amibroker : Message: Re: [amibroker] Interactive Brokers Plug-in dropping volume data

Hello,

It was explained many times that IB is NOT up to professional standards when it comes to RT feed.

It is not tick-by-tick feed. It is designed to only update TWS display grid.

There will be differences because TWS is NOT tick by tick feed. It does NOT send all ticks.

It sends 0.3 sec snapshots instead.

Check this (really please read this entire thread to understand the IB feed):

http://www.interactivebrokers.com/cgi-bin/discus/board-auth.pl?file=/2/37364.html

Quote from TWS Interactive Brokers board from TWS IB Staff:

"The quotes that you see on the TWS and are currently seeing from the API will, in all likelihood, will be the best you�re going to get over an internet connection. The catch in that sentence is the word �currently�. To even the most seasoned trader, the quotes will appear to be every tick � but that�s as fast as the human eye and brain can register. Where the excellent quotes you�re getting will lose their high marks, are when a computer program puts them under the microscope.

Our system and TWS makes no effort to hold on to and ensure the delivery of data. Whatever the default buffers you have for memory, processor, TCP (I have no idea, anymore what the threshold is) is all you will get to ensure that you get a given tick of market data. This is a good thing, in that you will rarely see a stale tick. It�s not such a good thing if you want to go back and look at what the market was doing after whichever guy said something on the news that caused everyone to do something silly.

...

The market data feed isn�t, however, time and sales, and it probably never will be; but we�re always trying to improve it. Just keep in mind that order flow, status, execution information will always be acknowledgement based, and take a higher priority than market data.
"

Another quote:

"
1. If there happen to be more than one trade within the 0.2 to 0.3 second time interval, the resulting volume is delivered only once. Instead of a 15 contracts + a 5 contracts trade ib is reporting 20 contracts only. This difference between IB feed and reality doesn't seem problematic, since it's usually no difference to your trading strategy if there are two trades of 15+5 or one of 20 contracts.

2. If there happen to be more than one new price within the 0.2 to 0.3 second interval, important data may be lacking.

Suppose last report on EURUSD Future was LastPrice=1.2910/Volume= 12.500.
Then a peak trade occured with Price=1.2919/160 contracts/ ->Volume 12.660
and within 0.1 seconds another trade with Price 1.2914/10contracts/ ->Volume 12.670

0.2 seconds later the subsequent IB report would be: LastPrice=1.2914/Volume 12.670

So counting on IB realtime data you wouldn't know that price jumped up to 1.2919 in the meantime.
...

On the contrary, IB feed is very relialble with one exemption: You shouldn't base a trading strategy on your IB feed, which depends on single peaks or the exact number of Up- and Down-Ticks.
"

Since not all ticks are sent you CAN NOT rely on volume sent with each tick. Instead you need to rely on TOTALVOLUME (Cumulative)

that is sent _FROM TIME TO TIME_ (not with every update!).

So the software must GUESS the ticks from incomplete data stream!

Now depending how software interprets the stream you may get slight differences in "time and sales".

What is guaranteed is only cumulative volume over a day, single tick volumes are not guaranteed due to the lack of all trades in real time feed.

What AmiBroker does is to collect all 0.3 second updates ("IB ticks") and and display them as they are coming, calculating cumulative

volume from data that arrive, then when CUMULATIVE VOLUME update comes and it differs from calculated cumulative volume an

next update tick gets extra "missing piece of volume" added so cumulative volume matches over the day.

From what I heard unofficially (not verified info) quote tracker only uses cumulative volume updates, so you may get less ticks using QT than using AB.

One way or another, no matter what application you use, IB feed is NOT tick-by-tick *by design*. They only provide 0.3 second snapshots

and what you see in time&sales are not ticks. These are 0.3 second updates.

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----

From: Clement Chin

To: amibroker@yahoogroups.com

Sent: Saturday, December 01, 2007 2:18 AM

Subject: RE: [amibroker] Interactive Brokers Plug-in dropping volume data

If you compare the Time & Sales of QuoteTracker and Amibroker, there are some differences. So, I think so.

Clement

From: amibroker@yahoogroups.com [mailto:amibroker@yahoogroups.com] On Behalf Of Barry Scarborough
Sent: Saturday, December 01, 2007 3:28 AM
To: amibroker@yahoogroups.com
Subject: [amibroker] Interactive Brokers Plug-in dropping volume data

I started having trouble with IB dropping volume on back fill. I have
seen that on iwm, uwm, eem, eev as some examples. I noticed it first
with IWM 5 minute chart using the VFI indicator where the volume plot
is missing back to the point where the volume is correct. The 1, 15 and
60 minute charts were OK. UWM is failing on 1, 5 and 15 minute charts.
For the most part it is 5 minute charts that fail. Quote Editor shows
the volume is missing. The missing data starts around 11/23 at 3 PM.
IWM has a volume gap, the value is 0, from 11/20 to 11/23.

With EFA the 1 and 60 minute are OK but the 5 and 15 minute fail.

Anyone have any idea what is going on either with the plug-in or IB
data? I reported this problem to IB customer service but probably won't
hear back for a week or more. They have not been very responsive.

Thanks,
Barry

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