can I bacfill real tick by tick data from IB tws?

Discussion in 'Data Sets and Feeds' started by robinxing, Mar 21, 2007.

  1. QuoteTracker will show this raw IB data in tick format if you wish, or as "normal" time-sliced bar data. As others have pointed out, this data isn't true tick data, so just be cautious.

    Real tick data will cost ya.
     
    #11     Mar 21, 2007
  2. The OP wants historical tick data. I agree that the streaming real time data will suit most purposes, but the shortest time frame for historical data is something like 5 seconds which is not good enough.
     
    #12     Mar 21, 2007
  3. Actually 1 second bars
     
    #13     Mar 21, 2007
  4. You do not want to rely on backfill from IB's TWS...
     
    #14     Mar 21, 2007

  5. yes you r right

    I can not rely on the data backfilled from IB tws
     
    #15     Mar 21, 2007
  6. This is extremely dangerous advice.

    IB date is not suitable for modeling. To be fair, IB does not
    claim that it is. IB realtime data is indicative only, IB does
    not warranty accuracy, completeness, nor timeliness.

    Today was a good example of the quality of IB tick data --
    there were inverted/crossed quotes all over the place,
    persisting for nearly an hour. And these weren't merely
    a few stuck or stale quotes, these were, for example,
    QQQQ offers 20 cents below the real market, updating
    like mad, just 20 cents off.

    .
     
    #16     Mar 22, 2007
  7. You seem to be confusing one stuffed up day with the general advice. The US servers really seem to be getting a hammering at present (whereas asia and I think europe have been fine). Hopefully cscott will finally leave IB and with the reduced load all the US server problems will go away. The upgrades discussed will also help. :)

    Given that the nature of a tick chart (or vol chart) is to spread the bars when activity is high which some find improves their read of the situation then this will apply whether sampled at 200ms or not. It will spread less because during times of high activity you are more likely to get multiple ticks in 200ms but it still spreads. The 70% of esignal tick numbers still seems to apply but should be tested by the trader.

    Like everything in trading its up to the individual to test their theories and prove that they work ....
     
    #17     Mar 22, 2007
  8. I hope IB can offer tick data backfill service

    I need reliable tick data of HKFE for backtesting
     
    #18     Mar 22, 2007
  9. You need to find an alternative data provider then. The Sierra Chart data providers page includes some that provide tick data for hkfe.
     
    #19     Mar 22, 2007
  10. Chriz

    Chriz

    As mentioned earlier, the smallest time frame available for backfill is one second.
     
    #20     Mar 23, 2007