Ticks and tape

Discussion in 'Trading Software' started by ScalpGuy, May 6, 2007.

  1. ScalpGuy


  2. ScalpGuy


    Some hassle here but here is my question,

    Do you agree that allmost every chartting application which uses Interactive Broker's feed and which have the time & sales feature does NOT show the side of trades (bid or ask) right?

    Currently I am using CME's E-Quotes and I can see this very clearly. I suppose that CME's T&S bid/ask is accurate...
  3. Not sure if this is what you mean but Quotetracker with IB time and sales shows trades going off at bid in red and ask in green.

    <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=1458655">
    • t&s.png
      File size:
      21.4 KB
  4. Compare what you see in QT T&S to what you see in TWS quote panel
    or whatever the heck it is called.
  5. I dont really use time and sales so I dont track it that closely but the time and sales on qt matches the last trade on tws and the combination of QT and IB works well for me. The different data feeds Ive tried were no better than IB and some were definitely worse but I havent tried them all.
  6. IB aggregates ticks. This suits me. I have seen some data vendors way way behind in fast markets. IB does not appear to suffer from this.
  7. QT takes IB ticks and further aggregates them which slows their
    appearance in the charts of QT. (Only by so many milliseconds though).

    If you have Ensign you can see the difference.
  8. ScalpGuy


    Well the point was that the "side" (=bid or ask) is not shown correctly when comparing with the CME's feed.

    I talked with the Amibroker's support and they said that the problem comes from the IB because they do not send every tick (which I allready knew but didn't understand that this is the same reason) and that produces "not in sync" situation.

    So I have to change the feed service to see T&S in my charts...
  9. From what I understand even the CME is aggregating ticks nowdays...

    It would be interesting to know if they are putting all the trades
    on the right side or not... (bid/ask)...
  10. ScalpGuy


    You sure?
    I will ask this directly from CME lets see what they say...
    #10     May 7, 2007