tick by tick with Interactive brokers

Discussion in 'Retail Brokers' started by z32000, May 22, 2007.

  1. z32000


    I can't seem to get a straight answer from IB as to whether they support tick by tick with third party software such as sierracharts. I spoke to two people and they asked me to explain what tick by tick is.
    Does anyone know if they do support it?
  2. tdubnik


    No they do not.

    Their data feed is the same regardless of the software package.
  3. What is tick by tick?
  4. No, IB does not have true tick-by-tick datafeed.
    It snapshots the price change every 0.2-0.3 second.
  5. Tick by tick means that each time there is a transaction then a packet is sent to you containing price and volume for the tick.

    This is good for tick charts.

    The downside is that during fast markets the data provider needs lots of bandwidth or the charts don't keep up with the market (all your charts). Thats when the data is lagging the actual market and you can get all sorts of surprises when you place an order!

    Esignal was a classic for these problems but most tick by tick providers suffered it to one extent or another.

    IB's solution is to send NO MORE than 1 packet every 200ms (1/5 second). If two ticks happen in that time the true volume is there but it only shows as one tick on your chart with the last price. Tick charts still work but u have less ticks than esignal say. I have used tick charts on one of the fastest markets of all, HSI, for the last 3 years and don't have a problem - its just a matter of understanding your data and your charts.

    If a resolution of 1/5 second is not enough for you then you need to pay for your data. Simple.

    Note: most tick by tick providers do some bundling now (but less then IB).
  6. z32000


    do you think it's worth paying extra just to get tick charts? I was thinking of purchasing data feed just for tick charts...never know really if it really helps with trading.
  7. If you are using MarketDelta or similar or are interested in the true number of trades and volume going off at the bid and at the ask, then there is clearly some point to having every trade delivered to your software. However even in this area the IB feed is still quite usefull.

    Advocates of tick charts will no doubt say you need a proper tick feed. I'm not convinced, but I could well be wrong.
  8. Do you mean you can still use IB datafeed for market profile analysis (MarketDelta)?

    I don't think so. Your result will be skewed. Also IB tick has some technical problems (eg IB doesn't timestamp their ticks correctly, no backfeed etc.)
  9. You mean that you still actually think...
    That tick-by-tick pattern analysis has value?

    Maybe when the world had 1/8 or 1/16 ticks...

    But today...
    So many small trades and bids/offers are just black boxes doing crazy things...
    Tick-by-tick data is totally CORRUPT.

    Snapshots would be much more representative of what is going on.
  10. With regards to using IB data to feed MarketDelta's Market Profile charts....this will work fine in general. If you show the volume bars (volume at each price), then those might be slightly off...and if you have selected any of the delta-based coloring options to color the letters/tpos, then those will not be accurate either (due to the snapshot quotes IB supplies vs true ticks....this has already been discussed I believe). But in general, the profiles resulting from IB data should match those generated from data of eSignal, IQ Feed, etc. And anyone using IB should choose to add the DTNMA option for historical backfilll (true ticks).

    And in response to another post, there is much to be gleaned from tick data...when properly aggregated and presented.
    #10     May 29, 2007