[gosu]

Originally Posted by Kiwi »

Actually, Josh's trader was 100% correct.

With IB's live feed as you use it with ensign the highs and lows of bars and swings can and surprisingly often do miss the extreme ticks.

I tried to get IB to fix this a few years back and they came halfway to the party with a 5 second feed (OHLCVT bars at the end of each 5 second period) that is correct but is also 0 to 5 seconds delayed.

With Sierra Chart the two feeds can be combined so that the live feed controls the current price, bid and ask and that the 5 second feed is used to fill in any lost highs and lows. So you get a feed that never lags and is correct. But the software needs to take both feeds and combine them or this won't happen.


Note: if you are using an ib tws chart to show prices then they use the 5 second feed which is why the data is correct. Feed it into ensign and you'll see a different story.

Note 2: on ib charts, drop down to 1minute on something that moves reasonably fast like hsi and watch it. They combine the true and live feeds but their algorithm is slightly screwed. Whereas Sierra Chart correctly combines them and if you get a high or low on a bar it's right IB sometimes shortens a bar soon after the new bar starts (realizes the combination is wrong when new true data comes in) - which should never happen.

I am on Ensign and it is true that IB's feed will produce slightly different charts especially in fast markets. I always have another feed side by side and have been comparing IB's feed for years.

An example was this morning's spike on 6:56 YM 2m, 7:00 YM 5m bar (bar end, PST). The initial IB chart did not show as deep a spike. A manual refresh updated it.

Whether it makes a difference in a person's trading, that's for each person to judge for himself. For me it doesn't make a difference, but then I'm not watching every tick either.

[Kiwi]

I use IB's feeds ... both of them ...

the live one gives real time data that never lags but because it sends no more than one sample per 100ms and the sample is a single price it can and at least a few times a day misses a price bar extreme.

the true data or 5 second feed is sent at the end of each 5 second feed and includes all prices and accurate volume (if so reported by the exchange) in OHLCVT format.

Back at TWS 906 ib was charting using 5 second data. Now on 920 they combine them but as I reported are still not getting the transition, where the live data has started a new bar but the first 5 sec data has yet to arrive, correct.

Sierra Chart is the only package I know that combines them correctly (it isn't impossibly hard, I wrote the dll function to do it) and I use it to trade HSI which is one of the fastest moving markets in the world.



..
Just read the comments about manual refreshes ... I remember having to do that to get the bar and swing highs and lows to be accurate ... which is why I first hassled my friends at IB and then wrote (and rewrote until it functioned flawlessly) the dll. It's interesting that this discussion has just made me realize that there is a simpler way to do it that my original method. Note: you can only combine true and live data with 100% confidence on time charts (5 second and up).

[MaxLobster]

IB has the most mind-numbingly complex settings I've very used. You can set how Stop, Stop Limit, Trailing Stop and Trailing Stop Limit orders are actually executed. You would think it's under 'stop settings' right, nope it's under 'Miscellaneous', real descriptive right. If the Trigger Method is set to Default (which it is if you haven't changed it): Stocks use double-tap bid/ask. Cash contracts will use bid/ask. All other contracts will use the "Last" method. The Last method has leeway to trigger up to 0.5% above the ask price or up to 0.5%below the bid price. This 0.5% amount of leeway is subject to change at any time without notice." Oh yeah, baby, what a mess.

Seach the TWS online guide for "Trigger Method" for more info.