IB Tick Data ... is It Worth Anything ?

[JKLM 10]

Can someone explaine to me how IB calculates and send tick data

are they slightly worse than others ..or complete crap

 

thanks

[Head2k 10]

IB does not send tick data. The data it sends are 0.2 - 0.3 second snapshots. So they aggregate ticks in 0.2 - 0.3 second intervals and this is the greatest detail you can get.

[JKLM 10]

OK

I understand that it may delayed 0.2-0.3 second ..but when I get new refresh do I get info what was happening between two refresh ( trader volume and ticks )

[Head2k 10]

OK

I understand that it may delayed 0.2-0.3 second ..but when I get new refresh do I get info what was happening between two refresh ( trader volume and ticks )

No. Sorry for not being clear enough. Actually you dont get tick data in 0.2-0.3 second snapshots, but you get 0.2-0.3 second bars (or candles or whatever).

[Kiwi 16]

No. You actually get the last price and accurate or probable volume for that 0.2 seconds - there may be other prices during that period but they are not represented.

 

Thats why IB did the 5-second bars ... which do contain an accurate count of volume + a bar representing OHLC for the 5 seconds. But never a tick count that matches other tick counts.

 

Its not that its complete crap - just that if ticks happen more frequently that 0.1-0.2 seconds then the missing count is missing. It can still be very useful - its just not a count of all ticks.

[JKLM 10]

in other words IB data is not good for tick charts

 

what do you suggest ?

I am using Multicharst for charting and IB as a broker

[BlowFish 10]

Your options are

 

1) use IB's .2 seconds snapshots you will find a size that has the same look and feel as the tick size that you are used too.

 

2) Use constant volume, time or range charts (different look and feel). Constant volume is likely to be closest to what you are used to and some would argue better for some purposes.

 

3) Use another data provider (Zen Fire, Esignal, DTNIQ) spring to mind.

 

 

Be aware that some exchanges will aggregate ticks certain circumstances. I'm pretty sure (from memory) Globex is one so essentially its impossible to get absolutely full tick data for instruments trading there.

[JKLM 10]

Is it possible to take only ZenFire data feed, because I am not interested in brokerage service

[stanlyd 10]

Of the three mentioned above I would first go with DTN IQ data without opening another broker service. They just supply data for you and are usually pretty solid. Not sure about Zen or how they work. I would not recomend esignal anymore as I have had a lot of trouble with them in the past.

[Soultrader 12]

Esignal is a headache. The data is never reliable and bad tick is a common occurrence. Clean data in my opinion is a must in trading. Ive used DTN in the past but never had a problem with them. Though I think this industry needs more data vendors.

[Kiwi 16]

JKLM, to answer the question: is ib data useful for tick charts one has to know why you want to use tick charts. So, why?

[JKLM 10]

because I want eliminate time factor from charts ...

[BlowFish 10]

Constant Volume might do you then? If you are going to use indicators on top CV (arguably) produce smoother results.

[JKLM 10]

I already try with volume charts, but i geting better results on tick chart

 

but not sure are IB tick data in Multicharts reliable

[BlowFish 10]

Errm that was already answered at the start of the thread.

[Kiwi 16]

The question of reliability is an interesting one though blowfish.

 

I use IB tick data to generate tick charts. I have for the last few years.

 

I know that backfill won't give it (because backfill is limited to 5 seconds per bar or 30 seconds per bar or whatever best granularity your chart package requests from IB).

 

But in real time my tick charts spread out fast action so that action I wouldn't see on a minute chart after a breakout becomes clear and tradable. So for me, the tick chart is reliable (I don't care that the maximum ticks per second is 10 because thats still 600 tick or 100 6 tick bars in 1 minute).

 

So, for my use, IB ticks are perfectly "reliable." The show slow progress during slow times but spread the action out for clearer signals during fast action.

 

Personally, if you draw channels and trendlines or other angled lines on charts I recommend that you do that with minute charts because tick and volume charts distort them depending on current speed of action. But, although thats a common view, its just one view.

[BlowFish 10]

Absolutely! I really like the 'look and fee'l of IB's 'pseudo' ticks and find them 'reliable'. In a fast market I would far rather have a 200ms sample with timely information than a full tick feed lagging by x seconds.

 

I really don't believe its a big a deal as some people make out though I guess some black boxes or quantitative systems might function better with an un-aggregated feed. I guessed that was the point of your question about application. I really can't imagine too many that would be impaired using IB's data despite its compromises.

[JKLM 10]

OK ..I understand that RT tick chart is diferent because IB 0.2 sec snapshot data

 

but when I request history tick chart from IB in MC ...what would I get ?

true tick chart as it should be, or something other ?

 

I am asking this because I am not sure... can I test anything on IB history tick charts and expect similar results when it goes live ?

 

in other words ...If I trade on IB tick data ....what data should I use for backtesting and building my system ?

[Kiwi 16]

It depends on what history granularity you charting requests. 5 second is the finest and SierraChart only requests that when you are in a 1 hour or below situation. 30 second is used by SC for longer term backfill requests.

 

 

If you are backtesting a system based on ib tick data you need to use the same fill you will use live ... ie live.

 

But to be frank if you want to test based on tick data you had better pay the money and get a feed that provides you true tick data live and backfill.

[brevco 10]

I have used DTN IQfeed for almost one year and have never experienced a problem with them. They have been very reliable, and their customer service has been very good.

 

Another one I've heard about, but have not tried is Open Tick. I understand they are not accepting any new customers right now, though.

[JKLM 10]

I just need to see how good is IB tick data

so if anyone have historical CL data ( year or two ) in ASCI format please post it here

 

thanks

Edited December 1, 2008 by JKLM

[darthtrader3.0beta 10]

Well personally, I wouldn't worry about IB data if your not on it already. Forget about the data and make your choice broker wise that way.

I think what gets lost in this is most people don't trade off 1 tick charts, most of what we do involves snapshots of ticks and throwing out data to make a usefull summary at much slower intervals than .2 seconds...

The real difference between IB and a real tick provider is probly nothing unless your doing some high frequency autotrader deal..

If you like their broker services then just go with them and if you really need tick precise data then add DTN into the mix. DTN is impossible to beat bang for the buck wise.

[Bam-Bam 10]

It really depends on on what you are trading and what you want to do with your charts. On something like ES, having an aggregate tick count based on 0.2-0.3 second snapshots has little similarity to what's actually happening in the market. On a true tick data feed, the charts can turn a lot more quickly.

 

I have some indicator based strategies that I run on tick charts. I have other strategies that I run on 5-min candlestick charts. IB data is fine for the candlestick charts but is entirely unreliable for the tick strategies. I use a different broker for charting data.

 

As a risk control strategy, having a separate data feed for charting works out well. At least once a week, market data on one of my brokers will freeze. It's very convenient to have another vendor to inform you that the market is moving against your position.

 

Good trading,

 

Bam-Bam

[BlowFish 10]

 

On a true tick data feed, the charts can turn a lot more quickly.

 

Bam-Bam

 

I thought they only aggregated ticks at the same price? So in theory they should turn at the same time.

[uexkuell 10]

Some confusion arising here about tick and historical data download from IB.

 

 

There are 3 different kind of quote data available form IB:

 

1. Tick data (realtime) is coming (as stated) in 0.2 to 0.3 sec intervals. It is mostly truly realtime but it can (rarely) be lagging max. a few seconds.

It comes as price (of trade) and volume information. If any trades at price levels away from the given price took place you will never know (this could happen only for very liquid instruments). Good thing is you never loose track of volume traded.

 

2. Historical data (to be downloaded). It can be ordered in various granularities (1 sec=minimum NOT 5 sec as was stated, 5 sec, 10 sec ... 1 day). The data comes as: Open, High, Low, Close, Volume (OHLC).

In one data request you can get (depending on interval chosen) about 2000 data points (33.3 minutes if 1 sec interval chosen).

Data download is throttled: If you make several data requests, you can only have one data request every 11 secs or so. That makes downloading of 1 sec data of a longer time interval pretty slow.

 

3. Realtime Bars (realtime at 5 sec intervals, OHLC bars). Currently it is only possible to get 5 sec realtime bars. Data comes (as with historicals) as Open, High, Low, Close, Volume.

The advantage over tick data is that you can be sure that you will see if a new High or Low has been made.

Tick data and Realtime bars from one symbol can be ordered in parallel.

 

 

Main question is in what kind of program you want to use the data.

If you want to make your own program, IB will be fine.

 

I am not aware of any commercially available program that could use all the possibilities that the different IB data formats give you.

 

Program to download data from IB in text form:

http://home.cidadevirtual.pt/jtwsdump/

(I am not the programmer and do not use it).