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This was recently discussed on the Amibroker-at list under
topic "Disturbing 1-min database comparison".
IB transmits Snapshots of data, i.e. it is streaming data but you
receive only two quotes/second, whatever other trades took place
will not show on your chart on TWS. This makes good sense as it would
probably overload your system to collect live data for 24+ stocks on
your TWS/AB. In fact it is nice to work with Snapshots; saves a lot
of computer power for other tasks.
However, the fluidity of data makes it extremely difficult to match a
simululated session with a Backtested session, or with a backtest on
backfilled data, or even with data backfilled at different times.
We spend a lot of time just figuring out why there are so many
difference. The bottom line is that "Historical Data Changes". This
is not unique for IB data, I remember using eSignal data and also
having problems as they correct (cleanup) data during/after the
trading day.
best regards,
herman
--- In amibroker@xxxxxxxxxxxxxxx, "seayks" <seayks@xxx> wrote:
>
> Hi,I'm using amibroker's IB DATA PLUGIN receive IB DATA FEED.
> But I found a little problem.I receive realtime data is different
from
> backfill data.I mean I received realtime data in RTS.After market
> close,if I use "backfill current" function to backfill data.The
data
in
> RTS changed.
>
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