IB Trades Executing at Bid and Ask Rather Than Last Price

[Kiwi 16]

I use IB's feeds ... both of them ...

 

the live one gives real time data that never lags but because it sends no more than one sample per 100ms and the sample is a single price it can and at least a few times a day misses a price bar extreme.

 

the true data or 5 second feed is sent at the end of each 5 second feed and includes all prices and accurate volume (if so reported by the exchange) in OHLCVT format.

 

Back at TWS 906 ib was charting using 5 second data. Now on 920 they combine them but as I reported are still not getting the transition, where the live data has started a new bar but the first 5 sec data has yet to arrive, correct.

 

Sierra Chart is the only package I know that combines them correctly (it isn't impossibly hard, I wrote the dll function to do it) and I use it to trade HSI which is one of the fastest moving markets in the world.

 

 

 

..

Just read the comments about manual refreshes ... I remember having to do that to get the bar and swing highs and lows to be accurate ... which is why I first hassled my friends at IB and then wrote (and rewrote until it functioned flawlessly) the dll. It's interesting that this discussion has just made me realize that there is a simpler way to do it that my original method. Note: you can only combine true and live data with 100% confidence on time charts (5 second and up).

Edited December 20, 2011 by Kiwi

[MaxLobster 10]

IB has the most mind-numbingly complex settings I've very used. You can set how Stop, Stop Limit, Trailing Stop and Trailing Stop Limit orders are actually executed. You would think it's under 'stop settings' right, nope it's under 'Miscellaneous', real descriptive right. If the Trigger Method is set to Default (which it is if you haven't changed it): Stocks use double-tap bid/ask. Cash contracts will use bid/ask. All other contracts will use the "Last" method. The Last method has leeway to trigger up to 0.5% above the ask price or up to 0.5%below the bid price. This 0.5% amount of leeway is subject to change at any time without notice." Oh yeah, baby, what a mess.

 

Seach the TWS online guide for "Trigger Method" for more info.