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When people say IB real time data is snapshoted, what do they mean?
- Thread starter mizhael
- Start date
I believe they are referring to fact that IB's data is sampled. (or many snapshots for data, rather than the continous stream of data).
A full time and sales stream means you get every trade, and every bid/ask update when the market is open...
but a snapshot means they are only giving you say every 5th trade, so you miss a lot of information.
If you have to ask the question it probably doesn't make a difference to you... but it's something to be aware of.
A full time and sales stream means you get every trade, and every bid/ask update when the market is open...
but a snapshot means they are only giving you say every 5th trade, so you miss a lot of information.
If you have to ask the question it probably doesn't make a difference to you... but it's something to be aware of.
Quote from tradelink:
I believe they are referring to fact that IB's data is sampled. (or many snapshots for data, rather than the continous stream of data).
A full time and sales stream means you get every trade, and every bid/ask update when the market is open...
but a snapshot means they are only giving you say every 5th trade, so you miss a lot of information.
If you have to ask the question it probably doesn't make a difference to you... but it's something to be aware of.
Hi, are you the developer of tradelink?
Does tradelink handle order book market depth info and times and sales info?
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I've heard that TradeStation has the real streaming data... am I right?
IB aggregates the tick data and sends it out every few milliseconds. I have seen comments that this allows them to not lag markets in times of extreme activity, not sure at this point, the only way to know would be to get a very high quality feed and make a direct comparison. Also I wonder what the time stamped on the data could be, it can't be your computer time, I think I've seen comments indicating that IB puts their own time stamps on data when they get it from the exchanges.. we just have to trust them to not have a big latency to the exchange servers...