Impossible to run strategies on IB unreliable equity data?

Discussion in 'Data Sets and Feeds' started by sheepsucker, Apr 26, 2012.

  1. easiest and best thing to do with regard to IB is to use their brokerage services. Using their data, their TWS GUI, etc. is just silly.
  2. Yep, nobody should use IB data. They're not a data provider, it's not their line of work. If you want good data, you have to pay someone else for it. I've only found some ok historical data (when downloading) from IB, but live - it's useless.
    Use IB only for execution.
  3. IB data is not a real-time data feed, its a snap-shot feed.
  4. Bob111


    filter it. very simple. if trade is away from current bid\ask-don't count it,don't display... whatever..i proposed this 'filter' to IB long time ago..
    you can do it on your side too.
  5. djhemlig


    I'm learning about IB as I want to start trading some index futures (eurostoxx50, s&p500 and my local omxs30) but I don't understand the post above.

    Don't you have to use TWS to enter orders? How is it done if not with TWS?

    But thanks for the warning about using the IB data. Any other suggestion of what GUI & data source that might be useful for trading index futures?
  6. vikana

    vikana Moderator

    That's very interesting; I have switched some of my strategies to use IB data exclusively. I have not had a single instance of what you show.

    For me, the 300 ms quotes, have been excellent.

    For about a month, I ran the SP500 (all of them) between IB and IQFeed and found only minor differences.

    The biggest practical issue is that I have found no easy way to get accurate exchange time stamps. I should probably read the docs again :)
  7. There is nothing wrong with IB snapshot data for the normal IB customer. If for some reason you require tick data then you have to pay for 3rd party data.

    TWS works fine for order entry. If you don't like TWS there are a number of 3rd party front ends that connect to TWS using the TWS API.
  8. You can use something like Sierra Charts that uses xyz data feed that executes through IB. Much easier, IMO.
  9. If you trade low volume stocks this is common with free IB...
    In fact, tick data for these types of stocks is of no value, in general.

    It's pretty much impossible to do any meaningful trading...
    Without cleaning, normalizing, manipulating, storing, analyzing, etc...
    Large amounts of data with a Stone Cold understanding...
    Of fairly advanced Statistics and the nature of Zero Sum Games...
    But that requires skills that far exceed clicking on charts.
    #10     Jun 7, 2012