Bobs quote is essentially correct (this has been worked over a few times here). Minor variations/additions: - the refresh is about 200ms currently not 300. - if two or more prices occur during the 200ms only the last one will be shown which means that you can miss prices The second point is being addressed at the moment and I believe IB will soon provide an additional data feed for each contract. It will provide 1 bar of information every 5 seconds (might be quicker if we're lucky) and that bar will accurately reflect ohlc volume and transactions. What this means for me is that I will run my smallest (entry/exit) timeframe using the 200ms "inaccurate" symbol and my longer timeframe (setup/support and resistance) chart using the 5s accurate symbol. None of this will address the issues of people who want a time and sales or volume at bid and ask type of feed. These people need to find an additional feed (that may lag in fast markets) to provide the most accurate "real"time information they can afford. And if training with someone using t&s or v at b/a or market delta then you probably need the feed they use as esignal for example wont be exactly the same as tradestation.
Kiwi, Thanks for the update, mate. The second part, is this in accord with your suggestion on the IB poll?
Actually you are correct, capturing accurate volume at bid and ask would be somewhat inaccurate in very fast markets. But I wonder , at the end of the day, how much difference it really makes 99.9% of the time. Anyone use Market Delta with the ib feed (does it even run off that?) and make a comparison? Lets face it, this is not a game where absolute accuracy means a damn, so unless the data is really skewed , I fail to see what the fuss is about.