Collecting IB volume data - is it any good ?


Active member

Is the volume data that comes through on IB any good for charting purposes ?

I remember various people saying that the trade data is sampled.

Does anyone here use it - if so are you happy with it ?

Many thanks
Yes, yes! Best, fastest, just no backfill ( rumours this will change)and restrictions on number of symbols.

Sadly I have spoken to IB recently, and they state that backfill data is "not part of thier strategy". Tsk.

Daxie my old son, you know I use volume data for my ES analysis... ;)
Rossored, i prefer the catch phrase " Your home is at risk if you have doors and windows. ", or something like that. PeeDee.
since the data IB transmit is sampled - its not all the data - so you just have decide if your methodology is dependent on having all the data or not?
Does anyone have any details about just how the IB data is sampled? I've been told this many times, and I'm sure it's true, I would just like to know what the sampling rules are.

Going back to the original, I have checked IB volume data against others. I did so in recently in a thread on T2W, I can' remember where. However, the IB Dax volume was an exact match in that case for the figures quoted for a number of other sources, tenfore was one, with the exception of MyTrack, which didn't match at all, and considerably undereported.

So I would assume that even if IB is only sending us a sample it is presumably sending out the correct total volume for each time sample, so the end volume result is correct.
Not a reply to your question but something that I think might be worth doing as a collaborative/ joint exercise for the benefit of us all.
Data quality is a big issue for us. We all decide on a combination of data feed and charting software that suits our circumstances. We can learn to use our charting software and change if needbe. It is difficult though to make a judgement on data supplier as, unless we are using more than one simultaneously (expensive) we cannot compare what is being provided. it seems clear from this site that there are differences.
How about members getting together and planning a comparison project? We would need at least one willing participant for each data supplier and a set of agreed parameters to examine eg volume, ticks and a representative set of instruments to operate them on. It would be helpful too to know the actual source of the data each is providing - is it from data source or via a reseller and if so what commercial controls are being applied?
This is just an "off the top of the head" idea and it would be good to know what others think.
Hopefully we are all reasonably disciplined and such an exercise is not beyond our wit to plan and operate

sounds like a fair idea.....just for the record I at the moment use IQfeed with QT & having been a user of Tenfore & BIS previously would thouroghly reccomend IQ..........just cannot fault them

I would probably be willing to Rep this feed to a degree if u do a comparison & it doesn't involve to much work or interfere with trading


I wouldn't want to try to start anything that would be too onerous and doomed to fail but feel that something useful might be achieved through a collaborative effort

At present I can access IB, myTrack Feeds IRT) and Updata(Comstock -I think).

I would be willing to"represent" myTrack or UD
You use IQ and may be prepared to look at that.

We would need reps for say
and any other popularly used feeds - suggestions and volunteers please

Also welcome would be suggestions on a representative range of instruments and parameters people might like to look at. What I had in mind was perhaps not more than 10 instruments representative of type and exchange looked at for say one month. The aim would be to gather a better idea of feed reliability and consistency of what is delivered and perhaps why.

Mechanics might be a data for a spreadsheet kept daily over an agreed period of time at an agreed time of day. It shouldn't be too much extra work. Hopefully each would study their own area of interest and we could get a range from that.

If there is support for the idea then perhaps it could be followed up on a dedicated thread? I leave it to the membership! I'm sure there is expertise here and there is hopefully some motivation. If not then "c'est la vie"
I could do DAX, swiss, euro50 futures

as I say i would be prepared as long as it didn't clash with trading time & the technicals were explained on how we r to collect & present the I am a bit techy shy!

might be a good exercise as I would imagine most datafeeds would be covered by members

just need an organiser??

er, where do I start ?

Thanks for the many replies, sounds like it is a yes then !

Will start collecting in the morning.

Shame they can't publish total volume figures.

Jay - yes I collect IB price data as a feed - Used to Use E signal - they were very slow in the afternoon on Eurex - I kept hassling them and when it wasn't fixed after 6 B***dy months cancelled by sub and got a partial refund, then used Future source Pronet, good but IB was better for e120 per annum instead of $2200.
ooops, forgot to ask, what do you put for the volume field description instead of "last" for collecting the data ?

thanks in advance