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, herman
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.