[JKLM]

Can someone explaine to me how IB calculates and send tick data
are they slightly worse than others ..or complete crap

thanks

[Head2k]

IB does not send tick data. The data it sends are 0.2 - 0.3 second snapshots. So they aggregate ticks in 0.2 - 0.3 second intervals and this is the greatest detail you can get.

[JKLM]

OK
I understand that it may delayed 0.2-0.3 second ..but when I get new refresh do I get info what was happening between two refresh ( trader volume and ticks )

[Head2k]

Originally Posted by JKLM »

OK
I understand that it may delayed 0.2-0.3 second ..but when I get new refresh do I get info what was happening between two refresh ( trader volume and ticks )

No. Sorry for not being clear enough. Actually you dont get tick data in 0.2-0.3 second snapshots, but you get 0.2-0.3 second bars (or candles or whatever).

[Kiwi]

No. You actually get the last price and accurate or probable volume for that 0.2 seconds - there may be other prices during that period but they are not represented.

Thats why IB did the 5-second bars ... which do contain an accurate count of volume + a bar representing OHLC for the 5 seconds. But never a tick count that matches other tick counts.

Its not that its complete crap - just that if ticks happen more frequently that 0.1-0.2 seconds then the missing count is missing. It can still be very useful - its just not a count of all ticks.

[JKLM]

in other words IB data is not good for tick charts

what do you suggest ?
I am using Multicharst for charting and IB as a broker

[BlowFish]

Your options are

1) use IB's .2 seconds snapshots you will find a size that has the same look and feel as the tick size that you are used too.

2) Use constant volume, time or range charts (different look and feel). Constant volume is likely to be closest to what you are used to and some would argue better for some purposes.

3) Use another data provider (Zen Fire, Esignal, DTNIQ) spring to mind.


Be aware that some exchanges will aggregate ticks certain circumstances. I'm pretty sure (from memory) Globex is one so essentially its impossible to get absolutely full tick data for instruments trading there.

[JKLM]

Is it possible to take only ZenFire data feed, because I am not interested in brokerage service