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!
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. http://www.ensignsoftware.com
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.
Exactly, there's no way to convert consolidated data into a finer granularity. The information is lost. Think of it as one-way compression.
Mind you dont, some exchanges (Globex for example) aggregate ? Cheers, Nick 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.
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 923572---827497