IB; Biggest Possible Improvement?

Discussion in 'Interactive Brokers' started by kiwi_trader, Jul 24, 2006.

Should IB include all highs and lows in the data feed?

  1. I'm an IB user and I don't care

    31 vote(s)
  2. I'm an IB user and I really would like improved data

    85 vote(s)
  3. I'm not an IB user and I wouldn't care even if I was

    1 vote(s)
  4. I'm not an IB user but I would want it if I was going to use IB

    6 vote(s)
  1. In this thread the way that IB constructs the data for charting programs is described.

    The downside of this approach is that when each tick is constructed it only includes the last price within the tick period (as low as 1/5th of a second). This means that a prior higher or lower price might occur but be ignored.

    So your highs and lows are suspect for each bar especially if there are a lot of prices printed in a short period. I suspect this problem is biggest with markets like ES and HSI.

    Some solve this problem by using another data feed which IMHO weakens IB's franchise with its customers. I would prefer to see IB improve their data feed. Hence the poll: would you like to see IB's data feed improved to include the highs and lows of each period?

    My suggestion is that the data include another field. If the last price is the only price then thats all thats needed. If its not then the existing price field should include the high and the other field should include the low. The Sierra Chart, QT etc will still need a modification to include the improved data feed but will not be any worse even if they are not "fixed."

    What do others think?

    What does IB think?
  2. bolter



    Great suggestion - an absolute no-brainer!

  3. I think this could be implemented without changing the TWS API at all - just send an extra LAST price event before this LAST price event if HIGH > MAX (previous LAST, this LAST) or LOW < MIN (previous LAST, this LAST). Where HIGH is highest tick since previous LAST etc. If you get my drift.

    Should also send associated SIZE and more importantly VOLUME.

    Apps should not need to be changed. It's not perfect as high or low may be assigned to the wrong bar on time series charts very rarely, but it would be quite close.
  4. eco


    Does collecting data on about 70 stocks and futures mean that I might have more than 1/5 second between ticks? Does that mean I would miss more data?

    I'd prefer not to miss data IB.
  5. I agree that it would be a good idea to improve the data the way you suggest.

    My understanding of your suggestion is that IB preserve the basic principle of updating only snapshots taken at time intervals, and of throwing away those ticks falling in between snapshots; but that each update give not only the last price occurring within the snapshot's interval, but also the lowest and highest prices falling within that interval. This would not have the costs and disadvantages and delays of a tick-by-tick feed, and would preserve the advantages of IB's existing snapshot approach, but would also have the new advantage of accurately including all highs and lows on every time scale.
  6. IB's data has been very useful as it is for me and other professional traders around here.

    I would prefer nothing gets changed.

    Except, the snapshot interval (currently ~0.2 sec) could be shortened a bit for some instruments like ES or WTI, maybe - but this is only "may", generally, the data is good.

    If you want more data, get such a provider.
  7. maxpi


    When you are getting data from IB it can vary depending on the routing. Am I not correct in this: if the smart router decides your issue will be routed through an ECN then the data you receive is only from that ECN?
  8. If you lost nothing, why would you prefer that the data was not more complete?

    I don't know the answer to that question sorry maxpi. Perhaps IB would answer?
  9. I don't think IB will answer (directly).
    Someone asked similar questions previously but drew a blank.
  10. alanm


    The poll is missing some choices.

    I don't care if they manage to give you more accurate tick data, as long as it does not result in additional bandwidth/processor usage (on either the server or client) for those of us that don't need it.

    As I've said before, IB is my only data source that is able to stay reasonably current on many tickers intraday. My other providers, because they insist on sending every blasted tick generated by the battling bots, suck a ton of bandwidth and CPU, and rarely stay current (or even connected in some cases). I do not want this to happen with IB.
    #10     Jul 24, 2006