Data varies in quality, reliability, speed, markets covered, bar definitions.. volume can be only internal with IB or it can represent the entire exchange, history availability varies a lot over amount and type of data, data can be raw or filtered... the DTN Satellite feed was great, they blasted the whole exchange and let your computer sort out what it received and what it stored, I guess the DTN high end internet feed is replacing that. Finding the best value is an individual thing because data needs vary by trading style.
SPX Index - different candles on Interactive Brokers
- Thread starter iBelgium
- Start date
I use IB and have the same SPX chart as der_kommissar post 6. However, the SPXPM chart shows the same as our Belgium friend... weird.
IB does have the occasional bar spike which is incorrect....
IB does have the occasional bar spike which is incorrect....
The differences relate to:
a) Consolidated tape trades versus primary exchange-only trades. eg. if GE opens at 9:31:12.0000, but trades on BATS at 09:30:00.00001 which is the open for that stock? Now use that staggering of opens across all stocks. it makes the index "open" a fairly useless field.
b) "Real time" indexes aren't actually realtime - they consolidate multiple stocks on a given update frequency - some sources calculate indexes on 1 sec, 15 sec, 1 min intervals. The daily HL data is based upon the extremes of these "snapshots". Different snapshot samples means different HL data. Some vendors calculate the index themselves, others take from other sources (CME or CBOE). The CME one is generally considered to be the "official" source but it depends upon your perspective.
c) What time the index "opens" - given that constituent stocks on the primary exchange open at different times, what is the open? First tick received? First tick received on all stocks? 5 minutes after open? etc.
d) Cancelled trades/flash crash events. Include or not? Correct postdictively?
It's a can of worms! Sadly not many know anything about it.
a) Consolidated tape trades versus primary exchange-only trades. eg. if GE opens at 9:31:12.0000, but trades on BATS at 09:30:00.00001 which is the open for that stock? Now use that staggering of opens across all stocks. it makes the index "open" a fairly useless field.
b) "Real time" indexes aren't actually realtime - they consolidate multiple stocks on a given update frequency - some sources calculate indexes on 1 sec, 15 sec, 1 min intervals. The daily HL data is based upon the extremes of these "snapshots". Different snapshot samples means different HL data. Some vendors calculate the index themselves, others take from other sources (CME or CBOE). The CME one is generally considered to be the "official" source but it depends upon your perspective.
c) What time the index "opens" - given that constituent stocks on the primary exchange open at different times, what is the open? First tick received? First tick received on all stocks? 5 minutes after open? etc.
d) Cancelled trades/flash crash events. Include or not? Correct postdictively?
It's a can of worms! Sadly not many know anything about it.
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My IB ticket has been answered. As jharmon points out, the difference is between native or calculated index prices.
Calculated index prices are calculated by IB and update every tick but may not include delayed transactions, busts, late-reported trades and combos.
Native index prices uses the data from the exchange (CBOE in this case) but will not always update with every tick.
If anyone else has the same graph like me and wants to switch to the native one, you can easily do so by by going to Edit > Global Configuration > Display > Ticker Row> Native/Calculated Index Prices. Check the boxes to display the data native to the exchange or leave them unchecked for IB Calculated Data.
I hope everybody learned something. Thank you all for your answers. My problem is solved so I'm happy.
Calculated index prices are calculated by IB and update every tick but may not include delayed transactions, busts, late-reported trades and combos.
Native index prices uses the data from the exchange (CBOE in this case) but will not always update with every tick.
If anyone else has the same graph like me and wants to switch to the native one, you can easily do so by by going to Edit > Global Configuration > Display > Ticker Row> Native/Calculated Index Prices. Check the boxes to display the data native to the exchange or leave them unchecked for IB Calculated Data.
I hope everybody learned something. Thank you all for your answers. My problem is solved so I'm happy.