Hello Traders,
I think its common knowledge that IB's Times and Sales date is very unreliable and inaccurate due to IB aggregating its data.
However, having said that isn't there some value in the length of time that a price pauses and the number of bids / asks that takes place during the pause?
Let me give you an example. Yesterday at 3:21:39 to 3:21:59 EST the price for YM stagnated at 10793 for 20 seconds.
Now, some of you might say there could have been a problem with my connection or IB just screwed up. However, I recorded the Time and Sales at that time and recorded that at least 10 transactions took place between Bid/Ask (I will submit a snapshot if you're interested).
My question to the forum is this. Even though IB's T&S may be inadequate isn't there some value in observing that for 20 seconds the price paused while there were a number of bid/ask occurring?
After the pause the price did the following... 10790, 10791, 10792, 10796, 10795, paused again at 10793, this time for 8 seconds (3:22:13 to 3:22:21) and then did the following 10796 and never stopped going up way beyond 10809.
OK, I'm going to be totally straight with you ..... I don't want to pay a realtime data-provider close to £150 just for time and sales data! I thought I would get that out there as I'm sure some of you will say why don't I sign up to Esignal or IQFeed.
I made a few calls here in the UK and they can't/won't provide just the datafeed for YM without all the bells and whistles which bumps up the price.
IB, provides T&S but its not accurate, but I'm trying to gauge if there are ways that it can be utilised.
You're comments will be well recieved.
Cheers
Carlton
I think its common knowledge that IB's Times and Sales date is very unreliable and inaccurate due to IB aggregating its data.
However, having said that isn't there some value in the length of time that a price pauses and the number of bids / asks that takes place during the pause?
Let me give you an example. Yesterday at 3:21:39 to 3:21:59 EST the price for YM stagnated at 10793 for 20 seconds.
Now, some of you might say there could have been a problem with my connection or IB just screwed up. However, I recorded the Time and Sales at that time and recorded that at least 10 transactions took place between Bid/Ask (I will submit a snapshot if you're interested).
My question to the forum is this. Even though IB's T&S may be inadequate isn't there some value in observing that for 20 seconds the price paused while there were a number of bid/ask occurring?
After the pause the price did the following... 10790, 10791, 10792, 10796, 10795, paused again at 10793, this time for 8 seconds (3:22:13 to 3:22:21) and then did the following 10796 and never stopped going up way beyond 10809.
OK, I'm going to be totally straight with you ..... I don't want to pay a realtime data-provider close to £150 just for time and sales data! I thought I would get that out there as I'm sure some of you will say why don't I sign up to Esignal or IQFeed.
I made a few calls here in the UK and they can't/won't provide just the datafeed for YM without all the bells and whistles which bumps up the price.
IB, provides T&S but its not accurate, but I'm trying to gauge if there are ways that it can be utilised.
You're comments will be well recieved.
Cheers
Carlton
