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Kirkx

Registered: Nov 2010
Posts: 66

08-12-12 02:04 AM

You can get accurate IB volume data, but only if you use 5 second snapshot feed. This is called by IB "true data" feed and requires adding -TD to the regular "real time" symbol:

ES-201209-GLOBEX
ES-201209-GLOBEX-TD

This is the symbol format required when you use any third party charting platform (they all connect to IB through TWS API). I don't know how to get "true data" from the native charts in TWS, I never use them.

One minute "true data" probably goes back one year. Somebody else would need to confirm this, as I never load more than a few minutes of data from IB (I load all backfill data from other sources, convert to IB symbol format, and then connect to IB feed).

With some charting packages you can actually combine "real time data" with "true data". Here is some more info about this from SierraChart forums:

http://www.sierrachart.com/supportb...ead.php?t=37906

http://www.sierrachart.com/supportb...ead.php?t=37753

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vicirek

Registered: Dec 2011
Posts: 365

08-12-12 03:05 AM

IB provides historical bars only starting at 1 second interval. Database goes back 1 year for 1 minute data and up to 6 months back for more detailed historical bars. Most current information is available online. See their API/TWS reference guide. Since I use only API I do not know how this information relates to their own TWS platform but I would assume it is the same.

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braincell

Registered: Jul 2011
Posts: 538

08-12-12 03:59 PM

That's right, IB to my knowledge doesn't provide real tick data. If you want to use what others have recommended here, you will run into a lot of walls. I strongly recommend you get a data feed separately, and only use IB for execution. They have always had very weak data, they're practically known for it.

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cdcaveman

Registered: Aug 2011
Posts: 3514

08-12-12 07:10 PM

what types of trading does this kind of detail make a difference? scapling ? i trade options and i don't even day trade them.. don't get me wrong i care about the details.. i'm just curious...

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NetTecture

Registered: Mar 2009
Posts: 1010

08-12-12 07:49 PM

Quote from cdcaveman:

what types of trading does this kind of detail make a difference? scapling ? i trade options and i don't even day trade them.. don't get me wrong i care about the details.. i'm just curious...

Not traiding, but indicators.

Stuff like "Trades per second". Stuff like volume analysis.

Any strategy doing tick by tick evaluation, for example trailing stops.

MOST of the time it makes no difference. Sometimes markets go crazy. Then it can be a HUGH advantage to be OUT NOW, not 115 ms later.

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Kirkx

Registered: Nov 2010
Posts: 66

08-12-12 10:48 PM

cdcaveman: what types of trading does this kind of detail make a difference, scalping? I trade options and i don't even day trade them

Yes, scalping or daytrading short time frames, when you often make 100 trades during RTH. If you look at user forums of some charting packages, like SierraChart or (probably) Ninja Trader, you will see mostly everyone talking about tick charts, number bars, tpo volume profile, bid volume / ask volume analysis, delta divergence, etc.

If you only trade option spreads then you don't really need tick data and all that staff, unless you are looking to improve legging-in into the wings of your condors, butterflies, and the like.

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