Tick by tick data on TWS

Discussion in 'Data Sets and Feeds' started by e-miNY, Sep 7, 2006.

  1. e-miNY


    Any software that can convert IB's data into tick by tick for third party software use? I think Linn's direct market access can convert to tick by tick instead of updates in 0.2 seconds from IB, please correct me if i am wrong.

    Right now, the T&S is dead wrong on from IB. Instead of ten one lot if updated tick by tick, it shows a one ten lots.

    Any software out there that can show tick by tick on IB? Thanks in advance for the help!
  2. Nope.....that is not possible with "snapshot" data....get the real McCoy!
  3. e-miNY


    What's a real mccoy?
  4. Oh sorry....like DTN.IQ or Esignal feed.

    I was just kidding around with you. :)
  5. Arnie


    I use tick charts with IB data and Ensign all the time. Is that what you mean? The chart shows every trade. I'd post a screen shot if I knew how.

  6. e-miNY


    I dont think the tick chart u see is accurate. Within 0.2 seconds, there might be 5 trades (like running through stops or something), but it only show one trade because IB's data is not tick by tick.
  7. Exactly, there's no way to convert consolidated data into a finer granularity. The information is lost. Think of it as one-way compression.
  8. Only if you don't mind treating 0.2-0.3 second of bar as tick chart.
  9. Mind you dont, some exchanges (Globex for example) aggregate ?


    P.S. I was filled by IB 5 ticks higher than the highest print I got from TWS today on DAX (Eurex who I think does not aggregate). That was wierd.
  10. Probably it is due to data corruption or bad ticks. It sometimes happen.

    I once saw funny numbers on my quotes like:
    Bid size---bid price
    #10     Sep 8, 2006