: If backfilling with IQFeed, you can get tick data using QT, but need a custom backfill configuration. email QT support to get it)
That should not happen, but then again it depends on what IB data you got. If both retrieved data from backfill, they should be the same. I verified (as shown in the chart above) that QT's chart is in fact correct. If on the other hand the data is coming from the Level I quotes, how the quotes might be separated into candles may differ because of time differences. There is nothing we can do about that since no trade time is sent. And it does not mean that QT or Ensign charts are wrong. They are just different because of the time differences.
Jerry Medved
http://www.quotetracker.com