If scalping, bar highs and lows can be very meaningful. Not so true for position or long term swing trade and I think IB eod data is correct anyway. The OP talks about scalping.
do you have statistical evidence that very short-term intraday bar high/lows tend to produce meaningful levels?im not talking about an actual support and resistence level on that day but just things like 'take your profit on the previous bar low', the degree of noise is so big that I'm lead to believe its wishful thinking this micro support and resistence levels are meaningful
This isn't about you or statistical evidence. OP asked about IB for futures scalping. No mention of OPS technique. IB feed may not suit OPS technique of scalp because IB feed may not be accurate or complete to suit OPS technique. Do your own statistics of scalping technique. Can scalping be profitable, yes. Are bar highs and lows meaningful, for some perhaps.
Here is a good thread about IB data in comparison with IQFeed: http://www.elitetrader.com/vb/showthread.php?s=&threadid=133955&perpage=6&pagenumber=1 These are tick charts (or CVB I dont know) for IB you receive not so many ticks but what is more important for me is high/low levels look at the highest high, at 08:33:25 it is 1950.50 for IQFeed but 1950.25 for IB then next low 1947 for IQFeed and 1947.25 for IB that what I meant by "1 tick differencies" and for my strategy it is important.
yes ib misses ticks sometimes, this is how. say we have a fed rate announcement. 10 secs b4 the number ES spikes a few points lower. then on the number it shoots upwards *instantly* climbing up say 4 points. IB might have the low as 1250.5 but the true low print was a 1250. This is because if you get alot of ticks in at once IB averages the tick price. say we get 10 prints in a 0.3 sec span. IB doesnt take the min or max print it just does an average. In general IB data is out by 1 tick sometimes, it does not happen often. And on sudden HUGE news or fed data is can be out by more. But I dont care because I dont trade news like a noob I agree that this could in theory affect your scalping. The flipside is IB is the fastest data provider availible and it NEVER lags, unlike say esignal. Its your choice, speed and reliability or accuracy. I choose the speed since I dont believe exact data is necessary to trade well. 99.99% accurate is good enough for me
<The flipside is IB is the fastest data provider availible and it NEVER lags> Thats exact my observation.
Sorry "The flipside is IB is the fastest data provider availible and it NEVER lags" THATS exact my observation
I'm rather certain IB does not average. What you get is the last sale IB received from the CME at the instant the IB server sends you the data. They accumulate the volume between the time slices you are sent. Volume is sent in a separate message. They increased the speed of the updates about 6 months or so ago - it is now 100ms (.1 sec), not 250-300ms. Jack