IB Snapshot Calculations

Discussion in 'Automated Trading' started by psytek, Sep 22, 2006.

  1. psytek


    Would anybody know how IB data snapshots are created, i.e.

    1) What prompts their release: time, price change, volume?
    2) Are snapshots "averaged", "rounded" or "truncated"?

    This information is critical for the High Frequency Automated trader...any info would be appreciated!

    best regards,
  2. Paccc


    Why not get a separate data provider? IB's data isn't the best quality. You dont get true tick data from them, I think they do 300ms snapshots by compressing all trades within the snapshot into a single weighted average trade. The best you can get in terms of historical data is 1-second OHLCV bars. I would suggest you use a different data provider if you need high quality tick data.