Missing ticks in IB tick feed

Discussion in 'Automated Trading' started by bln, Aug 5, 2011.

  1. bln


    Anyone else seen this behavior then receiving tick data using their recMktData subscription function call? I use the Posix C++ API.

    SPY today, 5min period 16:25:00-16:30:00 TWS shows low 119.04 but the lowest tick I received by the API is 119.12
  2. As I understand it IB doesn't give you a true tick by tick chart. Instead I believe they are like 30ms snapshots .. maybe larger
  3. rcj


  4. IB's data snapshot updates futures data every 100 ms and other data every 250 or 300 ms.
  5. sma202


    is this delay only thru their api feed or also on their gui?
  6. IB doesn't delay data, it sends realtime data on a periodic snapshot basis.

    For example, if ES trades 10 times in a 100 ms period the IB snapshot will show the price for the last of the 10 trades and the total volume for all 10 trades. IB's data will not lag during a fast market. For true tick data you need a different data feed and a platform that can process every tick.

    TWS and the API have the same snapshot data feed.