Updated Discussion with Howard on Tick Bar Differences Between Feeds

13:42 @Ensign-Howard: ok, hk, now refresh and repost, I see some differences in my refreshed chart and your collected chart, such a 7th and 10th bars back

13:44 @Ensign-Howard: ok 1 moment - hk, are you on ventrilo

13:46 hk: what is ventrilo ?

13:46 @Ensign-Howard: voice, skip it if you are not. Here is what I think the issue is.

13:46 @Ensign-Howard: The IB feed does not send out time stamps for the ticks, so we have to use your computer clock to time stamp the ticks when we get them.

13:47 @Ensign-Howard: Variation in your computer clock versus another user could be reason why some ticks are in this bar or prior bar but you still got the tick, Now EVEN IF your computer system clock were perfectly in sync with the IB computer clocks where they are building the 1 min refresh bars, the tick is time stamped when you receive it, not when they got it or when they got it with an exchange time stamp so there can be a second or two delay across the Internet and thus the tick that is the close of their 1-min bar might be time stamped as being in the next 1-min period, and thus might be the next bar's open instead of this bar's close.

13:49 @Ensign-Howard: The shift of which bar a particular tick is in is the source of an occasionally change is where one bar closes and another bar opens. So there is slight and occasional differences in your built bars from the live feed and what you will get from the IB refresh.

13:50 @Ensign-Howard: Is one better than the other? not really. Is one right and the other wrong? Not really. To remove the confusion this seems to be causing you I would suggest you quit refreshing every 5 minutes and live with what you get from the live feed.

13:52 hk: I use atomic clock to synchronize my PC. Will there be the same problem if I use esignal as a data source instead ?

13:53 @Ensign-Howard: hk, esignal folks do not have this issue because their feed includes time stamp with the tick.

13:54 @Ensign-Howard: So even if your clock is different, or if the Internet adds any delay in reception, all esignal users will uniformly put the tick in the same bar because all get the same tick time stamp. So esignal collected bars build more identically to esignal refresh bars.

13:57 hk: I have compared with a friend who use esignal. The refresh bars with IB feed are more comparable wit esignal chart. Is there a way to get Ensign to refresh at every close of a bar. This is critical to me as the trading system I use is sensitive to the close of a bar.

13:58 @Ensign-Howard: No, refersh every minute is not practical. You have not lost any data. Bars still have all the ticks and it is unfortunate you consider a particular tick to be used as the 1-min close is so critical

13:59 @Ensign-Howard: If such is so critical, then I suggest you subscribe to esignal feed. Sounds like the real issue is you are trying to match your friend who has esignal feed.

14:04 @Ensign-Howard: so, hk, am I right that if your friend used IB and you both had same bars you would not be trying to refresh? The issue is you are trying to match your friend's chart. In which case I suggest you both use the same vendor so you will match each other. Either both use eSignal or both use IB

14:05 hk: It is used to synchronize my PC clock will reference an atomic clock server to get the current time with the greatest accuracy available.

14:06 @Ensign-Howard: As I explained, what your clock is is relative to what IB clock is....you do not know what they use. And even if both were in perfect sync, the ticks are still time stamped by Ensign when they are received which will be different by second or two from when they originated at the exchange. So the IB refresh bar might have as it close a time stamped tick of 12:59:59 and you get this tick and the time is already 13:00:02 and it put in the 13:00 bar instead of the 12:59 bar

14:08 hk: I noticed that the server time at IB is between 2 to 15 secs. slower that my accurate PC clock.

14:09 @Ensign-Howard: ok, and you consider your PC clock to be more perfect.

14:09 @Ensign-Howard: Could be the IB time is in same sync, and you are seeing the lag in getting their time packet. Their time packet will always show behind reality.

14:10 @Ensign-Howard: Anyway, enough said. I have a lunch appointement I need to leave for now.

14:10 hk: very likely the data from IB is slightly delayed as I am in Hong Kong.

14:10 @Ensign-Howard: You can continue to get help from Paul

14:11 @Ensign-Howard: Sorry, the IB feed does not send the timestamp with the tick. Maybe they will evolve to do so at some future time.

14:11 hk: OK. Thanks for the explanation.

14:11 @Ensign-Howard: welcome, bye

Last updated 02/11/2006