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Just a
followup on my earlier post...
I
collected one day of TWS data and overlayed/charted both in excel. eSignal had
about 30% more quotes, about 13000 vs about 10000..
While
I thought that eSignal broadcasts all quotes i now doubt that,
since if that were the case all TWS quotes would be within the eSignal
High/Low ranges however they were not - they took turns in setting new
highs and lows. About 15% (61/390) of the minute prices differed
between the two sources. Price differences ranged from 1-10 cts
on a $70 stock.
Regarding my observation that TWS quotes lead on eSignal, I couldn't
confirm this from the data since the numbers were so drastically different and
the best AB resultion is 5 seconds. However this is what i experienced,
browsing on the EliteTrader forums I found that others have come to the same
conclusion. My personal estimate (unscientific) is that eSignal may be delayed
from a few tenth to half a second or more wrt TWS data - this probably depends
on where you live and which servers you are using.
I will probably start timing/trading on TWS data and develop with
eSignal. Another reason for doing this is that the eSignal data stream
really slows down my computer, adding to delays and imposing a processing limit.
Still another reason is that by creating a new IB database each day my real time
formulas are lightning fast :-) this because i am processing 10000 instead of
500000 bars (for a number of reasons I cannot use SetBarsRequired/Quick
afl).
all
this is not very scientific but is is the way i see it.
best
regards,
herman
By
coincidence i posted on the same problem a few days ago.
For
today i just created a new data-base for my IB data plugin, since IB doesn't
backfill you have only data for the day. You might want to try this.. unless
there is a solution i might end up using IB-data for trading and using
eSignal-data for development.
At
the end of the day I will perform a data and tick-count comparison. It
appears that i get more quotes and less delay from the TWS - my eod day
analysis will clear that up for a fact. If the TWS leads by several ticks that
could improve fills. Collected about 10,000 ticks thus far, should be
enough to compare the two.
best
regards,
herman.
Hi
Is there any way to cut
short AB HIst Intraday Data, so that when
needed the data can be
recalled back.As the data processing of 6
months hist data takes too
much time.
Regards
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