[uexkuell]

Some confusion arising here about tick and historical data download from IB.


There are 3 different kind of quote data available form IB:

1. Tick data (realtime) is coming (as stated) in 0.2 to 0.3 sec intervals. It is mostly truly realtime but it can (rarely) be lagging max. a few seconds.
It comes as price (of trade) and volume information. If any trades at price levels away from the given price took place you will never know (this could happen only for very liquid instruments). Good thing is you never loose track of volume traded.

2. Historical data (to be downloaded). It can be ordered in various granularities (1 sec=minimum NOT 5 sec as was stated, 5 sec, 10 sec ... 1 day). The data comes as: Open, High, Low, Close, Volume (OHLC).
In one data request you can get (depending on interval chosen) about 2000 data points (33.3 minutes if 1 sec interval chosen).
Data download is throttled: If you make several data requests, you can only have one data request every 11 secs or so. That makes downloading of 1 sec data of a longer time interval pretty slow.

3. Realtime Bars (realtime at 5 sec intervals, OHLC bars). Currently it is only possible to get 5 sec realtime bars. Data comes (as with historicals) as Open, High, Low, Close, Volume.
The advantage over tick data is that you can be sure that you will see if a new High or Low has been made.
Tick data and Realtime bars from one symbol can be ordered in parallel.


Main question is in what kind of program you want to use the data.
If you want to make your own program, IB will be fine.

I am not aware of any commercially available program that could use all the possibilities that the different IB data formats give you.

Program to download data from IB in text form:
http://home.cidadevirtual.pt/jtwsdump/
(I am not the programmer and do not use it).

[TraderJean]

Hi All,

I use Infinity AT data feed and Marketdelta charts. I have been experimenting running MD footprints alongside marketprofile. Footprints with the AT feed show complete tick data - so I am told by Infinity & Marketdelta.

By analyzing in realtime bid / offer / delta displayed as volume along side MP, I have been getting great overbought / oversold data signals and exhaustion move signals. And it does turn quick. After a move, once delta collapses many times the move is exhausted and will reverse.

I haven't gotten it all figured out yet, but Trevor at MarketDelta has been a big help. The Infinity AT has backfill - I think it's 24 hour tick data.

Has anyone used footprint charts and if so what timeframes do you watch?


Jean

[Kiwi]

Let us have a report on marketdelta after you have been using it in live trading for a couple of months Jean.

I know a couple of people who put quite a few months into it and neither of them use it now.

[darthtrader3.0beta]

Originally Posted by TraderJean »

Hi All,
Has anyone used footprint charts and if so what timeframes do you watch?
Jean

I used it about a year ago and I found the best part of it was to try out the delta bar plot. I think I was using 200 delta bars on YM but you just had to adjust this depending on the speed of the market at the time.
Delta bars are just basically a constant volume plot but new bars are plotted once a certain number of transactions have cummulatively went off at either side of the bid/ask, 200 in the case above.
What it gave pattern wise was very nice for trading breakouts. The bar would stall, give you a nice range to watch and then clearly plot new bars once the breakout occured.
As far as the footprint itself, I found it more usefull to use in the opposite of what it seems to be intended for. If it takes heavy delta to one side of the market to move price to a certain level then the move tends to be running out of gas. Good stuff for exits, for entries I would think you would almost want the color scheme reversed.
Personally, I don't really understand why they don't lower the price to 50 bucks a month. At that price I would think alot of people would pay for it just to have the option of using it, it is great in certain situations. At 119 and up it seems people try it for a few months, like it, but then stop using it.