IB - data generation process

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

  1. You misunderstood.

    IB still transmits the same real-time snapshots at the rate of several per second. The change is that in addition, IB also transmits 5 second OHLC bars, so that hi or lo ticks missed by those snapshots can be added to charts. Charts can still be generated real-time. The additional correction of adding the occasionally missed hi or lo tick is the only part of a chart which would be delayed by up to 5 seconds.
    #51     Apr 10, 2007
  2. kostia00

    kostia00 Interactive Brokers

    This is not a replacement for the existing real-time feed. This is a new additional feed to address the needs of some users and charting applications to get true high, low, volume of any 5-second interval, which the current real-time snapshot feed may miss.
    #52     Apr 10, 2007
  3. No I didn't. There are plenty of problems with this.

    These things are no use for generating constant volume bars (for example). How do you know which bar the high and low belong to ?

    If you consider the incoming data to be a stream, going back in time and patching values in the stream is just horrible. Suppose you want to compute a moving average of highs of an OHLC series. Like I said, it is a mess.

    Are chart vendors going to support this ? I wouldn't blame them if they didn't. I find it hard to believe that any other feed works like this. It may just be too much trouble. Going back and repainting the previous bar might require significant changes to their charting code.

    It has the flavour of a hack to get around problems with low bandwidth links but this is a solution looking for a problem that is rapidly disappearing. ADSL and cable are widely available and 10 - 20 Mbit/sec ADSL is becoming increasingly common. Futhermore, on the server side compute power is getting cheaper and cheaper. Intel just announced price cuts. By the end of the month you will be able to buy a quad core CPU for about $550. You can drive a lot of tick streams with just one of these.

    IMHO, a simpler and better (though not perfect) solution would be to just up the maximum sample rate on the current feed. No client side software changes, and it would look more like a true tick feed. TWS on modern CPUs should easily handle a doubling of the data rate.
    #53     Apr 10, 2007
  4. I think it is clear that you don't understand. You wrote, "How can a 5 second OHLC bar be "real time" ? What a mess." You thought that the 5 second bars were being presented as "real time", when in fact, the 5 second bars were presented in addition to the existing real-time feed.

    Your idea to increase the sampling rate of the real-time feed will not succeed in catching all highs and lows. It is a statistical property of market behavour that there will always be occasional bursts of rapid price changes which occur more rapidly than the data sampling rate, no matter how quickly that rate is chosen. So increasing the sampling rate won't solve the problem of his and los missing from a snapshot feed.

    I don't think the design of the feed is a hack. I think it strikes a wise and clever balance between the competing design goals of data completeness and feed efficiency. It keeps the feed up to date, no matter how rapidly the market is ticking (provided nothing else goes wrong to interfere with the feed, and we have recently experienced some difficulties in these other areas, but IB says it is addressing those). I have seen many customers complain that other datafeeds, which transmit every single tick instead of snapshots, fall behind during the inevitable bursts of rapid price changes. The IB feed reflects the more important priority of knowing where the market is right now, instead of getting every single tick after it is already too late to use the information.

    I think that the problems with generating constant volume charts are, and will continue to be, very minor or non-existent, unless you are making them on an extremely short time scale of seconds per bar. Quotetracker already generates constant volume bars from the IB feed, and I'm sure none of IB's changes will interfere with QT's ability to continue doing so.

    I see no reason why chart vendors would not support the improvements to IB's feed. QT has made many changes to adapt to IB's past datafeed changes, and to take advantage of improvements such as the addition of backfill.
    #54     Apr 10, 2007
  5. Tums


    thanks for the clarification.

    IB has always been in the forefront of electronic trading. It is reassuring to know that IB is again taking an extra step forward to satisfying customer needs.

    Many thanks !
    #55     Apr 10, 2007
  6. joesan


    Previously I had to write some codes to update the IB datafeed every 3 minutes, hope this new IB feature can save this mess, as according to what I understand from this post , TWS will now automatically update every 5 seconds. Has this feature been enforced already ? I did not noticed the change yet, as the deviation of IB old datafeed from the real data flow is sporadic and only 1-2 ticks .
    #56     Apr 11, 2007
  7. kostia00

    kostia00 Interactive Brokers

    We have identified a potential problem with old versions of TWS which do not handle the new backend-supplied 5-second bars correctly. Thus we are forced to turn off the backend support for all versions of TWS except the current browser beta TWS (871).

    If you are running TWS 870 or earlier, this change will cause TWS to revert to calculation of bars based on regular realtime market data it receives.
    #57     Apr 13, 2007
  8. Orion1208



    Thanks for the updates. Do you have any idea on when this will cover the products traded in HKFE/SEHK? I am using TWS build 871.3.

    Another question: would the 5 second feed provide 100% accuracy (both price and volume) for the charts of longer time frames (e.g., 1/5/10 minutes)? I assume such "adjustment", if any, is done per 5 seconds.

    #58     Apr 30, 2007

  9. Hey! I don't quite understand.
    What's the purpose of the 5-second bar datafeed? It seems it is to handle what is missed from the snapshot-basd datafeed.

    As far as I understand, it will try to adjust/correct the highs/lows only of the bars, but nothing more.

    A few questions:
    1) Does it work if I choose 5-second chart only? Or does it work for any time intervals?

    2) Supposed the snapshots miss a few ticks and so does the high (1002). It shows 1000 only. 5 second later, the 5-second bar datafeed adjusts the bar which shows 1000 to 1002.
    So that is backward update of existing bars. Is that how it works?

    3) What if I have a stop loss at 1002? Will the stop loss be triggerred after 5 seconds later (but the last price may be quite different at that time)?

    #59     May 3, 2007
  10. kostia00

    kostia00 Interactive Brokers

    That is correct. It will adjust high/low, plus provide accurate 5-second volume and VWAP price.

    It works for all bar sizes: e.g. 1-minute bar is obtained by adding up 12 5-second bars.

    The chart refreshes every 5 seconds, when the new bar is calculated and sent by the servers. The snapshot data feed is no longer used to create TWS charts.

    This change does not affect stops. Stops/conditional orders are managed on the backend. We employ a much lighter pacing on the backend, which means we try to use all ticks/prices with no delay, but we may occasionally miss a high or a low under very heavy volume.
    #60     May 3, 2007