Def, is this correct?

Discussion in 'Automated Trading' started by quannabe, Apr 2, 2008.

  1. quannabe

    quannabe

    I recently emailed IB with a simple question, and the answer seems a bit inferior for a broker with a reputation of having the "cutting edge".

    Question: Using either the C++, socket client to Java, or DDE API; how would one determine if the last trade or bid requested was at an uptick or downtick?

    Answer:
    Hello There,

    Unfortunately, there is no indicator that the last trade was uptick or downtick.
    Raymund

    IB Technical Support

    ********************
    If anyone has evidence to the contrary, I'm 'all ears.'
     
  2. rwk

    rwk

    That is my understanding too. IB uses a sampled data stream that does not include every tick. This minimizes the delay between the tick and the arrival of data in your computer. There are data streams that do include every tick, but they have delays that can be substantial at times. It doesn't appear feasible to have every tick with no delay, especially delivered via the Internet.
     
  3. quannabe

    quannabe

    ******************

    So, the green to red, and red to green color changes on the Quote Page are from a sampled data stream? Not suggesting a delivery of every tick, but the calc must be taking place on some server hence the color changes we observe live. Why isn't there a simple DDE qualifier for "TradeTick". Heck, wasn't this calc mandatory before the tick test rule was repealed? The data is outputting somewhere.
     
  4. def

    def Interactive Brokers

    I'm not familiar with the API coding so I can't provide much info on that. However, the internal servers do receive every tick and will automatically flag short sales and obey the uptick rules.
     
  5. quannabe

    quannabe

    ****************************************************

    I am constructing an API generated trade, so the reason I need it has nothing to do with past or future uptick rules. Please make the suggestion to programming that a qualifier for this or a global variable is needed. As you mentioned, IB's servers are already calculating it.

    Thanks!
     
  6. from experience, expecting superior data from exectuion brokers, is inferior behavior.
     
  7. miro

    miro

    Try Ninja trader with Zen Fire. The data feed is superior. It is raw data and the only people who experience delays are people with Maxed out pc's or slow internet connection. As far as i know there are two brokers who offer the Zen Fire Feed and they are Mirus and AMP. I have looked at both and in my opinion I think AMP is a better brokerage.