IB and Times and Sales

Discussion in 'Order Execution' started by carltonp, Sep 13, 2011.

  1. Hello Traders,

    I think its common knowledge that IB's Times and Sales date is very unreliable and inaccurate due to IB aggregating its data.

    However, having said that isn't there some value in the length of time that a price pauses and the number of bids / asks that takes place during the pause?

    Let me give you an example. Yesterday at 3:21:39 to 3:21:59 EST the price for YM stagnated at 10793 for 20 seconds.

    Now, some of you might say there could have been a problem with my connection or IB just screwed up. However, I recorded the Time and Sales at that time and recorded that at least 10 transactions took place between Bid/Ask (I will submit a snapshot if you're interested).

    My question to the forum is this. Even though IB's T&S may be inadequate isn't there some value in observing that for 20 seconds the price paused while there were a number of bid/ask occurring?

    After the pause the price did the following... 10790, 10791, 10792, 10796, 10795, paused again at 10793, this time for 8 seconds (3:22:13 to 3:22:21) and then did the following 10796 and never stopped going up way beyond 10809.

    OK, I'm going to be totally straight with you ..... I don't want to pay a realtime data-provider close to £150 just for time and sales data! I thought I would get that out there as I'm sure some of you will say why don't I sign up to Esignal or IQFeed.

    I made a few calls here in the UK and they can't/won't provide just the datafeed for YM without all the bells and whistles which bumps up the price.

    IB, provides T&S but its not accurate, but I'm trying to gauge if there are ways that it can be utilised.

    You're comments will be well recieved.


  2. Post a chart of the bid/ask from 3:20:00 - 3:25:00
  3. Can you differentiate between 'price' and 'bid/ask'? Are you calling the last trade the price?
  4. Dont really use charts. However, if you look at the times and price 10973 you'll see the bid/ask that occurred during the 20 second interval.

  5. Price being the last price posted on the exchange, bid being the market selling price, ask being the market buying price.

    So if I see Ask on T&S of 10793 and a Ask Size of 20, I believe the market is telling me that at this moment in time the the price the market is willing to pay for YM is 10973 and at that price 20 have been bought.

    Conversely, if I see Bid on T&S at 10973 and a Bid Size of 20, I believe the market is telling me that at this moment in time price the market is willing to sell YM is 10973 and at that price 20 contracts have been sold.

    Are those statements correct?

  6. What format are you recording the T&S in? csv?

    So, price = last trade.

    And I think you have bid/ask backwards. Ask is where market is willing to sell, bid is where market is willing to buy. The corresponding volumes are the available liquidity at those levels.
  7. Hi, what I wrote is taken directly from the following link.

  8. It's recorded in avi format, using an application called Camtasia

  9. Ambiguity aside, what I said is still correct. The current bid is what 'the market' is willing to pay for a security (not where they're willing to sell it). The current ask is where 'the market' is willing to sell a security (not where they're willing to buy it).

    Bid / Ask
    10790 / 10795

    The last trade is not the live price of the security. The last trade is simply that, the last trade. The live price for someone who wants to buy is the offer (because they would have to pay 10795 to open a position). The live price for someone wishing to sell is the bid (because they would receive the bid proceeds).
  10. I believe their data is exactly what they claim it to be, OK for some methods/styles of trading unusable for others.

    OKaaaaay ........ Maybe this is one of those methods/styles.

    Trying to read a DOM or T&S tape and attempting to trade that data with IB's (or anyone's) aggregated data is IMO, similar to trying to catch a fart with a butterfly net. If your interest lies in trades/data made at this granular level of price, volume and time ,,,, I suggest you get the proper tools you need.


    This is from the T&S Data posted on the CME Group website, (the one that counts)!
    #10     Sep 13, 2011