would someone please clarify this for me? Is IB datafeed snapshot based or real tick based? So if I want to build some sort of bar to aggregate ticks, am I going to get a full picture or some interval based snapshot only? TIA.
IB feed is snapshot based (sends every 100ms or so). AFAIR, IB API gives you an ability to request bar info (1 minute min). Go and shop for professional tick-by-tick feed if you need one.
200ms-250ms snapshots so you can build tick charts but not every tick. But there is no lag when busy. Backfill is most usefully in 30 second increments but you can certainly backfill down to 2 second increments, maybe futher.
Thanks guys for the clarification. So I guess it will certainly distort if you want to build tick-count based bars and delays in range based bars...timebased bars would not be impacted much. Am I thinking about this correctly?
geez is that a lot. I was talking to opentick who quoted me $5000 / month, and they'd provide me with a location to host my strategy and a feed. He said the latency from time you receive a quote to placing and order and for the exchange to see the order is about 3 to 5 milliseconds. I was hoping to not pay nearly that much, but to cut my latency big time. I use the standard genesis and IB datafeed
Only for futures is the snapshot interval 100ms. Everything else is as Kiwitrader said. http://www.elitetrader.com/vb/showthread.php?s=&threadid=104460&perpage=6&pagenumber=1