What kind of lunatic nonsense is all this? When did I say this? I said that I would love to see IB send more ticks. I only was against experimenting with different "incomplete schemes" to what exists now. All my posts have been in the sense of (1) measuring precision of feeds; (2) wishing better feeds for those willing to pay for it; (3) not being convinced it will make much difference given the incomplete streams coming out of the exchanges and the highly accurate timing of IB compared to other streams. A concensus seems to exist about this point. Why then are you calling me "selfish"? I permit myself to call your post "nutty" clamoring for this pie in the sky stuff, criticising IB and your not having offered anything tangible at all in this discussion - only some unsubstantiated self-aggrandizing nagging. Let me repeat: I clearly stated that I would "love" to see IB send all the ticks. I also added: it ain't that simple. The only thing I am against is pushing for "nutty" unproven schemes as variations on the actual snapshot practice which seems to have worked well compared to some competition, albeit incomplete. I think your post is highly unfair. nononsense
Well, I have used FT, BT, AT, and NT with the IB feed on futures contracts of various stripes. Honestly, I can't say I have seen much of an issue. Occassionally, I may lose or gain -- yes that is possible too -- a tick. However, the vast majority of the time things trade out at the price I set. Let's face it slippage occurs for lots of reasons -- not that there appears to have been any in this case. I also run an alternate full feed simultaneously and I don't see a lot of difference -- unless you are a tape reader. I keep it up to make sure that IB quotes aren't lagging -- horrid memories of the not so old 28.8K connection days. That's not to say that a tick by tick feed from IB wouldn't be welcome. While we're at it, I'd also like to see the trade-through rule abolished over at the NYSE.
You sure don't see every trade individually... You see bundled trades. Sometimes you get the privilege of not seeing trades at all. This is what bothers me. Maybe IB bundled those 14 trades at 1124 last Wed at 1124.25. Doesn't make sense to me...
IB does no bundling of trades. They just send a snapshot of the current price/vol, etc at each time interval. That's why you don't see certain prices if they occur between the snapshot. If IB wanted to fix this while maintaining a snapshot feed they need to send a HLC bar which gives a summary of what transpired between the snapshots. This is not pie in the sky, just a simple addition which would satisfy most users of the datafeed.
IB best do something. They might be about to lose quite a few customers. Big discussion on NT Yahoo group about what to do about this. ButtonTrader, ect., might be having the same discussion... I don't want to see IB lose customers. But the developers of the front ends that are coming out are realizing their product is going to work better with a real tick by tick feed rather than a snapshot feed. I have read your earlier post jaggernaut also and I do not know if your idea would be the answer to this problem or not. I have a feeling that it wouldn't.
Just subscribed to ib data feed.I made a quick comparison with esignal feed.I load dax march contract 1 min.The diferrences I met was 1 bar out of five.Every five bars or so there is a different h/l/o/c.Not dramaticaly different though.
What do you expect to "see" at a rate of maybe 10 or 20 trades per second ? There will be nothing else than a "colored spot" on your screen which means: "lots of ES contracts are currently trading at different price levels".
You would have to know NinjaTrader or ButtonTrader to know why all data (trades) are needed in order to understand why this thread even exists. But no problem. NinjaTrader is getting close to using Esignal for it's data feed. Trades will still go to IB, so they don't have to worry about it... ButtonTrader, ect., will have to worry about it... Because NT will be on top of it!...
I've used eSignal for charting and generating signals for three years, IB for a year, and NinjaTrader for scalping subsecond for over 6 months on ES. I have no complaints about any of these products.