When people say IB real time data is snapshoted, what do they mean?

Discussion in 'Data Sets and Feeds' started by mizhael, Apr 4, 2009.

  1. What's snapshoted, and what's the opposite to snapshots,...

    And what are the differences?

  2. I believe they are referring to fact that IB's data is sampled. (or many snapshots for data, rather than the continous stream of data).

    A full time and sales stream means you get every trade, and every bid/ask update when the market is open...

    but a snapshot means they are only giving you say every 5th trade, so you miss a lot of information.

    If you have to ask the question it probably doesn't make a difference to you... but it's something to be aware of.
  3. Hi, are you the developer of tradelink?

    Does tradelink handle order book market depth info and times and sales info?


    I've heard that TradeStation has the real streaming data... am I right?
  4. anjum55


    i am not certain how IB is giving such hugh amount
    of Data to so many clients, very difficult to say
  5. Eight


    IB aggregates the tick data and sends it out every few milliseconds. I have seen comments that this allows them to not lag markets in times of extreme activity, not sure at this point, the only way to know would be to get a very high quality feed and make a direct comparison. Also I wonder what the time stamped on the data could be, it can't be your computer time, I think I've seen comments indicating that IB puts their own time stamps on data when they get it from the exchanges.. we just have to trust them to not have a big latency to the exchange servers...