I have started watching time and sales in an effort to improve my entries but kept seeing things that did not make sense. Orders larger than the cumulative level not moving price at all. Finally someone told me today that IB aggragrates trades. If this is the case why even bother with time and sales? I have been with IB for over a year and this is the first I have heard of this so thought I would bring it up for other IB users who are trying to watch time and sales. If this has been brought up before please link me to the thread as I could not find it on search. I am pretty happy with IB but this seems like something that should be fixed.
IB will not offer tick by tick data at the expense of reliable execution quality. So if you need T&S go pay a data vendor. This is an old old discussion do a search and save your breath.
Scroll down on this link to ID #1928 and vote for a change. http://www.interactivebrokers.com/en/general/poll/poll.php#cat_oth
well, I think you're blaming IB for something that has nothing to with them. here's some free info for ya. blocks are traded away from the market and thats what you are seeing. 50k can trade when theres only 100 shares for sale, and the market won't 'move' end of lesson. PS , this moaning about aggregating trades being a problem is mostly nonsense. I'd like to see some hard proof that it matters.
I think you're right. As understand 'aggregation' it means that instead of showing every tick IB shows 3 aggregated ticks per second. So at the most every 0,333 seconds you get a snapshot of the trades untill then, and T&S will be updated accordingly. So you won't see every trade, but you wouldn't anyway; the given example is a direct block trade outside the book, probably. Of course if you have an automated strategy that relies completely on tick-bars and volume/ticks than you need another datafeed. For eyeball 'tape-reading' it should be sufficient for most here. Ursa..
In a lot of ways its probably not important but I am trying to follow a guy trading YM and part of his technique is watching time and sales to see when bigger traders are stepping in to sell or buy and blocks that are groups of trades really makes this allmost impossible. I guess if I want to pursue this path I may have to switch to Tradestation
Once again, I think you are inventing a problem that does not exist. I watch ES T&s on QuoteTracker using the IB feed. The number of LARGE prints as a % of total prints is very small. Size traders are easy enough to see on IB, I'm sure the same is true for YM, probably more so. If you have some real example where this is not the case, post it.
i just want post some quotes from IB API yahoo group, where Richard L King kindly explain, how IB quotes work. i hope, that many IB customers will understand then, why IB quotes aren't lagging during fast market,(look into esignal,IQ feed posts) here they are:
Sounds about right, and no reason to think it doesn't work that way, notwithstanding the occasional bug that may creep in. Amazing how folks look for straw men to explain their difficulty in predicting the next tick. Woe unto them, when they get everything just as they desire, and they still flail helplessly.