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
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"
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.