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the tick charts of esignal and IB tws
- Thread starter robinxing
- Start date
This material has been gone over many times on ET. Do a search.
IB does not report every trade and does not claim to do so. Sometimes it is referred to as a "Snapshot feed". Maximum updates is 3 - 4 per second.
The advantage of the IB approach is that it is more timely in fast markets. The disadvantage is that you don't get every trade individually reported.
Many people find IB perfectly adequate for their requirements. Some want a full tick feed. In that case look for true tick feed.
IB does not report every trade and does not claim to do so. Sometimes it is referred to as a "Snapshot feed". Maximum updates is 3 - 4 per second.
The advantage of the IB approach is that it is more timely in fast markets. The disadvantage is that you don't get every trade individually reported.
Many people find IB perfectly adequate for their requirements. Some want a full tick feed. In that case look for true tick feed.
Quote from robinxing:
dcraig
I know the IB data is a snapshot
but I do not know why IB data looks much smoother than esignal
I think smooth tick chart makes the TA much easier
It's likely to look smoother, simply because it is sampled in some way. Without knowing the exact details of how they do it, it's difficult to really say anything more about this.
One way of thinking about IB data is that it was originally intended for the quote pages on TWS, which look something like a spreadsheet. So data is transmitted only when a field changes - for example if LAST_SIZE field changes, the new value is sent. The transmission of changes is capped by a maximum data rate. I suspect the use for charting came a little later.
Quote from robinxing:
dcraig
I know the IB data is a snapshot
but I do not know why IB data looks much smoother than esignal
I think smooth tick chart makes the TA much easier
Ok, so if you think deleting part of the data makes the markets easier to read then just whose trades are you going to omit as irrelevant?
That makes as much sense as leaving half the ingredients to creme broulee in the fridge and having the end product taste the same.
If you want smooth charts move to volume bar chars and kick the inconsistent tick charts to the curb.