Does anyone here use IB data to trade index futures using very short-term charts?

Discussion in 'Data Sets and Feeds' started by Thunderdog, Jun 27, 2007.

  1. The reason I ask is that I have been encountering a troubling issue lately. I use Ensign software with IB's data feed. Previously, I had used eSignal for a few years. I was fairly pleased with eSignal, however, I noticed that the feed lagged by up to several seconds during heavy trading, such as immediately following the release of an economic report. After reading related threads here at ET, I decided to give IB a try and was pleasantly surprised -- at first.

    So, for the last year or so, I have been using the Ensign/IB combo. Here's the thing. I noticed that, when I refresh a chart manually (say, ALT+2), the chart changes somewhat. Typically, the O, H, L and/or C might change on one or more price bars. However, sometimes a bar would actually either appear or disappear! I know data vendors cannot provide perfect data. Even when I had used eSignal, I noticed that when I revisited a chart later in the evening, after shutting down and restarting my computer, certain price bars from earlier that day would be altered. The reason it came to my attention is that sometimes, what had been a setup for me in real time, turned out not to be a setup later. (My entry criteria are quite specific, so it's not me.) The thing is that the manual refresh of IB data appears to have been causing more "surprises" lately than in the past. I have addressed this issue at ET previously, but it presently seems to be somewhat more pronounced.

    By way of background, I trade only the e-mini equity index futures and only use a 1-minute chart. Does anyone here find themselves in similar circumstances and, if so, do you have any recommendation that I should consider?
  2. rols


    If you go to data properties (right click on chart)
    and select DTN backfill then go back to chart and select maximum refresh then you get all the historical backfill for free.

    I had a few teething problems with ensign at first but its worth perservering IMO

    Use the Help search feature on the website to find answers to just about any problem.
  3. Thanks for the post. It seems that I had IB selected for the refresh source. As for maximum refresh (ALT+7), I do that occasionally, but not in the midst of trading. For example, although the Ensign/IB combo tracks my 3rd-party order entry platform quite nicely, the chart occasionally might create a small price gap between 1-minute bars. To be on the "safe side," I would do a quick 2-day refresh (ALT+2), and often the character of the recent price bar(s) would change with respect to O, H, L and C. I can't afford to do a maximum refresh seconds before placing an order.

    Is the DTN backfill only for the maximum refresh (that was my understanding), or can it also be used for a quick 1- or 2-day refresh for subscribers using IB as their data source? And do you notice a difference in data quality using the DTN option?
  4. rols


  5. Lucrum


    Also use ensign and IB.

    The last couple of weeks I've noticed a marked difference between what my chart looks like after it's auto refreshed, what it looked like before being refreshed and what it looks like after a manual refresh usually alt+7. Literally three different things.

    It may be it was always like this but for whatever reason I only noticed it recently.

    BTW thanks for the link rols.

    I sent an email to ensign, Howard replied that the auto refresh is IB and the manual is DTN. DTN being delayed data. Howard guessed IB to be the more accurate but it's been my observation that the DTN data, particularly around the RTH open, is probably more accurate. But if you do a manual refresh during market hours you'll have a "hole" in your data/chart. Long story short the ideal seems to be just don't refresh your chart intraday.
    Down side being you can't look at any other charts other than what's on the page you have open now.

    I will probably try un-checking the auto refresh and checking "Preserve existing bars" and see if there is any improvement.

    Any other ideas or comment and I would be all to happy to hear them.
  6. Thanks for the input, guys. I also e-mailed Howard and he suggested it might also be a computer clock thing. I had considered that in the past and use an atomic clock synchronizer to minimize any discrepancy between my computer's clock and the timing of the data that streams into it. Even so, the issue remains. Howard suggested setting my computer clock to the FXCM feed via the Setup/Connection tab and the Setup/Computer tab. In this way, the computer clock would presumably be closer to the IB clock and would not drift too far from the exchange clocks, causing a discrepancy in where the sausage is cut for each price bar. (However, I thought that my Chronos Atomic Clock Synchronizer was supposed to do that.)
  7. First, I have IB selected as my refresh source. The problem with using DTN is that it is delayed.....seems like it's 10-15 minutes. So using DTN to refresh intraday doesn't work.

    I don't "auto-refresh" charts. My opinion is that the data as it comes from IB is more accurate than the refreshed data. So I have "auto-refresh" unchecked.

    In August crude oil (CL) today, there is a gap on the 1 minute, 5 minute, 15 minute, and 30 minute charts intraday charts beginning at 9:30AM CST, at the time that the inventory numbers were announced. Since I don't refresh intraday, those gaps are still intact. Chances are, if I were to refresh any of the charts in question it would fill in the gap. At least that's been my experience. Again, I have more confidence in the data as it comes across at the time than the refreshed data.

    There is no reason to refresh data that I can think of. If you open a chart that you have in your quote page, and you have already set up your intraday charts, you don't need to refresh since the chart has been recording the data all along.

    And by the way, if you "maximum refresh" you will be refreshing from DTN, not IB. I think that will definitely jack up your chart. I've done it mistakenly on crude oil, which DTN is terrible at. I used to refresh crude oil for one week only, since I knew the refresh was coming from IB. What I've found since then however is that you can refresh up to one month and the data source is fine. Maximum on an intraday basis (at least on crude oil) is the worst I've seen....again, from DTN (according to Ensign).

    My solution is to have everything I follow on a quote page. I have all the intraday charts I'm interested in already refreshed on all of those symbols. So that when I click on the symbol, and pull up lets say the 5 minute chart, it has been recording IB data all along, and needs no refresh.

    I only use the refresh on a new symbol. I also track more distance futures contracts well in advance of needing them, so that they have actual IB data without the need for refresh.

  8. Lucrum


    I also use an atomic clock sync program.
    Because of your comment I looked and sure enough there is an 8 second difference between IB's server time and what is supposedly the exact time. That may explain the difference in opening prices between IB and DTN.
  9. Lucrum



    I'm going to try not using the auto refresh. Do you have the Preserve existing bars tab checked?
    And does having the symbol on a quote page mean you can change pages and still not need to refresh a chart?

  10. Thunderdog,

    You are running into the "IB Snapshot data doesn't include all snapshot highs and lows cause its only taken every 200ms" problem.

    1. What timeframe are you charts (because IB are now providing a new true data feed of 5 second bars which is on the latest API so you should get Howard to build an alternate symbol that never needs backfill for each contract).

    2. Only use IB backfill for IB data ... It does have all the highs and lows.

    I use SierraChart rather than ensign and my approach is that as a setup clarifies I hit the refresh button for the last 20 minutes (I also regularly hit the refresh button). This means that the pattern is correct.

    The downside of the 5 second feed is that the bar comes out at the end of 5 seconds. So I will have a long term (my main chart) chart using 5 second data and my short term entry data will still use the normal symbol to show bar breaks etc.
    #10     Jun 27, 2007