Best Way to collect IB tick data?

Discussion in 'Data Sets and Feeds' started by FanOfFridays, Dec 18, 2007.

  1. Privateers

    I use Amibroker as a charting package, and IB data feeds it all right. I want to start building a library of tick data since; every time I close AB my tick charts obviously stop getting filled in.

    Does anyone know if it's possible to use a piece of software (something that doesn't cost a grand) to collect IB tick data and then make it available to Amibroker as CSV files? Maybe there a way to do it which doesn't involve CSV files?

    Basically I just want to know how guys go about building historical tick charts using the IB feed. I realize that IB isn't exactly an enterprise level tick feed, but I don't trade off of tick charts as yet, just want to do some testing.

    Hopefully someone will say QuoteTracker...
  2. You can do it with Sierra Chart.
  3. AB will backfill a tick chart for up to 2 days with IB data feed.

    I believe those are the limits imposed by IB. I may be wrong. If you trade daily, it should not be a problem.
  4. Ensign works well with IB. You get free historical data from DTN. Ensign will connect automatically even with front end software already running. It is $40/month. Never had an issue.
  5. IB does not have true tick data. IB aggregates their tick data. this has been endlessly discussed and verified.

    i use several brokers. i use IB as my primary BROKER, since i get 3.06 r/t for YM

    i do not use it as my TICK data though because it is aggregated. tradestation, for instance, is not.

    there are advantages and disadvantages to aggregation (TS tends to stick and/or lag in a really fast market, for instance), but it is what it is.

    if i want to know exactly how many trades occurred at bid vs. ask for instance in the last 5 minutes on YM, IB cannot tell me that. TS can.

    this is why, for instance, if you use marketdelta, they make that clear - if you use IB as a datafeed, you are not getting accurate T/S info.
  6. Correct ... IB will send a packet every 100-250ms (not sure what the minimums are) but it still provides "effective" tick data if not tick by tick data.

    Sierra Chart can collect 30 second data a year or more back. Note that Sierra Chart stores in a compressed format but can export CSV files which I believe is what the OP needs.
  7. it's only "effective" depending on what you need.

    it will make zero difference in a time chart of the dow.

    otoh, if i need data on relative size of contracts and/or contracts traded at bid vs. ask during a given timeframe, it is NOT effective.

    like i said, there's advantages and disadvantages to aggregation. but just to clarify, it is NOT true tick data. sufficient for some needs, not for others.
  8. Bob111


    speaking about IB "tick data"-i tried to collect it few weeks ago, using my own app and results are very interesting...
    the data, received via API did not match T&S data from IB charts. did not match at all. Sometimes there is more ticks collected via API,than shown in T&S, sometimes-opposite.
    but wait. there is more!
    Sometimes data from IB charts T&S window did not match actual L1 quotes in your TWS! i just saw it today, when price did get close to my order on not very active stock. at some point on L1 in TWS-there is my order shown at the bid and it was there for while. never got filled, but when i opened T&S few minutes later-i can't find those quotes..

    Question to IB users-how often you been in situation, when you sold your shares at the bid, and at this very moment bid is became higher by 1-2-3 cents? right after you sold your shares?
    and most of those trades executed...let me guess..... at IDEAL?
    just curious..
  9. Are you trying to make yourself sound like a dickhead???? or is that a small dick head?

    IDEAL is for tiny forex transactions.
    #10     Dec 19, 2007