danjurgens

Moving from ToS I think you'll be disappointed with everything but the commissions. The first 2 months I had an account there I would randomly be unable to enter new positions with errors insufficient margin. I called in and both times they claimed something about "backend pairings" being messed up, and fixed the problem after about 15 minutes on the phone. I trade Iron condors and their margin system sucks if you wind up with overlapped spreads. Ex. if you trade 2 point spreads, but on a subsequent position you overlap two 2 point spreads into a 4 point spread they don't pair it off correctly with the opposing two 2 point spreads on opposing side calls or puts so it ends up taking 2x as much margin as I ever needed at ToS. I called in to complain about it and it was like talking to a brick wall, the person could not wrap their head around the concept of equivalent positions and how the 4 point spread on one side presented an equal risk as two 2 point spreads. And that the 4 point spread was really the same as two 2 point spreads where the long options of one spread has the same strike as the short options of the 2nd spread. I didn't get anywhere, so just note that in some cases you need to have double margin there. Also their executions suck, I've had a working order at TM sitting there, entered the exact same order at ToS after that and been filled at ToS, but never filled at TM. As an experiment one time I actually got filled at .01 better than my working order at TM on an order entered later at ToS, that time the TM order did eventually fill. All fill experiments were done with 2nd month SPY Iron Condors of 14-18 lots. So my general feeling is the lower commissions probably get eaten up with worse fills for the most part. So long story short. I wouldn't recommend them, hopefully TDAmeritrade doesn't ruin ToS.

You are probably limited by the time stamp of the data provided. Anything that goes sub second can only be determined on the live data feed, and must assume constant quote dissemination and local thread scheduling latency on your PC). However I would guess that using second data you could get a very reasonable approximation, that would unlikely differ much if at all visually from a milli or microsecond resolution, by distributing the second evenly over all prices touched during that second. I would also venture a guess that it wouldn't differ much visually from a volume profile. If you are interesting in attempting sub second analysis in NT search for the Gom indicators. There is a version of his GomRecorder that records millisecond timestamps so that'd probably ease your workload considerably, and allow you to retain the data after refreshing your charts. Assuming dissemination and scheduling latency are constant-ish it's probably an improvement over the second approximation, but may be a distinction without a difference.