If it's not already mentioned, support continuous contract symbols (for quotes/charting) that auto-roll to the next contract on the correct rollover date.
Provide accurate tick price data. I am using the API set to stream in Tick Price data and noticed quite a few trades are not streamed in. At first I thought it was my program dropping the ticks but when I put my app side by side with the TWS window the Last prices that are streamed in are identical. I'm thinking one of the main reasons people use the TWI API set is to do their own analysis on the data. But what good is it if the complete data doesn't show up? Having 1minute data that is off by 1 or 2 cents is horrible. Maybe due to heavy load reasons every single tick can't be provided ***BUT*** at least a representative sample should be sent that is complete. For example, if there are 3 trades @ 20.15, 20.16, 20.15 and TWS can only send 2 of them then TWS should send 20.15, 20.16, not 20.15, 20.15. At the least the highs and the lows should be captured accurately for each 1 minute period. Right now I have to use my CyberTrader acct to double check the ticks, not fun at all. I hope this is fixed ASAP! Thanks.
IB data is not tick by tick, and IB has never claimed it was. There is no way to get 100% true tick data with IB's datafeed and I do not believe that there are any plans to change that. As for accuracy, it depends on what data you use and what you use it for. If you are trying to generate 1 min OHLC data and do a backfill using IB, you are going to get accurate data. That data is based on all ticks, not just what is sent for Level I.
Yes Jerry, I did say I understand that every tick isn't provided. I never mentioned anything about IB saying they made a claim about Ticks. I was noting my findings and why it would make sense to include a representative sample, kinda building my case. Well, I use the real time data to build my chart and analyse prices for trade trigger points. Being off by 1 or 2 cents can mean the difference between a trade triggering or not. Using historical data may be too late, but you are right, it is accurate. I seems strange to me that they have an API to allow for automated trading and real time scanning, but the real time data stream isn't complete in terms of representing the range of traded prices. Or maybe I don't know of a subscription that's available to get this data??? Hopefully? I don't want to sound ungrateful for the API set, I'm very happy IB supports it. But this is a forum for suggestions improvements, right?
Add your vote to this sadly ignored poll http://www.elitetrader.com/vb/showthread.php?s=&postid=1170771#post1170771
Oh wow, thanks. I was beginning to think I was the only one who cared! I mean it's data, that's what we trade off of, it should be as accurate as possible.
We support Tbills. Margin rates can be found on the website. You can transfer them in via ACATS, although it is imperfect since Govt debt instruments usually go through GSCC, not NSCC/DTC. If you have problems with this, please write to proserve@interactivebrokers.com and they can provide specifics/assistance. We will execute Tbill transactions for large purchases. Proserve (see above email) can facilitate this. Minimum trade size is 1M and increments of 1M. Execution is via Garban/Intercapital and the execution quality is very high albeit not very fast. This execution service is a temporary facilitation until there is sufficient demand to build an interface. Tbill 'trading' in small sizes is not really supported by the big electronic dealers but orders from 1M to 50M (or more) are easily handled. We will execute sales but only for long positions. No shorting of Tbills at this time.