Interactive Brokers - conversation re their data feed

rog1111

Established member
673 10
Hi all,
For anyone that still needs clarification about IBs data, please read the transcript below. This is also highly relevant to QuoteTracker, Button Trader etc
rog1111
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Status: Connected

ELAPSED TIME: 00:38:59
ChatSys: This chat is associated with ticket #115284. Please record this number for use in future inquiries. You are currently in room 'Trade Problems'.
Chris: Hello, this is 'Chris'. How may I help you?
marco004: hi Chris.
marco004: I have noticed that the T&S data window often does not agree with the relevant IB chart eg the chart makes a new high (in agreement with eSignal & TT) but IB's T&S (also the API feed) do not. As an IB API developer this is an embarassing issue for me
Chris: Hi
Chris: Do you have an example that I can look at?
Chris: Specifically with a chart and T&S
marco004: Chris, the simple answer is no, but this happens many times a day in more than 1 futures contract, and for quite some time now. Im sure that other people have raised the same issue
marco004: However, if you really think it will help I will try to capture something. If you have heard about this problem before please let me know
Chris: I have not heard of this before, however I can have you speak with Technical Assistance.
Chris: Would you like me to conference them in
marco004: Thanks, that would be helpful
Chris: Ok one moment
ChatSys: Transferring chat from room 'Trade Problems' to 'Technical Assistance'. A Customer Service Rep will join the chat shortly.
ChatSys: User 'Raymund' has joined the chat.
Raymund: Hello, this is 'Raymund'. Please allow me a moment to read the transcript of your chat thus far and I'll assist you shortly.
marco004: ok
marco004: still there...??
Raymund: We don't relay the T&S in the API side. What method did invoke to capture the information?
marco004: I opened the T&S window from TWS and compared this with the API data with is coming through seperately to my app. Both agreed. Both were wrong according to other sources
marco004: and the IB chart agreed with other sources. This is not an isolated incident
marco004: <>
marco004: Look, I havent got all day guys
Raymund: please hold
Raymund: I do apologize
marco004: ok
Raymund: API real-time data is not tick by tick data. It is snaphotted within 250 milliseconds interval
marco004: OK I see, how about the T&S window, is that also 250ms?
Raymund: no. it is tick by tick
marco004: Well, I have to say that the T&S window data was not reflected on the chart. I checked
marco004: also that makes the API data useless, frankly
marco004: this was ES futures btw
Raymund: Useless in terms of what?
marco004: If one is gathering data trying to establish Highs & Lows, the H&Ls could be erroneous. As well as a host of other problems related to stops etc
marco004: Raymond, how about the TWS data, is that also 250ms?
Raymund: yes
marco004: OK interesting. Presumably you are quite sure of this?
Raymund: yes.
marco004: OK Raymund, thanks for you help on this, its appreciated, even though it now creates a huge problem for me. I had assumed that the ASPI was genuine tick by tick data.
marco004: API
Raymund: I completely understand. Normally, if users want tick by tick, they use different data source such as eSignal.
marco004: Makes me wonder how the likes of quotetracker, buttontrader etc manage this...
marco004: they seem to be gathering ticks but I dont see how. perhaps they are using the 5 second API bar data
Raymund: They are not data provider. Therefore, if they are using IB as the datafeed, then they are not receiving tick by tick data
marco004: Thanks again for all your help. Bye raymund
Raymund: you welcome
 

rog1111

Established member
673 10
Agreed, but what I found surprising was that the API was also snapshot data, since some well known 3rd party companies are using this for their products.
 

asiaexpat

Newbie
2 0
would this explain strange behavoir between market repaly data and IB data feed? I have some indicators i am testing out--they gave out plenty of signals during market replay but then connected to IB they basically stopped working--this was a tick based indicator.
 

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