I'd like to know what crucial information folks think they are not getting. Is IB showing the full bid/ask size? As far as I know, YES. When the price ticks up/down, is IB reporting it realtime? afaik YES. Is the complaint about every single trade not being sent as a data point?
The CME uses netting as well. The big end of day file containing trades and bids/asks actually combines data and is not a canonical record of what occurred at the finest level of granularity. There are two levels of vendor feeds. I got some email from esignal saying that they moved to a more detailed feed which actually provides better data than what the CME distributes end-of-day. There is also something called a broker feed which is very fast but uses greater netting. I've observed this because with IB, I'll get an AWK back from the exchange on a fill for a limit order before the prices allowing that order even show up on esignal. (Talking like a half a sec pause here). From my experience, using the pure ES feed provided by esignal is impossible for human traders and I've actually added filters to show only size prints (thereby effectively slowing the feed).
Although I have had my share (or more) of problems with the connection, I have found that there has been an improvement lately. Specifically, there have been no disconnections on my watch for for at least a month now. I hope it continues. Best to all. Steve46
Any comment on that def? Have the disconnection issues been directly addressed with server improvements during last month or two?
My studies show that there is no way to deliver streaming quotes (like JTrader does), because it would take up way too much bandwith. TWS designers allow 40 symbols per page with snapshot quotes. With streaming quotes this would shrink down to maybe 4 or 6 symbols per page. And customers with dialup would probably see no quotes at all (happens with JTrader).
Hi All, I think we are pulling together quite a bit of useful information on feeds. PuffyGums, interesting what you say about CME data. I had already noticed some things I did not quite understand. I also would be happy if you could add a little more to your view on the impossibility to use esignal for human traders. Roberk, what makes you consider esignal as a "standard of accuracy" in your post that you compare others to? As for esignal, although very popular it seems, I remain still somewhat doubtful although I have not looked at it recently. Can anybody reading this supply some information about verification of its accuracy? In fact founded/thoughtful observations about any feed should be highly welcomed. Thx. nononsense
New servers and upgrades have taken place but the real answer is that IB addresses such issues as they arise and puts the resources behind them find a solution.
I knew someone would call me on this In fact if I was writing on an esig thread I might have reversed the phrase and said esig seems as reliable as IB for data. I thought it was a fair comment since esig is one of the most popular feeds. I am no real fan of esig, but it has access to many markets and most software can use it for datafeed. I just wish it was as bug free as a data feed as buttontrader is as a frontend. To me it feels like we are still in pioneer times and a few years from now there will be major improvements in data feeds.
All feeds / software (esig, mytrack, ts...) generally discussed here are low or medium priced products. If the price is not an issue, CQG is by far the best product available for the technical trader http://www.activetradermag.com/special/cqgnovember1.htm