of IB Refresh and Pacing Limitations
Since Jan 07
|With IB as my broker,
should my charts be set to use IB as the feed or DTN? Or, more generally,
why and how should I use DTN, if at all?
18:05 Ensign Howard: IB refresh has become more problematic since the first of the year and the cause is IB has imposed a pacing limitation for how much refresh you can get in a 10 minute period. Read the above document about Pacing Violations. If you ask for too much refresh then IB will block further requests by ignoring you. Details are in the article.
18:07 Ensign Howard: Now DTN as a 2nd refresh resource is a blessing because it give you an alternative and can help you manage the IB limit better. You do not have a limit on the DTN refresh frequency. So if you have a chart that you can refresh from DTN, do so, and that will off load counting against the IB limit. DTN refresh advantage is they have more data so you can refresh further back in time, and the refresh is received much quicker. Disadvantage of DTN is that they impose the delay requirement so if the requirement is 10-minutes, the refresh will be through 10 minutes ago.
18:10 mikeynh: So after backfilling the data, it makes sense to switch back to using IB because there will be no delay?
18:10 Ensign Howard: The only advantage of IB is that their refresh will be through the current tick, instead of through the delay requirement. The disadvantage, is they count the refresh requests, and each day for intra-day charts is a request, and each 33 minute on a tick based chart is a request. As explained in the article, try to minimize the IB refreshing to use just the 33 min selection for the tick based refreshing and 1 day for the intra-day charts. In general, I discourage refreshing tick based charts when you have been on-line and already collected and built the chart bars.
18:13 Ensign Howard: Neither DTN nor IB tick refresh is going to exactly match the tick you collected in real-time form IB, and so any refresh of ticks is going to cause some change in your tick based charts. This change is upsetting to some users because their study signals changed.
18:13 Ensign Howard: Sorry, we cannot control that.
18:14 Ensign Howard: The reason for the difference is this.....
18:14 Ensign Howard: IB feed does not send every tick because they are a sampled feed......
18:15 Ensign Howard: The DTN refresh is sending every tick, and so the DTN refresh will cause more bars to be build for Constant Tick bars than you collected in real-time.
18:16 Ensign Howard: And the IB refresh does not refresh ticks,... the smallest refresh they have is a 1 second bar refresh, and we use that 1-second bar and try to reconstitute what multiple ticks (if any) might have made up the 1 second time period. Most of the time the 1 second refresh bar has 4 identical prices so we can assume it has 1 tick and all the volume belongs on that tick. If we have an opening price that differs from the closing price, we assume there are 2 ticks and split the volume for the record between the open tick (first) and the closing tick (2nd).
18:17 mikeynh: So, bottomline, when trading, which feed should I use?
18:18 Ensign Howard: if you use IB feed, trade with it... it is a great feed. We have more IB customers than any other feed. I am just pointing out the reason for discouraging refreshing of tick based charts when you have been on-line and already built a nice chart. The chart is not going to be improved upon by trying to refresh it. Some bars will change in the refresh from either source, so keep what you have and be happy
18:20 Ensign Howard: If this live feed versus refresh is irritating
to you, then you do have alternatives of paying more money for a data
feed from IQFeed or from eSignal or from Cybertrader. Their refreshes
match their live feeds