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Direct MessagesDate/Time: Fri, 26 Apr 2024 10:49:29 +0000
Interactive Brokers Data Quality
View Count: 2110
| [2014-06-28 00:59:54] |
| Kiwi - Posts: 374 |
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As anyone who's been trading with IB for a while knows, the live data can miss highs and lows. This is because its snapshot data (ten times a second the last price + volume is sent from the IB server). To "fix" that IB provide 5 second data (or True Data) which are packets sent at the end of each 5 seconds with the OHLCVT for that period. The trouble is that's only once every 5 seconds and the new bar doesn't show on your chart until 5 seconds into the period. So in the past, Sierra Chart was one of the few platforms that let you receive both versions and combine them with the truelive dll function. To improve efficiency SC now let you receive only one at a time - 5 sec or live - for storage in your data files. They have also fixed the issue where 5 sec data wouldn't restart after a long pause (HSI lunchtime!) which is great. Its best to store TD if you can (who wants missing ticks really) but you want to see and trade from charts that show the most recent price changes so I've created a new version of TrueLive that runs on an instance of SC collecting 5 second data. Most platforms still cant do this! It uses the live updated Time and Sales data to keep your price bars up to date. So if you want it you can find it at: TrueLive 2014 for SC V1149 Onwards If you need volume bars or tick bars (or very accurate data from bid / ask studies) then its better to use Sierra's integrated datafeeds solution to combine their data source with IB trading. But if, say, your exchange or tradable is not supported then this is a good solution. Good Trading. Date Time Of Last Edit: 2014-06-28 05:14:37
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| [2014-06-28 01:04:03] |
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Thank you for this.
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