Newbie qn on timestamp of IB market data

Discussion in 'Data Sets and Feeds' started by gaiusparx, Jun 13, 2008.

  1. gaiusparx


    I am testing AmiBroker and NinjaTrader using IB real time data. The timestamp for the realtime and back filled data is based on PC clock. I live in a time zone which is gmt+8. So now the data is showing datetime as 14/June Sat morning. I am not sure if this is an issue as people in US will face same 'problem' as there are different time zones in US as well. This will happen also for those in US who trade instruments in both US exchanges and let say Hong Kong exchanges.

    Are the other data feed such as DTN IQ, Open Tick etc have the timestamp based on PC clock as well? Shouldn't the timestamp reflect the timestamp of the exchange?

    I am thinking of adjusting the time clock of my PC to US time zone. But then which US time zone must I set? Are all US exchanges in one time zone? Is it the correct way to do?
  2. JackR


    There are basically 2 USA time zones used for trading. East Coast (New York) (ET) and MidWest (Chicago) (CT). CT is one hour earlier than ET. Thus, the NY Stock Exchange opens at 9:30 AM ET, the Chicago futures exchanges such as the CME open at the same time but report the trades in its local time, 8:30.

    I'm not familiar with Ninja but AmiBroker has the capability to shift exchange time zones internally. Try searching through the setup for the database or real-time feed.

    It is hard to believe that most market software does not have a similar capability as traders worldwide often use the same software and probably like to see the times treated in some consistent manner.

  3. inPeace


    1. according to my experience, ib does not deliver exchange timestamp data.

    2. ib timestamped data will be further processed. eg. open a 5-min ib chart and you will see no trades at any start hh:mm:ss:000 of any bars. i.e. ib data is "the cleanest data" you could get from ib.

    3. using local-mahcine-timestamped data, in the long run, could have serious impact on data integrity and eventually your trading result.

    4. write your own codes that organize data according to ib timestamped data. or google for "jsystemtrader" and rewrite its bar-factory component to adapt for ib timestamp.

    in my opinion, long term data integrity and reliablity is the foundation of any successful system.
  4. Tums


    One correction:

    IB's live streaming data has no timestamp. Your charting program inserts your pc time to make your chart.

    IB backfill data is GMT timestamped. Your charting program makes a conversion to the time you specified (either local time or exchange time).