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trader12

Registered: Mar 2012
Posts: 48

08-10-12 12:42 PM

eSignal provides 2 weeks of Tick data on e minis & other futures.

Does IB provide any historical tick data & if yes, how many days ?

Thanks

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Laissez Faire

Registered: Sep 2010
Posts: 4153

08-10-12 01:47 PM

Is there any reason you can`t ask IB this?

Would you rather get ten different opinions here or hear the facts straight from the horse`s mouth?

IB does not offer true tick data. That may be my opinion or a fact. Since it is my opinion, it is a fact, but you don`t know that.

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trader12

Registered: Mar 2012
Posts: 48

08-10-12 02:07 PM

Quote from Laissez Faire:

Is there any reason you can`t ask IB this?

Would you rather get ten different opinions here or hear the facts straight from the horse`s mouth?

IB does not offer true tick data. That may be my opinion or a fact. Since it is my opinion, it is a fact, but you don`t know that.

I did & sales guy didn't know & said he would get back to me but then this forum has pros like you who actually trade the markets & know better.

Also they aren't going to tell me if they don't offer true tick data.

So what kind of tick data do they offer & how do you trade with their untrue tick data ?

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Engine99

Registered: Jul 2007
Posts: 266

08-10-12 05:47 PM

I don't think you can get any tick data from IB.

IB samples the current bid/ask/last and will send you updates when you trade real time (I think about 3-5 per second) but if there's a major downtick (e.g. Flash Crash) you won't get all the individual ticks.
That's the reason why some of the tick based platforms had a tough time during the flash crash (by the time you got the tick it was up to 5 seconds old) and IB worked like a charm during this period.

You can download a year of historical data and you can set the time to 1second candles, that's the best you can do I think.

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Kirkx

Registered: Nov 2010
Posts: 66

08-10-12 11:20 PM

IB only provides snapshot data, officially pegged at 100 ms, which in real life can be a bit more (100 ms means that the snapshot is taken 10 times per second). You simply can't use IB data with any tick based charts. Because of its snapshot nature, IB feed never lags in fast markets.

The best stand alone tick data feed is DTN IQfeed. It didn't lag during the Flash Crash. eSignal, on the other hand, had some lag issues in the past. Some feeds integrated with order entry platforms, like CTS T4 or TT, also offer tick data and don't lag.

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trader12

Registered: Mar 2012
Posts: 48

08-11-12 02:10 PM

How about volume data ?

Can I plot say 1000 Volume or 10 K volume charts for say ES or other minis, European futures & currency futures ?

If yes, how many days of back data they provide ?

I am attaching a chart of 10K volume for emini S&P 500.

It seems they are more smoother than minute charts. Please correct me if I am wrong.

Thanks

emini s&p 500.pdf
This has been downloaded 54 time(s).

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