IB Data- difference between historical and live

Discussion in 'Data Sets and Feeds' started by tatsimon, Jun 8, 2010.

  1. Hi,

    I have captured screen shots of live data from IB. When I compare this to historical data retrieved from IB, the chart is not the same.

    Anybody has any ideas as to why this difference?

  2. IB provides realtime snapshot data with price and volume (every 100 ms for futures) and the snapshot can miss a high or low tick. IB's 5 second backfill does provide the exact high and low ticks.

    If you require a true tick datafeed you need to use a 3rd party data feed provider or another broker.
  3. zastro


    Real-time vs historical differences are common in all data feeds. Don't worry about it.
  4. ib's 5 second feed isn't really "historical" ... it provides an ohlcvt bar at the end of each 5 second interval. Well I guess its more historical than the 100ms snapshot feed (which is the last price of the 100ms interval and may miss intervening prices so highs and lows are sometimes missed by a tick or two) :)

    As opposed to their backfeed which is typically taken at 30 second intervals for large backfill and 5 sec for shorter intervals.

    With Sierra Chart (or any package where its developed) the live feed can be complemented by the 5 second feed to correct bar highs and lows for any highs or lows missed with the 100ms snapshot feed.

    The OP didn't say how their chart varied between backfill and live - typically I'd expect the odd high or low to be lower or higher on the live chart but unless they are tick or vol charts everything else should be much the same.
  5. ok is clear that ib does not have tick data and the latency is 100 msc or more.. if you want to trade syystems with this tools the slipage will be always really high.. somebody thinks that can makes money with that tool...
    i think if you want to automated systems the only way with intraday systems is colocated server in the market but you need to do every month more than 20k ... somebody knows the real cost of one coloated server and how runs...

    another thing i am using limit and stop orders in all my systems and always has some slippae logically but somebody use a own software to manage all orders for example if not fill only trade one tick worst or something like that....

    thans in advanced