also jeff - thx for sharing your experience with iqfeed vs ib - i used iqfeed a couple of years ago and had frequent problems with EUREX data - not lags specifically, but simply quite frequently there was no data at all - at times for over 1/2 a day... while ib was running fine most, if not all, of that time - i presume iqfeed has gotten better with their non-u.s. feeds.
I mis-spoke a bit in an eralier post. The refresh rate is 0.25-0.3 seconds. (Soon to be changed to 0.2-0.3 seconds). The compression rate we achieve is very high; you should be able to get one FULL bid-ask and and one FULL last sale (FULL means every number changes) for 100+symbols 4 times a second. Each packet we send you contains at most one number for each symbol/type. i.e. say that since the last time we sent you a packet ES had 3 changes in the bid-ask and 20 last sales, we will only send you 1 bid ask and 1 last. Hence, decreasing the number of symbols will NOT result in you receiveing more "ticks" per packet. It is not practical to send out the data more than 5 times a second, because the com. protocol overhead is constant per packet, hence we would be using more and more of the available bandwidth carrying the overhead. There are no current plans to provide real-time tick-by-tick data. We believe it is more important to have up-to-date feed than to insist on carrying each and every tick.
Thank you for your explanation. I am very happy with the refresh speed of the feed and in particular with how up-to-date (my first priority) the feed stays even during fast market moves. Please keep it this way IB.
Fader, We are now taking our Eurex feed direct from the exchange, so the issues we experienced with our Intl provider no longer impacts Eurex.
Did anybody run a check on Ib's tick timing-accuracy recently? (Only interested in hard evidence.) Thank you.
Not sure if this is "hard evidence", but here it is none the less. http://www.dacharts.org/archives/Ensign_Wed_class_transcripts/Comparison_of_ticks_by_data_feed.htm http://www.dacharts.com/faq/Comparable-tick-charts-by-feed.htm s
Can anyone tell me if the you can determine total volume traded on an uptick and total volume on a down tick from the IB feed? Runningbear
Thank you Stealth Trader, As you pointed out, this is not conclusive. To check, one should record IB streams with a precision msec calibrated clock and compare this data with post-mortem T&S data as published by the exchanges. I have stopped doing this for quite some time due to the many disturbances in TWS feeds of the last 3-4 months as compared to older days. I must add that as of late things seem to run rather well again. I haven't changed anything in my setup though. As your articles point out, there seems to be a 1 to 3 ratio in the ticks received between IB and eSignal. This in itself does not matter too much in (my) trading, though I am rather fast. I was wondering wether these transmitted tick ratios don't vary significantly between issues. I have some doubt as to GE (futures). Another question is wether IB actually modulates their 'missing ticks' during the time of the day. It would be a convenient way for them to shed some load under conditions of heavy demand by the 'irregulars', i.e. the chart users and the backfillers. I think that load segment is subject to a lot more fluctuation as compared with the rather constant stream 'consumed' by regular trading. I had the impression that such 'load shedding' by eliminating more ticks in the streams does indeed occur. I repeat, I have not 'measured' this, it's only an impression. Any comments appreciated, Be good, nononsense
robin They don't send you a packet unless there is data. When they do send it (at most one per 0.25-0.3 ms) then it may contain info about 1 tick or more than 1 tick but you will see it as only one tick. 50 ticks in 2m suggests 1 tick every 120/50 ~ 2 seconds. And they may all be 100% right or one of those 50 packets might contain info about multiple actual ticks having occured in the market.