Chart Rounding

Discussion in 'Order Execution' started by Zanatos, Sep 1, 2007.

  1. Zanatos


    Using IB's chart program, and all other brokers that I know of, the candlesticks on the chart, specifically the high and lows are often inaccurate by 1-5 ticks, depending on contract traded, and if the candle was a high volume spike or not. The chart seems to round the candlesticks, shaving off the some trades, however, this only happens on probably 5% of all candles on the chart or less, so its very hard to account for in ones trading, especially when using tight stops...As sometimes you will make the trade on the chart, however, you find out that you got stopped out, and looking at the T&S, there indeed was a few trades that traded at that price point, but it doesn't show up on the chart. This "rounding" occurs whether looking at a high timeframe, or right down to a tick by tick chart, it still will leave out the lowest/highest ticks sometimes.

    When putting the data feed into a program like Sierra Charts, it is the same problem. So, does anyone know of a charting program that will accurately (precisely) reflect the datafeed? Its a ridiculous problem and has always baffled me why the charts don't display accurate data.
  2. galiano


    You describe the well known problem with IB's data. IB data is not tick by tick. It is sampled data updated only a few times each second. Extremes, highs and lows, may or may not have occured at the exact moment of the sample.

    Also my understanding, IB does have a real tick by tick feed. Only few charting programs use it. Sierrachart is one that does use it. There is some setting to specify use of the tick by tick feed. Look at the Sierrachart forum for details.

  3. Zanatos


    Thanks for the reply, though, I think there is more of a problem then delayed sample data, because, sometimes the prints on the TS history (which is given by IB and timestamped), won't show up on the chart ANYWHERE, which is to say, that its not delayed, it simply just doesn't show up....we know IB does have the data, as it lists it in the TS history at the correct time, just for some reason, the data stream doesn't get passed on accurately to the charting programs. Which is to say it is cutting out data, and not just simply delaying it. As for Sierra charts, which I do use, it is set to tick by tick (not time adjustment) as far as I know...

    What would really be helpful is if someone from IB could comment on this, and why IB doesn't fix this ridiculous problem....