Question about interactive broker market data

Discussion in 'Data Sets and Feeds' started by pvt_trader, Jan 27, 2017.

  1. I see that US value bundle (one of the IB's market data product) has following description : " A BBO alternative that will deliver aggregated quote, trade, volume, and optional depth information for all four US equity exchange books operated by BATS (BATS, BYX, EDGX, EDGEA). Includes Dow Jones Industrial Average and S&P 500 Indices and top of book GLOBEX quotes for CBOT, CME, COMEX, and NYMEX"

    Can someone explain me what are these different exchanges? I am aware of NYSE and NASDAQ. Would this data contain real-time information from the companies listed at NYSE and NASDAQ? How does it work?
  2. kmiklas


    I can answer part of this question: the "real-time" part--perhaps the most important part of the question.

    IB is not a tick data provider. Their data are:
    • Delayed. Four quotes per second.
    • A volume-weighted average... of the trades in the last 250ms or so.
    • Bursty. At times you may wait several seconds for a burst of prices to arrive.
    It is this way to circumvent significant non-dispay fees. It gets involved.

    If you want tick data, check iqfeed. They are the most affordable provider of tick data @1ms that I know of.
  3. Zzzz1


    Not really precise nor accurate.

    * IB Historical Data are tick data, their real time data is not.
    * There is no specification exactly how many quotes per second are disseminated.
    * The frequency of price updates does not have to be 250ms. It can be less or more.
    * Bursty? What does that mean? If there is no trade or bid/offers are not updated by liquidity providers then you may not see price update for minutes/hours, just as with any other broker or data feed
    * The reason for the snapshot data was never to circumvent non-display fees. That is total nonsense. Non-display fees did not even exist until about a year or two ago. The original reason for snapshot data was to not clog up the networks during fast moving markets. Then additionally, the snapshot market data helped IB to negotiate with exchanges to offer clients a near real-time data feed at a heavily discounted price. Info on this point is something I was given by IB itself.

  4. I don't really agree with @kmiklas 's comments, @Zzzz1 is closer to my experiences with IB.

    Additionally, what IB means with "A BBO alternative" is that if you want to give the Best Bid and Offer prices at any moment in time you need to scan all potential exchanges where a certain instrument is being traded. This could become very costly for IB to aggregate and provide to their customers (you!). So they take a reduced number of exchanges and combine the price information from those exchanges. This is why they use the word "alternative" in their description: it is close to being the BBO but could sometimes not be the actual best bid or best offer.
    Zzzz1 likes this.
  5. kmiklas




    To address your counters:
    • By "tick data," I mean price quotes provided at the time that they occur, with latency and delay only due to system/network limitations. IB does not provide this: they provide a "snapshot."
    • Historical data, being in the past, doesn't have "tick data" because it's in the past. It has a "time stamp," for example, "These data are time stamped to 1ms."
    • So, what the heck do they mean by "snapshot? As stated above, "real-time data is generated as a snapshot." They mean a VWAP: a volume-weighted average price of all the last trades since the previous snapshot.
    • "Bursty" means that each 250ms "snapshot" is not regularly delivered to you every 250ms. You may get a burst of them. Example: You may get nothing for two seconds, and then a burst of eight price "snapshots."
    • Re: your comment "no price update for minutes/hours," I'm talking about active U.S. equites, those in the S&P, like MU, INTC, CSCO, etc. These have price ticks at the nanosecond level.
    • Regarding non-display fees, I acknowledge your point and agree.
    Finally, I must state correct usage of the word "data," It is plural. A bit of a pet peeve of mine, correct usage of this term would be used as "these data are delayed," not "this data is delayed." The latter is incorrect grammar.

    Last edited: Jan 28, 2017
  6. Zzzz1


    I am very familiar with IB's API documentation. But I am more familiar with reality. All too often IB's documents are not accurate and even lesser so up to date. I can assure you that the default frequency is not 250ms, not even when you colocate/proximity locate and virtually exclude network jitter.

    "Tick Data" is a quote type and the definition is NOT a function of whether you received the data in real-time or whether the tick data set is an archived historical time series of past real-time data. Tick Data simply means that it is uncompressed by time. Nothing more, nothing less.

    Re "Bursty", I am not debating definitions, I said this has nothing to do with IB's feed. It has to do with how frequently prices update purely as function of trading activity in the market. Sometimes you have fast moving markets, sometimes a price does not change in a minute or even longer.

    Re "Snapshot" you are again changing the topic. You put up some false claims why IB introduced and still uses snapshot data. Your claim was simply wrong and I corrected it.

    Even some grammatical nuances do not save your post from having contained tons of factually false information.

  7. kmiklas


    Would you be willing to run a timing algorithm on your box?

    I have written a C++ algo that timestamps snapshots as they arrive, and prints this timestamp to the screen, along with delay since the last timestamp.

    Are you on Windows, linux, or Mac? I can compile it for any of the above and send it to you via github.

    Then you will see the data patterns that I am talking about. No phone call to support, obsolete documentation, or other faulty information. The algo just prints the snapshots as they arrive, with delay since the last snapshot. This would conclusively settle the issue.

    Like most C++ developers, I am a "performance freak," as they say. I will fight for every time increment, down to the clock speed of the processor that I'm running on.
    akshay12 likes this.
  8. Zzzz1


    mate, do you understand how markets operate? No data vendor in the world is sending a price update when there is nothing to update. Only when market prices change will data vendors (hopefully) reflect that. Which part is so hard to understand?

    Let me give you an example:

    USDJPY, current bid/offer: 115.145/115.147

    Unless IB's liquidity providers will adjust the bid, or offer, or both, then 115.145/115.147 will be the last update you receive. Regardless of whether IB aims to stream updates at x-milliseconds, without price changes there is nothing to stream.

    You may be a C++ performance freak, but you apparently are incredibly "thick" when it comes to absolute market basics.

  9. TraDaToR


    BATS, BYX, EDGX, EDGEA are ECNs where stocks primarily listed on NYSE, NASDAQ and AMEX are traded as well. those are just other market centers ( with different rules, fees...)where you can trade the same securities. CBOT, CME, COMEX, and NYMEX are futures exchanges( or derivatives exchanges) where you trade Index, bond, currency or commodity futures. This data feed contains real time datas(current bid,ask,last trade,volume...) but not fundamental information about the companies listed if that is what you mean.
  10. zdreg


    The word data has generated considerable controversy on if it is a singular, uncountable noun, or should be treated as the plural of the now-rarely-used datum. Usage in English In one sense, data is the plural form of datum. Datum actually can also be a count noun with the plural datums (see usage in datum article) that can be used with cardinal numbers (e.g. "80 datums"); data (originally a Latin plural) is not used like a normal count noun with cardinal numbers and can be plural with such plural determiners as these and many or as an uncountable noun with a verb in the singular form.[1] Even when a very small quantity of data is referenced (one number, for example) the phrase piece of data is often used, as opposed to datum. The debate over appropriate usage continues,[2][3][4] but "data" as a singular form is far more common.[5] In English, the word datum is still used in the general sense of "an item given". In cartography, geography, nuclear magnetic resonance and technical drawing it is often used to refer to a single specific reference datum from which distances to all other data are measured. Any measurement or result is a datum, though data point is now far more common.[6] Data is most often used as a singular mass noun in educated everyday usage.[7][8] Some major newspapers such as The New York Times use it either in the singular or plural. In the New York Times the phrases "the survey data are still being analyzed" and "the first year for which data is available" have appeared within one day.[9] The Wall Street Journal explicitly allows this usage in its style guide.[10] The Associated Press style guide classifies data as a collective noun that takes the singular when treated as a unit but the plural when referring to individual items ("The data is sound.", and "The data have been carefully collected.").[11] In scientific writing data is often treated as a plural, as in These data do not support the conclusions, but the word is also used as a singular mass entity like information, for instance in computing and related disciplines.[12] British usage now widely accepts treating data as singular in standard English,[13] including everyday newspaper usage[14] at least in non-scientific use.[15] UK scientific publishing still prefers treating it as a plural.[16] Some UK university style guides recommend using data for both singular and plural use[17] and some recommend treating it only as a singular in connection with computers.[18] The IEEE Computer Society allows usage of data as either a mass noun or plural based on author preference,[19] while IEEE in the editorial style manual indicates to always use the plural form.[20] Some professional organizations and style guides[21] require that authors treat data as a plural noun. For example, the Air Force Flight Test Center specifically states that the word data is always plural, never singular.[22] <>
    #10     Jan 28, 2017
    kmiklas likes this.