Strange ticks at IB explained as intermarket sweeps

have also observed these on ib. prob is they route to multiple exchanges & seems like these outlier prints show on their charts. these could be pre/after mkt or otc trades. ib offers an option for pending orders to execute in pre/after mkt. it is not checked by default. maybe you didnt enable this

such an outlier print can make their charts unreliable, if one is trying to make decisions off market participants, reflected in chart patterns. tradingview for eg. may use stock data from bats exchange, which is only 1 of the many exchanges ib routes to

if trading charting patterns, considering which data source you use is an important factor. if i were such a trader, would want patterns reflecting majority of participants' actions, & so will use nasdaq source for nasdaq stocks / nyse source for nyse stocks. n disregard the rest like iex, opra, bats, darkpools. please correct/educate if wrong
 
jonahern said:
Hmmm...imo that dark pool print is usable info even late. I want to know what bigger players are doing.
More...

ideally we want to use ALL prints from all exchanges. including iex, darkpools, bats, opra.. etc. then that raises the question of how do we as retail, do that? do data vendors or 3rd party software offering an "aggregated data source" compiling all prints? or do advanced traders compile it diy? m exploring multicharts for stock data using ib's data feed. it requires selecting a single source of exchange data. intuitively, the choice would be either of the biggest 2 exchanges: nasdaq or nyse, while disregarding the rest?
 
You are getting ALL. All National exchanges, all internalized trades, all dark trades where volume exceeds certain threshold. Search Securities Informaton Processors. This is all regulated.

Whatever you do don't get, as retail, you don't need :) Think of it as "alternative" data.

https://www.sec.gov/fast-answers/divisionsmarketregmrexchangesshtml.html

P.S. IB complicates everything by letting you only pay for what you want. As long as you pay for level one tapes A,B, and C, you get all of the above. IEX is the only free data available, so many people just get that to save money.
 
qlai said:
You are getting ALL. All National exchanges, all internalized trades, all dark trades where volume exceeds certain threshold. Search Securities Informaton Processors. This is all regulated.

Whatever you do don't get, as retail, you don't need :) Think of it as "alternative" data.

https://www.sec.gov/fast-answers/divisionsmarketregmrexchangesshtml.html

P.S. IB complicates everything by letting you only pay for what you want. As long as you pay for level one tapes A,B, and C, you get all of the above. IEX is the only free data available, so many people just get that to save money.
More...

appreciate your patience on this.. seems like extracting historical tick data is not that straightforward. which exchange data from IB is recommended for stock analysis? which exchange has more reliable tick prints? seems like they r not aggregated. for eg. tradingview uses exchange data from BATS. m not subscribed to IQfeed yet, but guess is they will only publish a single data source in MC's quote mgr. i noticed pre/after-market outlier orders get printed on IB's TWS charts. so using IB's SMART or ISLAND will prob reflect these prints on a D1 bar for eg. highly inaccurate

m sub-ed to IB's basic lev 1 quotes for US stocks. don't know if this includes your mentioned A, B & C tapes?

m using multicharts, connected to interactivebrokers. in the 1st pic with multicharts' quote manager on US stock ACBI, we can see an exchange list: ISLAND, ERCTEDGE, EDGEA, ISE, NYSE, SMART, PSX

2nd pic shows charts opened using specific exchange data. charts with IB's SMART & ISLAND exchange data are almost similar. note the Aug swing high, where bars differ slightly. DRCTEDGE, EDGEA, PSX look more illiquid with less prints. ISD & NYSE show no data

my first guess was to use NYSE or NASDAQ exchange data, but im obviously missing something here. appreciate any advice from seasoned stock traders :)

pic 1 - ib exchange list.png


pic 2 - ib acbi.png
 
Last edited:
Oh, I think you are mixing lots of things here. I don't use historical data so can't help you there. I think you are confusing listing exchange with where the trade occurred. For example, AAPL is listed on NASDAQ. When you send your order, you can specify SMART, which means you want IB to decide where to send the order. Let's say IB decides to send to IEX, the execution (time and sales) will have the code to indicate that. IBM is listed on NYSE, but can be traded on many different venues as well. But /ES Futures, in contrast, can only be traded on CME. That's why US Equities market is refereed to as fragmented .... Many places to send/route your orders. Hope it clears some things.
 
You must log in or register to reply here.
Back
Top