Time & sales

[jimmy s]

Quote from jimmy s:

true, but does this mean that your tape only gets updated in snapshots or that your tape only gets snapshots of all the trades?

update (with thanks to Hoi)

http://www.elitetrader.com/vb/showthread.php?s=&threadid=53426&perpage=6&pagenumber=1

http://www.elitetrader.com/vb/showt...194&perpage=6&highlight=snapshot&pagenumber=1

I have gotten a bit more insight here.

Could an IB representative confirm that following:
the on average 4 snapshots a second data and 5 second bar adjustment every 5 seconds is still the structure of the feed

http://www.dacharts.com/faq/Comparable-tick-charts-by-feed.htm
the 3 to 1 ratio is still valid.

http://www.dacharts.org/archives/Ensign_Wed_class_transcripts/Comparison_of_ticks_by_data_feed.htm
that bundeling of volume at a price happens in a snapshot ( by whom is not important)

Could someone confirm that these statements are correct:

e-signal gives all the ticks (no information is 'bundeld') but a delay is possible. so FIFO without bundeling.

IB gives adjusted and bundeld (volume gets agregated) real time snapshots.


Isn't the best option then:
( as Hoi states) 'I do not know what you need as trader, but I want to launch my trade on the current presentation (max .25 secs ago), than enter my trade based on a 10 second ago presentation of a streaming-provider.'
or
I do my analyzes on the fifo feed and enter on the snapshot feed

(if this is saying the same then i did not understand the difference between launch and enter.
launch= finding an entry point based on analyzes.
enter= getting filled).

so if you want to see who's buying/selling (if you accept the notion that size of a trade can indicate the 'power' of a market participant) you need a FIFO feed.
If you want to see price as real time as possible you need a snapshot feed.

that's a bunch of stuff to think about

jimmy s

 

[spindr0]

IB imposes a limit on the number of quotes that you can request and it's the sum of those in the platform as well as those requested by the DDE/Excel connection. Is there any non IB software that will pull the quotes from IB (into Excel) so that I can drop DDE and use my full quota of quotes in the platform? TIA

 

[turdlehead]

Quote from jficquette:

Your wasting your time with T&S data. Dead end street.

Clarify: waste of time with IB's T&S data.

As previously hinted, IB feed is a snapshot. Only trades that occur between snapshots are sent. Trades that occur on or during the snapshot are lost (until eod?), which may or may not be important to your methods and systems. I have heard IB does have a real-time feed. Others would be more knowledgeable about IBs feed offerings.

As for T&S being a dead end street, think again: T&S is one of the last data sets remaining without games. T&S reports the real deal, literally. Although, in applicable markets, T&S will not report block trades.

 

[Don87109]

Quote from spindr0:

IB imposes a limit on the number of quotes that you can request and it's the sum of those in the platform as well as those requested by the DDE/Excel connection. Is there any non IB software that will pull the quotes from IB (into Excel) so that I can drop DDE and use my full quota of quotes in the platform? TIA

I use YHOO quotes that are automatically obtained via an Excel web query.

Works pretty good. I think I get their 15min delayed quotes, but it may be possible to get their real time pricing (I never tried). Also, I submit a query every 5 minutes; if you need it more frequently I imagine it's possible. Although I suspect YHOO may object if you query to often.

I don't think I would use YHOO for option quotes as they are notoriously unreliable.

Excel can also query many other sites if you desire.

Don

 

[spindr0]

Quote from Don87109:

I use YHOO quotes that are automatically obtained via an Excel web query. Works pretty good. I think I get their 15min delayed quotes, but it may be possible to get their real time pricing (I never tried).

Hey Don,

Yahoo is about as reliable as their option BB content

I'm looking for a 3rd party software that will pull real time quotes from IB into Excel. Their quote limit has devastated my set up and I need an alternative.

I suppose that I could subscribe to a 3rd party data feed but that doesn't make a lotta sense to me since I have that with IB. So my wish list would be at worst, buying some software that does it.

Spin

 

[Don87109]

Quote from spindr0:

Hey Don,

Yahoo is about as reliable as their option BB content

I'm looking for a 3rd party software that will pull real time quotes from IB into Excel. Their quote limit has devastated my set up and I need an alternative.

I suppose that I could subscribe to a 3rd party data feed but that doesn't make a lotta sense to me since I have that with IB. So my wish list would be at worst, buying some software that does it.

Spin

Actually I have pretty good success with the YHOO stock quotes. Quite a bit better than their BB content (LMAO, BTW).

If you know another site that has the data you need, Excel can probably work with that as well.

Another IB account might provide what you need, but I'll bet you already thought of that.

Third party sfw sounds attractive if it exists. This might also eliminate the need for the IB DDE which, as you know, can be problematic at times.

Good luck,

Don

 

[spindr0]

Quote from Don87109:

Actually I have pretty good success with the YHOO stock quotes. Quite a bit better than their BB content (LMAO, BTW).

LOLOLOL, yep.

Another IB account might provide what you need, but I'll bet you already thought of that.

Yep, I thot of that but it doesn't make life easier because then I need to split the quotes in half and have two Excel spreadsheets open, each linked to the respective accounts. It could/would work but I'd feel like the dancing chicken in the frying pan on the grill

Spin