Not really true SyndBroker. You simply use a different tick rate to what you might use on an "all ticks" service delivery (about 2/3 to 3/4) and it works very well. The basic principle of spreading the price bars during high transaction activity still applies and works well for what I trade. Interestingly a number of the "all ticks" data suppliers have been caught bundling their ticks as well so I'm not sure who we could now count as a purist.
Sorry, is there any tick chart (no matter if it's true tick by tick, or tick filtered type) available in IB?
Yes. Tick charts using IB data work well. I collect and display the tick data with Sierra Chart but I suspect that most other programs will do it too including TWS's inbuilt charting. FWIW SC is an excellent program and will let u do time based, volume based, tick based and range based bars (or candles).
Hi, the best suitable data provider is pretty important to traders. Sources often mentioned are Brokers like InteractiveBrokers and data providers like eSignal and DTN. Which of them is the best provider? It depends on your trading needs, since each possibility has got some shortcomings. Data Providers like eSignal and DTN offer full data supply and comfortable backfill possibilities. But just this attractive huge data offer may render their service useless for fast trading. As underlined by a lot of posts (1, 2, 3) in news times there may be up to 10 seconds delay till you get the needed data. So such data providers may be best choice only to traders who need exact data for longer term decisions and comfortable backfill sources. In contrast to these data providers Interactive Brokers delivers its data even in news times with maximal 0.4 seconds delay. Fast enough for any usual trade. But their data have got some shortcomings too. Details are explainded by Kiwi_Trader . IB Data are coming in very fast, seemingly tick by tick, but they are no tick data (tick in the sense of single trade) but in principle 0.3 second bar data. For Day traders 0.3 second bars now would by far be better than tick data with 10 seconds delay. But IB Data have got a second shortcoming: Until now they deliver bars with open and close price only. High and low are omitted and the confusing expression 'snapshot' invented for this data crippling process. So until now the day trader has got the choice between data useless by delay and data dangerous by crippling. But there is hope. Maybe Interactive Brokers is changing it's policy and adding high and low to their data in future. Martin
The time and sales is dead wrong. Instead of ten one lot when running through stops, it shows one ten lots. That's a big problem when u want to see whether the little guys are getting squeezed out
I'm afraid the stock time and sales is very wrong. At least as displayed by Quotetracker, which depends on the total volume figure to prodice discreet trades. Some stocks seem to update volume every 100 shares or more, others at a much wider interval, a thousand or more. Makes for t&s that only displays large block trade sizes for many symbols. This also makes it hard to see what the ACTUAL block trades are since they look just like the batched up smaller trades. Also, more disturbing, when trade sweeps the book, you frequently only get a t&s trade within Quotetracker of the LAST PRINT, so even if the fills were for 35.50 10,000 shares, you see a print of 10,500 @ 35.40, if that was the lowest and final trade before the volume update. TWS's t&s seems to display the correct data . Too bad we cant get a volume update on each trade.
Hi e-miNY and stock777 IB is much faster in data delivery than the usual data provider and IB data are very accurate in timeframes of more than 0.3 seconds. But you are right as the timeframe below 0.2 till 0.3 second is concerned. In regard to this short timeframe you have to differentiate what is desirable and what is possible. Obviously it would be desirable to get detailed info on every very tick (tick not in the sense of incoming info but in the sense of single trade). Just this full info is offered by data providers and just this offer makes their service often useless for short time trading. Technically it seems to be impossible to transfer all this full info within milliseconds if the number of trades grows up. In news times it takes up to ten seconds to transfer all the info over a usual internet connection. This way you may get your information only when you don't need it any more. So beeing a short time trader you have to take a decision. What's better for you - full info ten seconds late or - small info immediately I think the answer is clear. Better IB 0.3 seconds bar data now than eSignal data when it't too late to trade these data. But one thing should be improved by IB. In case there are several prices within their 0.3 seconds time frame, they should transfer high and low too. This improvement wouldn't enlarge transfer time by more than 10% but it would mean a big advantage in data quality. If you share my opinion ask your IB rep to favor this improvement and the better data quality should come soon. Martin
The biggest concern as I see it is you don't get a true picture of what price stock traded at in the case I mentioned. Sweeps by large traders. It becomes difficult to tell if bids were pulled or actually hit.
Hi stock777 I thought your 'trade sweeps' problem would just be the 'lacking High/Low' problem, for example: time Volume@Price (+High Low if happened) reported by IB: xxx:21,263 10,010@35.40 ----------- xxx:21,289 10,025@35.40 xxx:21,308 10,525@35.50 xxx:21,336 10,535@35.50 xxx:21,367 10,560@35.40 xxx:21,393 10,760@35.50 xxx:21,418 10,770@35,40 ----------- reported by IB: xxx:21,463 10,770@35.40 35.50 35.40 (if High/Low would be reported too) But following your answer your 'trade sweeps' problem doesn't seem to be solved by the suggested additional High/Low reporting. So could you please describe by example what your 'trade sweeps' problem does mean in detail? Regards, Martin