Thank you again for very informative posts. In that case ticks stamped with the same second should at least arrive in sequence. For some strategies that should be ok considering that this is internet data delivery which by definition is delayed by up to 1 second from the moment of actual trade to the time it shows on my screen. Strategy has to be tailored to the data delivery quality because beyond that data is becoming extremely expensive. I am actually looking for better set of historical data since IB is only good for half year to 1 year worth of bar data and IQ Feed claims to provide more or less 5 years of data depending what is being requested. I also want better alternative to IB sampled data stream. AT is cheaper and with no developer fee but offer 2-3 years of historical data. Also API quality is important and you have mentioned that IQ Feed API is well documented.
I recently switched off of IQFeed, but I want to say a few words in defense of IQFeed. IQFeed has latency, but I made thousands of dollars against the market using IQFeed trying to trade off of market microstructure events. It is not going to put you in the same league as the big boys, but it is by far the most cost effective retail and low-end prop trader feed software out there. The feeds I switched to have lower latency, but I kept my IQFeed subscription because of how easy it is to use free tools to examine historical data.
@clearinghouse are you trading from linux? and whats your current stack anyway (purely out of curiousity)?
I have used IQFeed from both Linux and Windows. I used to trade with IQFeed+Linux, but now I just use IQFeed+Linux to record data during the day. For actual trading, I have been using Sterling Pro. I have around 1-ms ping to their data, so I made changes and fed their feed inputs into my algo instead. I tend to think the data quality from Sterling is not as good as IQFeed, because there's some aggregation going on in Sterling I think (not 100% sure). IQFeed provides "true" data where it propagates every single change on every single regional exchange and gives you all the trades from the consolidated tape as well. The only issue I really ran into with IQFeed was when the market moved fast. If someone did an ISO order, for example, and swept the market very quickly, there would be a few seconds where IQFeed would lag. The market would make its move in maybe 20milliseconds or less, but IQFeed wouldn't catch up to the true market state for 60-100ms (I am including network latency), plus you have the added burden of parsing strings in their wonky text-based protocol. You'd think 60-100ms wouldn't make a difference, but if you are layering the book with orders and your view of the inside is wrong, what you think a back level is might be actually the NBBO and you'll get executed unless you hardcode precautions into your algorithm to avoid getting hurt by the latency. However, if your algorithm is one where you are removing liquidity and you are okay with mild slippage, IQFeed will more than do the job. It's a good product for the price, honestly. Just don't expect to be top of queue and hitting the top rebate tiers because you're rocking IQFeed.
one more question to OP or anyone who are dealing with historical data-do you know any provider,where i can get full historical tick data via API? i mean-all changes for a stock. price,size,trade-i need all fields pretty much like it presented in IB's time and sales. Thank you!
ActiveTick, NASDAQ Data-On-Demand and probably a dozen of other more expensive providers. Btw, NASDAQ Data-On-Demand does not appear to do anything with NASDAQ and is provided by some company in CA, having a bunch of other "On-Deman"-named services... They never replied to e-mail, had to call them in order to cancel my subscription.
I'm not well up with all the technical terms but has anyone else noticed that IB charts only show the mid-point/price of the first and last trade of any one second?? I think that's pretty terrible. I'm assuming other 3rd party software shows more/all mids even intra-second? Any suggestions?? Thanks. J
Was I wrong about that... IB's data is seriously lacking, volumes/time period are far different than a data feed based on an exchange.
Can you provide more details about what your exchange feed is, how you're comparing and whether the stock is high/mid/low volume? I did spot comparison of my own recorded IB ticks (RT_VOLUME) against the tick history from ActiveTick for some mid-volume stocks and IB ticks were actually "close enough" to both AT history and to what IB shows as Time & Sales.