|IB DATA Not Showing Same H or L as other Feeds|
17:52 jr01: Howard I still have problems with IB data that I do not get the proper prices, for example today at 11:04 pacific time my bars showed a high of 1520.50 where as everyone else was showing 1520.75. I talked to ib and their charts are showing 1520.75 . What do I have to do to be able to get the proper prices so that I do not have to refresh intraday . BTW even when I did refresh it didn't change the number at all
17:56 jr01: None of the four bars show 1520.75 on mine but I had them look at their charts and they show 1520.75 and so do many others that have IB
17:55 Ensign Howard: I show a 11:04 high of 1520.50 and it is the next bar at :05 with the .75 high
17:56 Ensign Howard: ok, answer to me is real simple.... IB is not a feed that sends every tick. They are a sampled feed. And depending in the coincidence of the sample rate event for you, you may or may not have sampled when 1520.75 was the current tick to be read. Those who got the tick would be luck of the draw to have sampled when the price was on .75
17:57 jr01: So you are saying this is common and nothing can be done about it?
17:58 Ensign Howard: Yes it is common, and not under my control. If the TWS pushes the tick out the pipe, Ensign will catch it and chart it. They do not push every tick. It is a sampled feed.
17:59 Ensign Howard: It is quite like a movie film strip.... which is not real time either, but is a sampled image at a rate of 30 frames per second. That is so fast, our eyes think the film is the real thing, but is it 30 snap shots per second, or 30 still frames. The IB feed is like that.. and I think the sample rate can be as high as 2 frames or snapshots per second if the feed is not busy with a period of high activity.
18:00 virt5: sorry to interrupt but is it the same for esignal data, Howard...not pushing every tick?
18:01 Ensign Howard: ok, but esignal seems to push more than IB, but can also experience bad lag times when activity is high and the data starts to get queued
18:01 virt5: thanks
17:58 jr01: Does it depend on territories or what?
18:02 Ensign Howard: jr, I think it is an issue of load balancing, and pipeline bandwidth to the users. I do not think there is any consideration of territory or location of the user
18:04 Ensign Howard: Can I make the mental picture this way that at IB server they have a guy with a fire hose and he is spraying the last price into the buckets for 1000 connections. When the price is at 1520.50 he is spraying that price into the buckets and if during the pass across the buckets the price changes to 1520.75 then that is the new price sprayed. Perhaps he just happened to pass your bucket and you last saw 1520.50 and before he gets back to spraying you the price changes back off of 1520.75 to 1520.50
18:06 Ensign Howard: You never got spayed while it was on .75... and your next pass of getting data shows it is on .50 again. How many symbols do you follow in TWS? You can see the symbol count on the Setup | Manager form
18:06 jr: 77
18:09 Ensign Howard: ok, try purging symbols not needed and see if that frees up bandwidth for those that remain so they get updated more often.
16:10 jr: If we ask 10 different people we will have several different results because the people that told me they had 1520.75 also had ib. This is a volume chart.
18:16 Ensign Howard: jr, let me get on the soap box for a moment and comment on ticks. For years I have encouraged users not to worship ticks.
18:17 Ensign Howard: If you have ever visited the open outcry floor of the CME or CBOT you will soon realize that what is on a data feed is only are representation of what is happening in the trading pit. There is a guy with a walkie-talkie calling out prices as he sees them in the pit. Then there is a keyboard person typing in the ticks as fast as they can type Yet there is utter chaos going on in the pit with multiple buyers and sellers making eye contact and using hand signals to communicate.
18:19 Ensign Howard: At the end of the day these pit traders have to sit down with their decks and try to resolve the out trades, trades they thought they made with eye contact that are unmatched on the other side. So it is foolish to think a data feed represents perfection, or actual.
18:20 Randy: WIDE range of Fills around "electronic quotes"... very wide and delayed up to 1-4 seconds. except in NAS :-)
18:20 Ensign Howard: A data feed should be viewed as being a representation of what is happening, and not the gospel truth representing. You would all do well to adopt this attitude of 'representation' instead of the gospel truth
18:21 Ensign Howard: Even with electronic feeds, they are not the gospel truth, in my opinion either. Yes, it has potentially eliminated some delay in time, and some mistakes in typing, but it is still just a representation of what is happening. So if a missing tick on a chart makes you feel uncomfortable, then I suggest you are too close to the market.
18:23 jr01: Ok, then there is nothing that can be done as far as you are concerned and you are the expert in here in my opinion. Thank you Howard and thank you Randy for your input as well
18:23 Ensign Howard: Skilled traders with antique ticker tapes would still be better traders than most of you with cable feeds and computers. The skill is in the ability of the trader, and not the tick by tick perfection of the feed.
18:24 Bloo: But many people have realtime anti virus programs running and they take priority which can result Ensign to pause, right Howard?
18:24 Ensign Howard: bloo, pausing is more likely a hard disk or memory activity.
Go read recent Q&A posting on topic of pausing