"...IB / TWS is not really up to professional standards when considering it as real time data source. Its backfill is very limited (1 symbol at a time) and VERY VERY slow. IB throttles backfills and you can not send more than 60 requests within 5 minutes (it equals to one month of 1-minute data for 12 symbols only). AmiBroker can not really show its full potential using IB/TWS because of IB limitations. We strongly recommend using TRUE real time data providers such as IQFeed or eSignal. Backfills using IQFeed or eSignal are upto 100 times faster !" ...."+ Implemented workaround to IB weird way of sending tickSize events Problem was that IB sometimes repeats many times the same tick and sometimes skips some ticks and cumulate them into one tickSize LAST_SIZE event. This is because IB feed was NOT designed as tick-by-tick and never intended to create time&sales series, but rather solely to update TWS display grid. Now the plugin tries to workaround this weirdness by ignoring duplicate tickSize LAST_SIZE events (with the same size) and correcting missing ticks usign CUMULATIVE volume sent with tickSize VOLUME event. Correction is needed because without it we would end up having incorrect total volume (sometimes real trades may have same events so multiple REAL ticks may have same price/size, unfortunately there is no way to detect whenever it is real trade or duplicate generated by IB, so correction according to cumulative volume is the only way to go)." http://www.amibroker.com/ib.html
============== Exactly,makloda; IB probably will improve the volume situation, their candle charts have come a long way, to make a long story short
I agree. e.g., it isn't tick/tick, etc. It's good enough for many users -- in the exceptions, a full data source should purchase from a data provider. (Though it would be nice to have better time & sales (more reliable) functionality....)
Well, right now I have a combination of Interactive Brokers and Quotetracker. I primarily trade on the major US exchanges, with some OTCs and Pinks. The only data that I am currently subscribed to is: --Non-professional PINK Level I 2.50 USD --US Securities & Commodities Bundle Level I (Free) I am not happy with the slow backfills, or limited intraday data, but who can provide an alternative that won't break the bank? There are some of us who are active traders, but not trading for a living. So paying 115 bucks plus exchange fees per month is too much. But if i could get lvl 2 data, 10 days of intraday data, and fast backfills for 30-40 bucks per month, I would probably go for it. Dumb question: Is there any way to see lvl2 type data for AMEX and NYSE?
You want NYSE OpenBook. I don't have an IB sub to it so I don't know if it's the newer real time version or the 5 second delayed version. Probably worthwhile asking if you want it. I don't know that there is an equiv for Amex.
Amen...traded with a guy who bragged about his free IB data and moaned to the heavens when I had ticks on my chart that weren't appearing on his... You get what you pay for....
Here are the numbers from in IB Account Mgmt: NYSE Open Book Real Time 60.00 USD That is pretty steep. If i wanted lvl 2 data from NASDAQ, NYSE, that runs 80 bucks a month? This does not include pink lvl 2 or AMEX. AND, this doesnt address the slow backfills with their realtime quotes. Is there any clarification as to how i can see the depth of bids on AMEX? Does someone have a suggestion as to where I should go for data without breaking the bank at eSignal?
I believe $50 is the actual fee charged by NYSE so you will at best find it a tad cheaper... the NASDAQ Level2 fee is only $9 as charged by NASDAQ as I recall, $14 for TotalView [which blows out the limit books of various ECNs plus info about the crosses]. It does sound like you need a true quote provider, esp if you want NYSE OpenBook, the additional cost is probably not significant. I've never heard of book or Level 2 for Amex, but would love to hear someone correct me. As to PinkSheets, IB does not do Level 2, but it is available at eSignal and others. Note that PinkSheet issues dually listed on OTCBB will have the OTCBB quotes as part of the NASDAQ feed. I don't get Level 2 through IB but I believe IB will not show this data even if get NASDAQ Level 2 through them (I recall being told such), so, another reason to go dedicated. Yet one more reason to go with a dedicated data provider for your needs: You're interested in Pink but you didn't ask about ArcaEdge. I know IB won't provide the top of book for ArcaEdge (but IB does provide it for Arca) with its Arca feed.... though the Arca Web book, which is "near" real time is avail for free (it doesn't delay things per se but bec it's free, bandwidth delays do occur).