IB Data Feed - can you explain this?

Discussion in 'Data Sets and Feeds' started by bluematrix, Jun 27, 2013.

  1. So IB allows you to download data bars, e.g. 1min or 5min bars.

    I've been watching some option that's trading bid-ask 28.75-29.25 through the close of the bar.

    I then download the same bar, but on the downloaded data IB, the bar close is 28.50! ?

    can you explain this? how does that make sense? how is IB getting it's Close on this bar?

    furthermore, the quotes vary up/down a little through out this bar, and yet the open, high, low are all the same, 28.50!!!

    can someone pls help me on this? is this an error or I'm missing something? what exactly is the bar quotes I download is it traded price or quotes? and why doesn't change at all?

  2. Aren't the bars made up of trades, not quotes? In other words, the quotes may have been changing during the bar period but there may not have been any trades.
  3. is that correct? really?

    so even though the quotes all wobbled up and down, no trade actually took place?

    so essentially, the bars are the trades? the close is the price of the trade at close of that bar? - i.e. if I traded near the close of that bar - is it fair to assume I would have got filled very close to the Close of that bar?

    thanks again
  4. Options are relatively thinly traded compared with their underlying. Some of my option positions are so far OTM that they might get 1 or 2 trades/day but the bid/ask moves up and down constantly.

    I'm really sure that price bars have to have > 0 volume to be anything other than a "-" i.e. an open and close but no high/low.
  5. I can understand that - BUT I'm looking at highly liquid atm options.

    e.g. take ATM options on ES - the same story as I've described on IB - i don't understand if the bar close price is the last traded price of that bar or not.
  6. Suppose you get 1 trade every 5 minutes and you're looking at 1 minute bars. The bid/ask might be changing every 10 seconds but it doesn't matter. Every minute a new bar will be generated with the open and close equal to the previous bar's close until a new trade changes this.

    It sounds like you're expecting to see trades on the particular option every few seconds. Go look to see how many trades are actually made every minute or hour or whatever on that option.
  7. gmst


    OP - as steve has suggested, go look at T&S for that particular contract.