Historical Tick Data: IB vs. OpenTick ?

Discussion in 'Data Sets and Feeds' started by gvanto, Nov 19, 2008.

  1. gvanto


    Hey guys,

    I am trying to set up a backtesting framework and need some reliable, historical tick-data
    for various instruments including European (french, german and Eurex) futures, US futures, Australian futures, commodities and currencies.

    For trading, we will be using IB, so our options for getting historical data are:
    1) IB

    My queries about both is: are they truly tick data? (i heard somewhere that
    IB is only 5sec bars - which is weird since trading it would require true tick data, right?)

    Is OpenTick completely free? How does it compare to IB in terms of quality/ease-of-use ?

    Is there a better way of getting highly accurate historical tick data?

    Any advice much appreciated!
  2. If you want reliable historical tick data you have to purchase it.

    In realtime IB provides snapshot data every 100 to 300 milliseconds. High frequency IB backfill is 5 second bars.

    Opentick data is free, but not the highest quality.
  3. gvanto


    thanks much jeb999,

    Any suggestions for a reliable historical tick data supplier?

    What I'm also wondering is whether I can use the IB API to log live prices and store these
    for future backtesting purposes. Presumably live data coming from IB is true tick data? (else trading wouldn't be very accurate).

    Given that the above holds true, I guess the question would then be how many securities can be tracked (live) via the API, simultaneously?
  4. No its not.

    IB's normal data has a granularity of around 100ms. No more than 10 ticks per second in other words.

    I believe you can take esignal data thru the latest TWS ... that would be true tick data should you need/want it.
  5. gvanto


    For OpenTick, Can I ask what you mean with 'not the highest' quality? In what way is it bad?

    I'd be more than happy to purchase reliable historical tick data. Have you done so, and if yes, where from?

  6. gvanto


    Hey thanks, that's really good to know.

    OK so live, IB tick data can be stored at a max rate of 10ticks/sec (not too bad, if you're doing only one security).

    I guess purchasing historical tick data would be a better bet for historical backtesting. If OpenTick's quality's not too bad, I'm thinking could be a good option (weird on the site they mention exchange fees, but its advertised as free).

  7. Some options for historical data:

    IB provides data down to 1 second intervals. If you are receiving the live feed then it is about 10 times per second (but the data itself does not have a timestamp unless they changed this very recently). And the 100 ms snapshots may miss the true high/low of a period.
    For downloading the data from IB I know of two apps, jTWSDump and IBCollector (you can find more info on them on the IB Bulletin boards).

    For tick data you can get 6 months worth free with tradestation (you pay for the platform or make 10 futures trades per month with them). You can get tick data as well from quite a few sources. One of the cheaper options is disktrading.com. CQG is supposed to be the best, but you'll end up giving them one arm and two legs for the data.

    Edit: Opentick provides historical data for free -- if you want a real-time feed from them then you need to pay the exchange fees -- but I don't think they are accepting new users (so I've heard)
  8. I have an account with Opentick and it dosen't work at all. I think they are closing up.
  9. gvanto


    Thanks alot SideShowBob, very helpful stuff. I am actually subscribed to TradeStation, just need to download and install it ! Then will get some historical tick data from there.
    Thanks again for the help!
  10. A data feed to consider is barchart.com I needed a reliable datafeed for Ninja and it works for me.

    Also, I think mister doodi is right - I had an OpenTick account then cancelled due to reliability issues. I went back about six months later and their site said they were "updating their infrastructure" to use their quote. They said they would notify when they were ready.

    As mister doodi said, they are probably closing up.

    *** A request - Please, I don't work for nor do I care to work for Barchart so I'm not a shill! Don't bash me. I've been on Elite Trader for a week now (I actually found it doing a google search on a trading system I received marketing material about). A user asked about a trading system which I currently use and I gave an unbiased opinion about it both the good and bad then - WHAM - in two days I was labeled a shill, cursed at and all I did was give a review. WOW! I thought ET would be a place to share ideas, but I'm actually a little fearful of posting here.

    So that being said - I don't care if you try or use Barchart, they are a data provider, I needed one and they work for me. If you find a better one I will listen and respect your post.
    #10     Dec 6, 2008