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As if this discussion didn't need an addded wrinkle, for those concerned about the data collection process for backtesting purposes you may consider just buying historical data with a vendor that'll provide periodic updates. I used CIS data (not to be confused with CSI). For a flat fee I got tick data going back to 1994 with weekly updates that I can download for free.
In this way, you aren't tied down to a specific intra-day vendor for fear of missing a few days if you go on vacation. So, if this IB feed really works out then combined with a lot of historical tick data you've got a workable solution.
Kind Regards,
Gary
Glen Haponek <ghaponek@xxxxxxx> wrote:
Another thing to consider is the quality of TWS data, the data shown is for trades executed through IB, and imho, may not reflect all trades for a certain market.
In the TWS, the "Last Price" has always appeared to be accurately reflected in the eSignal data.
With eSignal you never have gaps in your data, if you don't trade for a few days and turn on after your return the data will automatically fill in all missing data.
There are holes in the eSignal data at times. They miss bars, but these are omissions or errors.
----- Original Message -----
From: Herman van den Bergen
To: amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, March 24, 2004 9:52 PM
Subject: RE: [amibroker] interactive data question?
InteractiveBrokers does not provide data for a fee however their Trader Work Station (TWS) displays quotes for up to 40 instruments. The new Plugin draws data from the TWS and allows you to chart real time data as long as the TWS is active. IB does not provide backfills, i.e. when you turn it on at 11:00 a.m. it will not fill in data and show a chart for the period before 11:00 a.m. When you start up AmiBroker you will see the data collected the day before but again it will not fill any gaps for the periods when you closed the TWS. So, this new plug in is very nice to look for a better entry or exit point in Realtime for EOD trading systems but doesn't help you with backtesting over several months of RT data - unless you collect data each and every day. Another thing to consider is the quality of TWS data, the data shown is for trades executed through IB, and imho, may not reflect all trades for a
certain market. However it is a great way to progress from EOD systems to RT trading.
eSignal is a full fledged data service: you have to pay for it and they have many levels of data, from about $50/month to several hundred dollars per month. eSignal provides back fill so that all your data is continuous. For a new subscription they provide 60 days of RT backfill. With esignal you never have gaps in your data, if you don't trade for a few days and turn on after your return the data will automatically fill in all missing data. Nice.
Good luck,
herman.
-----Original Message-----From: goldwing01 [mailto:GOLDWING01@xxxxxxx]Sent: Wednesday, March 24, 2004 8:33 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] interactive data question?I've look at interactive web page for real time data and in my search for a price list, I didn't find one, so if someone would direct me in the right direction please, also if some one can kindly explain any big or excitable significant between interactive and Esignal I would appreciated. Thanks in advanceSend BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to suggest@xxxxxxxxxxxxx-----------------------------------------Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
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