IB - data generation process

Discussion in 'Data Sets and Feeds' started by kiwi_trader, Jul 21, 2006.

  1. Hoi


    {oops my post and ddanbars crossed ...and I see we both wrote about the Flim :) }

    Well, in my opinion a delay, is something you get, but at a (much) later point-in-time (so already history, because on the moment you get your eyes on it, the real and current situation is already changed)....it is a film that is shown to you seconds after the event..you get all the frames of the film, but because it takes bandwidth to transport this film to you, it is delayed.

    In the snapshot-situation, you do not get the frames of the film at all..you get only frame 3, frame 7, frame 15, frame 30, as a photograph presented to you, and because it does not take bandwidth to transport it to you, you will get each photo in real-time without delay. This photo shows you the Last-trade, and the current best-Bid and best-ask...and THAT is what an active-trader (scalper) wants to see..the most current and actual best-bid and best-ask.
    But for charting and analyses you need the Film-version as well, for that you need all frames of the film.
    #21     Jul 25, 2006
  2. Thanks, ddunbar.
    You are always very helpful.

    I'm no longer worried about the refresh rate as you have explained this to me previously. I just point it out anyway.

    As to high/low, I don't know. But I think intraday highs/lows should affect as IB just sends the last (close) price.
    If the price goes higher/lower and then retrace and a snapshot is made, it just reflects the close without the high/low. So if it happens to be the final high/low of the intraday bar, the high/low will vary.

    As to periods of news break, it is very good if it can still keep 0.25-0.3 second refresh rates. To be picky, I may expect it refresh a bit faster at this period.
    #22     Jul 25, 2006
  3. alanm


    T_H: You seem to be poking at a lot of things that you think might be a problem for someone, some day, but shouldn't you be thinking about the things that might actually be a problem for you? Choosing a broker is not like getting married without the possibility for divorce. Most active traders/investors have multiple brokers (for backup, different features, etc.), and change them a number of times throughout their lifetime.

    What exactly is your trading style, or do you have one yet? That might help people better understand where you're coming from.
    #23     Jul 25, 2006
  4. Thanks for your advice - a good piece of advice actually

    But I'm not here only to choose my own broker. I help others & my friends too.

    The more I know about the broker, the better I can assist when other people ask for advice. You know, different traders have different situations & different trading styles. That's why I ask different kinds of questions.

    By the way, sometimes I ask questions on soneone's behalf.
    #24     Jul 25, 2006
  5. kostia00

    kostia00 Interactive Brokers

    Starting with TWS version 866, the charts are receiving the 5-second bar data from the IB servers, and starting yesterday the calculation of the 5-second bars for US SMART stocks and GLOBEX futures have been changed to include every tick, so the TWS charts should never miss high or low of the day and the bar volume displayed should be 100% accurate. We are in the process of rolling this out to all exchanges and products.

    We will be upgrading the API in the coming weeks and giving third-party applications access to the same real-time and accurate 5-second bar feed.
    #25     Mar 28, 2007
  6. What does this mean ? Are you streaming OHLCV 5 second bars ? One every 5 seconds ?
    #26     Mar 28, 2007
  7. kostia00

    kostia00 Interactive Brokers

    That's correct, IB servers are streaming 5-second bars, one every 5 seconds, to TWS. TWS 866 and later uses these bars to build charts. Besides OHLCV we are sending # of ticks/trades in the 5-second bar and sum(price*size/time) so that VWAP (for trades)/TWAP(for bid/ask/midpoint) can be calculated.
    #27     Mar 28, 2007
  8. 5 Seconds !!! Not exactly real time. What do you expect this to be used for ? Who wants data with 5 second delays ? I can't see the point other than to catch true high/lows. Please enlighten me if I'm missing something but this sounds like a terrible idea.
    #28     Mar 28, 2007
  9. Customers requested this type of enhancement. IB will be providing a combination of real-time and delayed data. The real-time data serves a different purpose than the delayed data.

    The purpose of the 5 second bars, which are delayed instead of real-time, is to ensure that charts can be constructed without missing any ticks. This is needed because IB's real-time data are sampled a few times per second, which sometimes misses highest or lowest values occuring in between snapshots.

    The purpose of IB's real-time data snapshots, occuring a few times per second, which will continue to be real-time instead of delayed, will be to indicate the market's present level, without any delay (unless you consider a small fraction of a second a delay).

    You are missing something. It seems obvious that you haven't read previous postings and threads on ET and on IB's own forums, which led to these changes. You are confusing the purpose of the delayed data with the purpose of the real-time data.

    I'm sure that if you researched the history, all of this would make sense to you.

    I think that an even better design would be to include, with each real-time snapshot occuring a few times per second, the highest and lowest trade prices, bids, and aks, which have occurred since the time of the previous snapshot, as well as the most recent trade price, bid, and ask, as of the time of the snapshot. This way, charts would reflect highest and lowest values immediately, instead of after a 5 second delay. I don't understand why it wasn't done this way. I presume there was some reason for not doing it this way. I think that the change IB are making, even if it is not the optimal solution, is a welcome step in the right direction
    #29     Mar 28, 2007
  10. kostia00

    kostia00 Interactive Brokers

    The goal is to facilitate accurate bar charting (any bar size that's a multiple of 5 seconds). Besides catching true high/low and allowing one to compute VWAP/TWAP, it can be used to chart GLOBEX futures volume based on outright trades only (excluding the spread): the volume reported by IB in those 5-second bars is the sum of the sizes of all trades reported by GLOBEX. Currently QT and others I believe are calculating the volume for a chart by taking a difference in overall volume for the day captured at 5-second (or other) interval, and that figure includes spread trades during future roll days.
    #30     Mar 28, 2007