You would think if they wanted to put out a decent product they would use tick by tick. Kind of stinks getting stopped out by a tick that doesn't even show up on their T&S... What GOOD is their snapshot feed anyway? For the customer that is... I can tell why it is good for them, when I get stopped out by a tick that I cannot tell even exists... This is making ButtonTrader, NinjaTrader, AutoTrader, Futures Trader, Bracketrader and all others not very effective when they should be VERY effective. For the CUSTOMER, NOT IB. Hmmmm, I see a conflict here for some reason... Def, care to speak up on this one? If IB can't put out a profession data feed, then I say they should CANCEL THE WHOLE IDEA SO WE WON'T BE FOOLED.... Snapshot feed is not Professional...
Please send details of your problem to help@interactivebrokers.com. Include mg101 in the subject line of the email. The email needs to contain your account number, time of day when the incident occurred and the order particulars. Thank you.
Email was sent earlier today before your post. I included T&S info along with the email. This email was sent using the link from TWS...
I don't work at the customer service. I can only get the email and help if the mg101 is included in the subject line. If not too much trouble, please resend.
Hmm, I would love to have an IB tick by tick. Things are not that simple though. I believe what you call "snapshot"is simply dictated by plain commonsense economics. The IB approach is a compromise dictated by server bandwith considerations. Now about 1 year ago I did some study recording IB data with locally generated time data synched every 15 mins with NIST clocks with millisecond resolution. I compared this data with "postmortem" T&S data as supplied by the CME and CBOT and found that the IB data was mostly much closer to exchange times than some of the popular feeds I also had access to. Granted, IB was "snapshot". I kind of got convinced by this that for me it would be better to feed this "well timed" snapshot data into my decision algorithms rather than an indigestion of "professional data" mostly trailing IB by 1 sec or more. As I use always limit orders anyhow, I don't mind not seeing the tick that really tripped my move. Did anybody make this kind of study recently? I would love to hear about it. Further, if you want to feel more "professional", no sweat, simply pay for it and make sure you get hooked up to the right thing! But don't believe without checking! That's what I found out. nononsense
>Further, if you want to feel more "professional", >no sweat, simply pay for it and make sure you >get hooked up to the right thing! But don't >believe without checking! That's what I found out. When I was a scalper (I've pretty much converted to things scalable now) I performed a myriad of similar tests to those you describe and of all the "professional" feeds, only TAL was equal to or better than IB. JB
I can confirm that. In fact, they have gotten better over time (the volume reported is now more timely). My only complaint with them has been the occassional interruption during active trading times, but even that seems to have been reduced in last couple of months. Would be interesting to know if they have actually done something to improve reliability during last couple of months, or whether I'm just imagining that.
I always learn something new here. Had no idea that they don´t show it all. Is this the case for both e-mini, stocks and other?
I find IBs feed useful with Button trader even given that they only supply a proportion of the actual bid/ask. It is usually as accurate as esignal (I compare side by side) . Once I got stopped out of a trade on the dax that didnt show up as a tick on IB and blamed their feed. Until I found this on esignal about the Eurex: It was was taken from a eurex handout. """For those inquiring about Eurex's practice of "netting" or filtering, here's is an excerpt from a pdf they produce for data vendors entitled "Customer Guidelines". In the below excerpt, the term CEF stands for Consolidated Exchange Feed. PDF last updated November 2003. 4.5 Eurex Netting Mechanism The Eurex data stream as well as the Eurex_US data stream is netted within the Eurex trading system. This helps to reduce the data load on the Eurex interface. Netted means that trade information (bid/ask as well as trades) is not disseminated completely, but filtered according to special netting rules. For that purpose there are two back-to-back mechanisms implemented within Eurex. Mechanism 1: Netting during price determination (within Matching Image) The matching image is the component within the Eurex system that handles the order book and generates trades. If there are many orders on one side of the order book (e.g. buy orders) with different price limits and one large order comes in on the other side (in this case a sell order) which matches these buy orders, the matching image will generate different trades with different prices (one for each limit covered by the incoming order), but it will send only one price information (the latest one within the matching process) to the broadcast image. Besides this newest price information, the best bid, best ask, total volume, high and low information will be updated. Mechanism 2: Netting Rule (within Broadcast Image) Eurex creates a netted message, sent by the Broadcast Image, at the end of a netting interval. This interval is currently configured to 1.4 seconds for the CEF Frankfurt environment. It may be further reduced. For CEF Chicago an interval of 1 second is planned. The Broadcast Image keeps a buffer for each listing. With each message coming in from the Matching Image, the buffer is updated, new information overrides old information. At the end of the netting interval, the current content of the buffer is disseminated (if updates were received). The Eurex Netting Mechanism may have the following effect visible to CEF customers: Messages may appear "lost" Only the last message in the queue is sent out. All others will not be sent out. It is likely that situations may occur where a Eurex trader enters a trade into the Eurex trading system and cannot see this trade on his vendor screen. The trade chronology of Eurex data will most likely be incomplete. The sum of all traded volumes will not equal the total traded volume disseminated by CEF. Since Eurex data is netted within the Eurex system, both Eurex members and vendors do not receive complete data from Eurex.
First, I should emphasize that data and thus stops on the IB servers are tick by tick. The way IB delivers quotes to the TWS is for the reasons described in the earlier posts. Second, I don't see how a tick by tick visual view of a data feed as opposed to a snap shot visual view will make any difference in your trading - with the possible exception that you are completely automated. If you have a stop in place, it will get triggered correctly. If you place an order, it will get triggered correctly. In the time between snapshots, I don't think it is humanly possible to do anything different. If you are looking at histograms, data will be missing but statistically, I think you'll get the same info. Note, Eurex which is the largest derivatives exchange only provides snap shot quotes. Somehow those using the exchange manage. In any event, if you think something is wrong, send a mail using the code IBsoft gave and we'll take a look.