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Direct MessagesDate/Time: Tue, 16 Apr 2024 18:04:47 +0000
Post From: Question for Kiwi: "On Latest IB Data Fix"
| [2013-04-24 22:04:13] |
| Frontrunner - Posts: 20 |
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Hi, going through the threads I came across these two posts: Re: Kiwi12 LiveTrue for better Volume at Price The solution is for IB. The issue is that they have two data feeds. The original is "live" data but to avoid the slowdown issues that faced vendors who supplied every tick they only sent a tick every 200ms (now every 100ms). The problem is that if two prices happened in that snapshot then only one showed so highs and lows of the bar or day could be missed on your chart. The volume information can be quite wrong as well by 20% or 30% and not consistently one way or another. I asked them to solve it by making that information OHLC but they didn't. Instead they produced an extra feed of "true" data which is 5 second OHLCVT bars. Its good solid information and very closely matches the true exchange information of the day (no feed is 100% perfect). But each bar occurs at the end of a 5 second period so for day traders its good to have the highs and lows right but bad to wait 5 seconds. LiveTrue runs on a TD chart. It takes all the TD bars up to the current one as correct and builds an IsCustomChart using the underlying true data. It then builds the current one based on the live data and the true data as follows: - If the time of true and live data bars has the same start then O = true open, L=lowest of live or true, H=highest of live or true, and C=live. V and T from true. The prior bar is corrected to equal true data. - If the live data bar has a later start than the true then you must be in the first 5 seconds before the first 5sec true data bar arrives so it creates a new bar entirely based on the live data. It then corrects the prior bar based on the rules above for the time equal bars. That's it. All highs, lows and data are correct within 5 seconds of occurring; the bar is responsive to immediate price moves in the 0-5 second timeframe. and Re: Updated Processing of Interactive Brokers True Data OK. Heres a version of LastBar that seems to work on live HSI. Just apply it to a the new bars and the close will bounce up and down with the closing price in real time. Also the new bar will form before the first 5 second bar arrives. I compiled it on version 873 but it will probably work on 872 as well. It starts off in candlestick mode but you can change it to ohlc if you prefer. I haven't tried it in replay mode yet. As always it only works on time based charts. Edit: I tried it in replay and don't seem to have Last, LastSize information to cause the close price to reflect live pricing. What do I need to set when recording data for that to have happened? Or does it not happen in replay? Do you recommend one of these to fix the IB delay for the most accurate price and volume data? Thank You! |