IB backfill - you get what you paid for?

Discussion in 'Retail Brokers' started by 4XIS4U, Feb 21, 2007.

  1. 4XIS4U

    4XIS4U

    I've decided to sign up with all the major datafeeds out there (mostly on trial) but I'm paying exchange fees... just for fun!

    Here's what I found in my preliminary 5 minutes analysis.


    Please note that I AM NOT associated with any of these companies... this is for my own benefit...
     
  2. 4XIS4U

    4XIS4U

    HPQ on IB and IQFeed
     
  3. 4XIS4U

    4XIS4U

    HPQ - IB and Tradestation
     
  4. 4XIS4U

    4XIS4U

    ER2 - IB and Tradestation
     
  5. 4XIS4U

    4XIS4U

    ER2 - IB and eSignal
     
  6. IB is Time-Slice, not Tick Feed...
     
  7. that is correct. down to the 30 second level (on backfill , which is what we are discussing here), IB data is about as clean as most other vendors.

    also, it is dependant on whether you are filtering or not your backfill which can account for why SEVERAL datafeeds had that spike downwards and some didn't

    IB does NOT allow backfilling of tick data. i keep my feed on 24/7 to compile it, so it's irrelevant to me (in the index futures), but if you are desiring to backfill tick data, you will need another datafeed

    my main gripe with IB, and i love IB btw, is that they do not have datafeed for CBOE putcall.

    that's a serious missing element
     
  8. also, IB does chunk data if it comes too fast. this is not necessarily bad because most other datafeeds will LAG because they are trying to compile each individual fill and the market moves too fast . in this respect, imo, IB is actually superior. like if u are trading FOMC (although today was pretty tame), you'd much rather have chunked data, than lagging data
     
  9. 4XIS4U

    4XIS4U

    I'm aware of IB's chunking process but my question is should the spikes still be there - as my example of HPQ? What does chunking have to do with incorrect trading prices?
     

  10. IB doesn't (as yet) filter out bad ticks. I think its being worked on though as per feature poll.
     
    #10     Feb 21, 2007