jtnet, there are strategies that are traded off tick charts, for example 600 ticks chart. If one doesn't have an access to a true tick data feed these charts, and the indicators on them, give wrong signals, MAs don't align, all the calculations are wrong... Still another issue is to try reading the tape with IB data. J
For jnet. No that is not correct. Now, understand me, I love IB and I actually use their tick data (you just have to develop your own analysis knowing how it differs). IB live data on minute charts does not give exactly the same results sadly. The reason for this is that those 200ms samples miss the odd transaction because they show the last price for the 200ms. And if that transaction's price is the high or low for your 3m or 5m or whatever length bar then the bar is wrong. With hsi this used to happen 2 or 3 times a day. I'd expect similar results on an active us futures contract but not on something relatively slow. Having noted that other market participants care about the break of bars on some timeframes I wanted to know whether or not a bar had been broken ... which live data wouldn't tell me (although backfill does). So, I generated a campaign to try to get ib to include h&l for every data point they sent. Sadly they didn't but they did create a new data feed called 5-second data (which i do and will call true data). 1. How do you get it. Your charting platform has to request it over the api. Sierrachart does and I wrote a dll thats now pretty well used that combines true and live data to give "truelive data" that is fully responsive and also accurate. 2. Yes. It's requestable on the api from tws. 3. I don't think anyone else does it because they haven't thought about why its important. It may also be hard for some of them to do it --- SC's data model makes it reasonably easy. I have to say that ib tick data is ok for what you normally use tick data for --- but it is not the same as others because it has a min granularity of 200ms. Why is it ok? Because tick charts are used because tick and volume charts both spread the action out over more bars when things get bizzy. So in a breakout you can see and trade retracements that don't show up on minute bars. This does work with ib data too. Its only a problem if you are trying to trade someone elses strategy or this is not why you want tick charts instead of time charts.
I made today a confrontation between 4 feeds: DTN.IQ, IB, ZEN and PhotonTrader (TT?) I looked only, how fast price changes were trasmitted. And surprise, surprise, IB was mostly the fastest. DTN was the slowest (esp. on EUREX). IB does not send every tick (but also Photon does not it seems ) but the important thing, the changes in price are faster on your charts.... Looking at ticks, ZEN is without doubt the best.