IB data feed

Discussion in 'Data Sets and Feeds' started by trader225, Jul 3, 2007.

  1. This showed up in my log today, for SPX:
    13:48:38:143    askPrice                    4   1545.430000 1
    13:48:38:144    askSize                     4   1
    13:49:26:898    bidPrice                    4   1497.940000 1
    13:49:26:899    bidSize                     4   1
    13:50:04:401    IndexFuturePremium          4   NaN
    13:51:25:410    bidPrice                    4   1498.010000 1
    13:51:25:411    bidSize                     4   1
    NaN? WTF?

    Some observations (do you concur?):

    1. Usually, IndexFuturePremium multiplied by SPX appears to be the "current" premium over/under fair value.

    2. I see SPX varying outside of RTH, especially before the market opens in New York. Is that varying value from CBOT? Does it reflect premarket trading in the S&P stocks? Is it accurate?

    3. In the IB data, I see a bid and ask on SPX, "bidPrice" and "askPrice" events. What do those mean?

    4. The current value of SPX seems to appear in a lastPrice event.

    Does anyone know of an SPX ticker that updates more frequently than IB's?
  2. There is an entire industry of financial products aimed at professional trading operations...
    Thomson Financial, Reuters, etc

    No serious operation would use the flaky, free quotes from IB...
    Maybe only in a short-term emergency.

    IB is not in the business of providing reliable, redundant systems...
    They are in the business of slashing costs at YOUR expense...
    For the sole purpose of pushing profit margins from 55% to 56%.

    Your starting at $500/month for a quote terminal...
    And on up to $50,000/month and higher for low latency infrastructure.
    You get what you pay for...
    Reliable, redundant systems are very expensive to maintain.

    Building a business is all about capital investment.
    Using 2rd rate products or services because they are "free" or "cheap"... will cost you more in the long run.
    If an enterprise cannot budget even $500 to $1000/month for professional level tools...
    Then one must question the commitment and competence of the principals.
  3. JackR


    OK, let's forget the capital cost to put some redundancy, etc. in place. Let's just consider that the infrastructure you recommended costs $12,000 a year to maintain ----

    You can use IB's time-sliced non-lagging datafeed at no cost.

    Your order entry is automated such that protective stops are entered on IB's server simultaneously with opening a position.

    Loss of IB's data feed might cause you to miss a trade if you cannot see what is happening but, worst case, it will not cost you anything more than your planned protective loss while the feed is interrupted.

    So the question to ask is there an opportunity, in your account(s), to make an extra $12,000 during the very, very infrequent interruptions in IB's service?

    If not, the saved $12,000 (or portion thereof) is money in your pocket.

  4. Relying on a single quote source is just stupid. Especially one that contains only "optimized" data. Furthermore, your example considers only existing positions. What about lost opportunity?

    IMO, an exchange outage is the only acceptable "reason" for quote disruption. A professional trader plans accordingly.

    Monthly test of PC battery backup now active. :eek:

    Osorico :)
  5. JackR


    I did address that issue I said:

    Lost opportunity in a $20K account might be $500, in a $100K account $2K It is a function of account size.

    Professional traders don't all start out with gobs of capital. If we are to treat trading as a business then we have to have a start-up business structure [no redundancy] with plans for growth. I'm not arguing that redundancy is not desirable, just that it is not needed when there are reasonable alternatives to capital preservation.

  6. Lost opportunity is not about account size. It is about instruments traded and trading style. As a hi-freq index futures trader, lost opp for me is much greater than $500 per 20K... And my availability of buying power is much greater than a swing or position trader with same size account due to hi-freq.

    The rest of your argument is just thriftiness speaking imo. I don't plan on having an auto accident or having a stroke. But insurance is not an option, it is mandatory. Relying on a free (time-sliced or not) data feed is just stupid imo. $100 or less a month for quote insurance from a second provider is prudent and affordable for all levels of trader. Nobody said every trader needs Bloomberg-like tools.

    Osorico :) [ survived battery backup test ]
  7. A mistake has been made:
    IB's SPX ticker is from CBOE, not CBOT.

    Just a few moments ago, IB's SPX feed was
    generating a NAN again for the "futures premium."
    Dunno -- that may be their way of stating that it is undefined. Another thing on the SPX ticker: it has "implied volatility" and "historical volatility" events. I am wondering whether the "futures premium" event associated with SPX is actually a premium associated with the SPX options. I have seen, after hours, when SPX is steady and the last price on ES has not changed, the "fututes premium" change, so if it is a "futures premium" it may be derived from the price of the big S&P contract. Mysteries!
  8. Interesting.
    Right now (1640 Chicago) the 'volume' event on ESU7 is incrementing by 3 every 35 seconds. There is
    no bid/ask. I doubt if the market is even open.
  9. trader225,

    It is my understanding than cash index values provided by most data providers are slow, ie update infrequently. If you want something better, you have to calculate it yourself.
  10. I've thought of using SPY.
    500 tickers is a lot.
    #10     Jul 4, 2007