IB TWS Time and Sales

[jim2000 10]

I just downloaded the IB TWS demo and was playing around with it trying to set it up. I was having trouble with the T&S and wondered if anyone could give me some help.

 

Basically 2 things:

 

1. It seems that you can't change T&S to be either ascending or descending. The data populates the bottom of the window meaning i have to scroll down to see the latest prints.

 

2. Also, this data does not stream. You have to refresh it to get the new data.

 

Anyone here use IB TWS, and am I missing some configuration settings or something?

[ant 10]

Jim, I don't use IB TWS, but I will say that IB T&S is not accurate as they aggregate orders together to save bandwidth. For example, there may be two orders with bid size 10 and bid size 23, that could show up in T&S as one entry with bid size 33. So I wouldn't use it for trading since it is misleading. Perhaps others can chime in here if I am incorrect.

[stanlyd 10]

you will need to use a third party to correctly use the T&S. Ib just doesnt offer a good version of that feeature with TWS. I am not sure what you can use but I think their is a link on the IB website about third party software. Might want to look at that.

[Hot_Wings 10]

Never used that program. All i do is use the scottrade account that I have and the free scottrader set up that you can log into with a scottrade account.

 

In scottrader the time and sales window is great, it shows every order and scrolls. As the book "swing trading for maximum profit" says, "all some people need to do is watch the time and sales widow and the level 2 data to make profitable trades." How right he is.

[ptop 10]

If you use IB and want streaming time & sales use quotetracker http://quotetracker.com/index_nn.asp it has streaming time& sale and great charts and it if free and uses IB data.

 

Cheers

[OAC 10]

If you following several markets, you can have QuoteTracker run them as a ticker tape scrolling at the bottom of your screen just like you see on CNBC.

[wiseguy 10]

re: IB T&S. quite i see a double up of figures. i assume this is not how its shown on a proper data feed?

 

 

 

Also, are the volume readings with IB the same as a proper data feed? Afterall, i'm assuming IB gives 0.2 sec snapshots.

[Soultrader 12]

A snapshot will just plot the time of sale again. Which is why you are seeing a double print. This is not seperate transaction but the same one. I a similar problem when trying to view time of sale on excel through Reuters because all it does it takes a 1.0 sec snapshot.

 

Time of sale seems to be a lacking element in many data and platform vendors. Tradestation offered great time of sale but I do not have it anymore. I am looking into esignal data and charting to see if their TAS can be modified to filter out big lots like Tradestation.

[stanlyd 10]

Yes you can filter out larger lot orders in esignal the same way as tradestation. I use esignal and am very happy with the TAS.

[wiseguy 10]

Is it possible to bring up IB's T&S without having to open up the real-time charts?

[ptop 10]

wiseguy you can with the new version of tws but it is still not streaming which makes no sense to me??? You have to use the feature selector to view it.

 

Cheers

[Xiao si 10]

IBs Time and Sales window seems to work fine now for streaming the prints live. I have only a few 'beefs' with it now...

 

1.) when printing in between the bid and ask it goes to like 3 decimal places...why? Not needed, just make it another color.

2.)Its difficult to configure so its one solid color, like blue. Very difficult to get zoned into the price action and just focus on the prints.

3.) I'm still not sure i the data is shown as aggregated or not, can anyone tell me?

 

Cheers,

 

 

XS

 

EDIT: from IB's release notes....Choose Between Calculated and Native Volume

 

You can now configure the Volume field to show Calculated “true tick” volume data. The current snapshot Native volume data does not update every tick. Please note that if you elect Calculated volume data, it may not include delayed transactions, busts, late-reported trades or combos. To configure the Volume field, right-click on the field and choose from Prefer Native Volume or Prefer Calculated Volume.

Edited September 11, 2011 by Xiao si

[carltonp 10]

3.) I'm still not sure i the data is shown as aggregated or not, can anyone tell me?

 

.

 

I believe still aggregated .... which is the bummer

[carltonp 10]

If you use IB and want streaming time & sales use quotetracker QuoteTracker it has streaming time& sale and great charts and it if free and uses IB data.

 

Cheers

 

Hi, will this overcome the issue with inaccurate tick by tick information?

 

Cheers

[Ni2Bba2011 10]

Jim, I don't use IB TWS, but I will say that IB T&S is not accurate as they aggregate orders together to save bandwidth. For example, there may be two orders with bid size 10 and bid size 23, that could show up in T&S as one entry with bid size 33. So I wouldn't use it for trading since it is misleading. Perhaps others can chime in here if I am incorrect.

[Xiao si 10]

Jim, I don't use IB TWS, but I will say that IB T&S is not accurate as they aggregate orders together to save bandwidth. For example, there may be two orders with bid size 10 and bid size 23, that could show up in T&S as one entry with bid size 33. So I wouldn't use it for trading since it is misleading. Perhaps others can chime in here if I am incorrect.

 

After two weeks of IB Time and Sales on my simulator, I'll be switching to eSignal on NT in order to get a better Time and Sales picture. Although they call their data 'true tick' it is indeed 250 ms snapshots.....

 

IB are a great broker, but useless otherwise.

 

XS

[Tams 20]

ALL data providers aggregate their datafeed.

 

Read the fine prints!

[RichardHK 10]

ALL data providers aggregate their datafeed.

Read the fine prints!

 

Is this really the case for ALL? Is it not true that I can get clean tick level data from Kinetick? And other providers most likely?

 

(1) Further to IB topic, I plan to use IB soon with NinjaTrader front end and Kinetick feed. Objective is to then use the JigsawTrading tools to give a reasonably accurate Time and Sales and DOM to identify large trade sizes. Has anyone any experience with this? Or is there a better way?

 

(2) Lots of old 2009 talk on CME breaking up the tick data to not show large orders, yet I find nothing being said on topic for last few years. Is this CME order size data still broken up now? I often get very large orders on TradeStation T&S (500+, 700+...) which makes me wonder.

 

Any comments appreciated. Not much up to date discussion on this valuable topic as said.

[Xiao si 10]

Is this really the case for ALL? Is it not true that I can get clean tick level data from Kinetick? And other providers most likely?

 

(1) Further to IB topic, I plan to use IB soon with NinjaTrader front end and Kinetick feed. Objective is to then use the JigsawTrading tools to give a reasonably accurate Time and Sales and DOM to identify large trade sizes. Has anyone any experience with this? Or is there a better way?

 

(2) Lots of old 2009 talk on CME breaking up the tick data to not show large orders, yet I find nothing being said on topic for last few years. Is this CME order size data still broken up now? I often get very large orders on TradeStation T&S (500+, 700+...) which makes me wonder.

 

Any comments appreciated. Not much up to date discussion on this valuable topic as said.

 

 

Ninja, IB & Kinetick all work flawlessly together. I'm also a jigsaw user and Kinetick work very well. IBs data is fast but many prints show up in between the bid and ask as white prints. If your are interested in order flow then Kineticks the go on the jigsaw DOM.

 

Cheers,

 

 

XS

[RichardHK 10]

Ninja, IB & Kinetick all work flawlessly together. I'm also a jigsaw user and Kinetick work very well. IBs data is fast but many prints show up in between the bid and ask as white prints. If your are interested in order flow then Kineticks the go on the jigsaw DOM.

Cheers,

XS

 

Hi XS,

 

I finally got going with NT+IB+Kin+Jigsaw yesterday and so far so very good. Have a 2 week window for a money-back guarantee on Jigsaw tools but not looking like I am going to drop this setup. Thanks for your positive feedback which reinforces staying with NT+.

 

Only 'problem' is I cannot get the complex screen setups I have with TradeStation, but then again, why complicate trading? Ninja is forcing me to focus on the minimum screens needed which I believe is a good thing. I have several workspaces setup on TS purely for trade confirmation, but they are just an excuse for taking the trade!!

 

Thanks again,

Richard

[Xiao si 10]

Hi XS,

 

I finally got going with NT+IB+Kin+Jigsaw yesterday and so far so very good. Have a 2 week window for a money-back guarantee on Jigsaw tools but not looking like I am going to drop this setup. Thanks for your positive feedback which reinforces staying with NT+.

 

Only 'problem' is I cannot get the complex screen setups I have with TradeStation, but then again, why complicate trading? Ninja is forcing me to focus on the minimum screens needed which I believe is a good thing. I have several workspaces setup on TS purely for trade confirmation, but they are just an excuse for taking the trade!!

 

Thanks again,

Richard

 

My pleasure Richard. I use a laptop at my job location to practice the DOM. I use volume profile to structure the market so all up i have three charts, but only execute off a minor time frame chart. I would like 6 screens once i get back at this fulltime, but i love screenestate...who doesn't! lol! Agree NT can be a pain with work spaces and i like my MultiCharts best for that.

 

Been using Jigsaw and my other volume profile vendor for six months or better now. Intra-day trading would not be the same without it.

 

You trading the Hang Seng Richard...or the Kospi?

[Xiao si 10]

Are you a jigsaw user? Can you explain me how it's work....?X.o

 

Jigsaw is just an add on that lets you understand whats happening in the market depth. It lets the prints stick around, alerts you to icebergs and large orders.

 

Very handy training tool for those wishing to learn how to read the depth of market on futures.

 

XS

[BlueHorseshoe 10]

Jigsaw is just an add on that lets you understand whats happening in the market depth. It lets the prints stick around, alerts you to icebergs and large orders.

 

Very handy training tool for those wishing to learn how to read the depth of market on futures.

 

XS

 

You're back!

 

Did you get anywhere with the automated strategies in the end, or move on to other stuff?

 

BlueHorseshoe

[Xiao si 10]

You're back!

 

Did you get anywhere with the automated strategies in the end, or move on to other stuff?

 

BlueHorseshoe

 

I drew down to my system stop last spring and stopped trading my intraday and EOD systems. Then i had to transfer my trading capital to my family to use in Canada so i took the time to learn the depth of market, volume profile, then started trading live again. I was profitable for the first two weeks and then i took a job in Northern China to help a mate out for a year or so....so back to practice for now...actually looking at TST.

 

Hows it been for you, you ride that bull up?

[RichardHK 10]

... ... Been using Jigsaw and my other volume profile vendor for six months or better now. Intra-day trading would not be the same without it.

You trading the Hang Seng Richard...or the Kospi?

 

No, I am an ES guy! Will take a look at HSI now I am on IB. Also want to try the European Bund and similar when my tape reading skills are up to it to give me more afternoon trading choices.

 

Will trade the ES Globex this week using Jigsaw tools only (no charts) to accelerate my learning. Been tape reading with the TradeStation T&S and DOM for some time but as you know, just not enough info available.

 

Thanks for your setup pic. I like the price centred (centered) and have adjusted mine to same. Now training my left eye for bids and right eye for offers! Got some practice time to put in. :missy: