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Thanks Barry, you do have a point that IB data does not have a
timestamp which would make comparing different captures difficult.
The Scottrade DJI tick data looks like it's 2 second snapshots.
I'm not so much concerned about having exact timestamps, but the
number of tick bars for a time period for the exact same datafeed
should be very close regardless of the timestamps. I mean 10 ticks
is 10 trades, whether that took 0.23 seconds or 35 seconds. The
number of trades (i.e. number of bars) should be similar between
different charting packages. They may not match up depending on
where the tick counting starts, but overall the total number of bars
should be very similar between all charts with the same tick
timeframe. If 1000 trades happened in a given time period, then on a
10 tick chart there should be close to 100 bars.
Regards,
David
--- In amibroker@xxxxxxxxxxxxxxx, "Barry Scarborough" <razzbarry@xxx>
wrote:
>
> I think the reason is that IB does not provide a time stamp with
the
> data it sends and AB has to use the computer clock. If that is the
> case the data never will be in sync. That is what I have noticed.
My
> last bar close on one minute intraday charts is never the same as
> Scottrade or the EOD database from Yahoo. IB sends data before the
> open and after the close and that can get shifted into the AB
charts
> depending on your computer clock. Try looking at a few bars either
> way and see if the open and close is the same on them. But then I
> guess when you are looking at really short term data even different
> data feeds may not be in sync.
>
> I dumped the last 100 bars of DJI tick data from Scottrade. If you
> have access to IB INDU tick data you could compare them. I can send
> the file if that would help.
>
> Barry
>
> $DJI.B [100 bars]
> Time, Date, Open, High, Low, Close, Volume
>
> 12:57:25, 12/24/2007, 13550.470000, 13550.470000, 13550.470000,
> 13550.470000, 0
> 12:57:27, 12/24/2007, 13550.880000, 13550.880000, 13550.880000,
> 13550.880000, 0
> 12:57:29, 12/24/2007, 13551.530000, 13551.530000, 13551.530000,
> 13551.530000, 0
> 12:57:31, 12/24/2007, 13551.120000, 13551.120000, 13551.120000,
> 13551.120000, 0
> 12:57:33, 12/24/2007, 13550.550000, 13550.550000, 13550.550000,
> 13550.550000, 0
> 12:57:35, 12/24/2007, 13550.390000, 13550.390000, 13550.390000,
> 13550.390000, 0
> 12:57:37, 12/24/2007, 13549.990000, 13549.990000, 13549.990000,
> 13549.990000, 0
> 12:57:39, 12/24/2007, 13549.330000, 13549.330000, 13549.330000,
> 13549.330000, 0
> 12:57:41, 12/24/2007, 13549.090000, 13549.090000, 13549.090000,
> 13549.090000, 0
> 12:57:43, 12/24/2007, 13549.420000, 13549.420000, 13549.420000,
> 13549.420000, 0
> 12:57:45, 12/24/2007, 13549.010000, 13549.010000, 13549.010000,
> 13549.010000, 0
> 12:57:47, 12/24/2007, 13548.600000, 13548.600000, 13548.600000,
> 13548.600000, 0
> 12:57:49, 12/24/2007, 13548.930000, 13548.930000, 13548.930000,
> 13548.930000, 0
> 12:57:51, 12/24/2007, 13549.170000, 13549.170000, 13549.170000,
> 13549.170000, 0
> 12:57:53, 12/24/2007, 13549.090000, 13549.090000, 13549.090000,
> 13549.090000, 0
> 12:57:59, 12/24/2007, 13549.500000, 13549.500000, 13549.500000,
> 13549.500000, 0
> 12:58:01, 12/24/2007, 13549.990000, 13549.990000, 13549.990000,
> 13549.990000, 0
> 12:58:03, 12/24/2007, 13549.900000, 13549.900000, 13549.900000,
> 13549.900000, 0
> 12:58:05, 12/24/2007, 13550.230000, 13550.230000, 13550.230000,
> 13550.230000, 0
> 12:58:07, 12/24/2007, 13549.900000, 13549.900000, 13549.900000,
> 13549.900000, 0
> 12:58:09, 12/24/2007, 13549.660000, 13549.660000, 13549.660000,
> 13549.660000, 0
> 12:58:11, 12/24/2007, 13549.990000, 13549.990000, 13549.990000,
> 13549.990000, 0
> 12:58:13, 12/24/2007, 13549.500000, 13549.500000, 13549.500000,
> 13549.500000, 0
> 12:58:15, 12/24/2007, 13549.740000, 13549.740000, 13549.740000,
> 13549.740000, 0
> 12:58:17, 12/24/2007, 13550.230000, 13550.230000, 13550.230000,
> 13550.230000, 0
> 12:58:19, 12/24/2007, 13550.640000, 13550.640000, 13550.640000,
> 13550.640000, 0
> 12:58:21, 12/24/2007, 13550.230000, 13550.230000, 13550.230000,
> 13550.230000, 0
> 12:58:23, 12/24/2007, 13550.550000, 13550.550000, 13550.550000,
> 13550.550000, 0
> 12:58:25, 12/24/2007, 13550.390000, 13550.390000, 13550.390000,
> 13550.390000, 0
> 12:58:27, 12/24/2007, 13551.200000, 13551.200000, 13551.200000,
> 13551.200000, 0
> 12:58:29, 12/24/2007, 13551.120000, 13551.120000, 13551.120000,
> 13551.120000, 0
> 12:58:31, 12/24/2007, 13551.040000, 13551.040000, 13551.040000,
> 13551.040000, 0
> 12:58:33, 12/24/2007, 13551.120000, 13551.120000, 13551.120000,
> 13551.120000, 0
> 12:58:35, 12/24/2007, 13551.290000, 13551.290000, 13551.290000,
> 13551.290000, 0
> 12:58:37, 12/24/2007, 13553.720000, 13553.720000, 13553.720000,
> 13553.720000, 0
> 12:58:39, 12/24/2007, 13553.640000, 13553.640000, 13553.640000,
> 13553.640000, 0
> 12:58:40, 12/24/2007, 13553.810000, 13553.810000, 13553.810000,
> 13553.810000, 0
> 12:58:43, 12/24/2007, 13555.680000, 13555.680000, 13555.680000,
> 13555.680000, 0
> 12:58:44, 12/24/2007, 13555.350000, 13555.350000, 13555.350000,
> 13555.350000, 0
> 12:58:46, 12/24/2007, 13555.270000, 13555.270000, 13555.270000,
> 13555.270000, 0
> 12:58:49, 12/24/2007, 13555.190000, 13555.190000, 13555.190000,
> 13555.190000, 0
> 12:58:50, 12/24/2007, 13554.700000, 13554.700000, 13554.700000,
> 13554.700000, 0
> 12:58:52, 12/24/2007, 13554.370000, 13554.370000, 13554.370000,
> 13554.370000, 0
> 12:58:54, 12/24/2007, 13554.050000, 13554.050000, 13554.050000,
> 13554.050000, 0
> 12:58:56, 12/24/2007, 13555.020000, 13555.020000, 13555.020000,
> 13555.020000, 0
> 12:58:59, 12/24/2007, 13555.110000, 13555.110000, 13555.110000,
> 13555.110000, 0
> 12:59:00, 12/24/2007, 13554.860000, 13554.860000, 13554.860000,
> 13554.860000, 0
> 12:59:02, 12/24/2007, 13553.320000, 13553.320000, 13553.320000,
> 13553.320000, 0
> 12:59:04, 12/24/2007, 13552.420000, 13552.420000, 13552.420000,
> 13552.420000, 0
> 12:59:06, 12/24/2007, 13551.850000, 13551.850000, 13551.850000,
> 13551.850000, 0
> 12:59:08, 12/24/2007, 13552.500000, 13552.500000, 13552.500000,
> 13552.500000, 0
> 12:59:10, 12/24/2007, 13552.180000, 13552.180000, 13552.180000,
> 13552.180000, 0
> 12:59:13, 12/24/2007, 13551.530000, 13551.530000, 13551.530000,
> 13551.530000, 0
> 12:59:14, 12/24/2007, 13550.960000, 13550.960000, 13550.960000,
> 13550.960000, 0
> 12:59:16, 12/24/2007, 13552.910000, 13552.910000, 13552.910000,
> 13552.910000, 0
> 12:59:18, 12/24/2007, 13552.590000, 13552.590000, 13552.590000,
> 13552.590000, 0
> 12:59:20, 12/24/2007, 13552.420000, 13552.420000, 13552.420000,
> 13552.420000, 0
> 12:59:22, 12/24/2007, 13551.770000, 13551.770000, 13551.770000,
> 13551.770000, 0
> 12:59:24, 12/24/2007, 13553.070000, 13553.070000, 13553.070000,
> 13553.070000, 0
> 12:59:26, 12/24/2007, 13552.180000, 13552.180000, 13552.180000,
> 13552.180000, 0
> 12:59:28, 12/24/2007, 13551.770000, 13551.770000, 13551.770000,
> 13551.770000, 0
> 12:59:30, 12/24/2007, 13555.430000, 13555.430000, 13555.430000,
> 13555.430000, 0
> 12:59:32, 12/24/2007, 13554.780000, 13554.780000, 13554.780000,
> 13554.780000, 0
> 12:59:34, 12/24/2007, 13554.940000, 13554.940000, 13554.940000,
> 13554.940000, 0
> 12:59:36, 12/24/2007, 13554.620000, 13554.620000, 13554.620000,
> 13554.620000, 0
> 12:59:38, 12/24/2007, 13555.110000, 13555.110000, 13555.110000,
> 13555.110000, 0
> 12:59:40, 12/24/2007, 13555.590000, 13555.590000, 13555.590000,
> 13555.590000, 0
> 12:59:42, 12/24/2007, 13555.020000, 13555.020000, 13555.020000,
> 13555.020000, 0
> 12:59:44, 12/24/2007, 13554.940000, 13554.940000, 13554.940000,
> 13554.940000, 0
> 12:59:46, 12/24/2007, 13555.680000, 13555.680000, 13555.680000,
> 13555.680000, 0
> 12:59:48, 12/24/2007, 13554.700000, 13554.700000, 13554.700000,
> 13554.700000, 0
> 12:59:50, 12/24/2007, 13556.160000, 13556.160000, 13556.160000,
> 13556.160000, 0
> 12:59:52, 12/24/2007, 13554.210000, 13554.210000, 13554.210000,
> 13554.210000, 0
> 12:59:54, 12/24/2007, 13553.810000, 13553.810000, 13553.810000,
> 13553.810000, 0
> 12:59:56, 12/24/2007, 13554.540000, 13554.540000, 13554.540000,
> 13554.540000, 0
> 12:59:58, 12/24/2007, 13555.350000, 13555.350000, 13555.350000,
> 13555.350000, 0
> 13:00:00, 12/24/2007, 13556.730000, 13556.730000, 13556.730000,
> 13556.730000, 0
> 13:00:02, 12/24/2007, 13557.950000, 13557.950000, 13557.950000,
> 13557.950000, 0
> 13:00:04, 12/24/2007, 13557.870000, 13557.870000, 13557.870000,
> 13557.870000, 0
> 13:00:12, 12/24/2007, 13557.460000, 13557.460000, 13557.460000,
> 13557.460000, 0
> 13:00:14, 12/24/2007, 13556.980000, 13556.980000, 13556.980000,
> 13556.980000, 0
> 13:00:16, 12/24/2007, 13557.140000, 13557.140000, 13557.140000,
> 13557.140000, 0
> 13:00:20, 12/24/2007, 13556.570000, 13556.570000, 13556.570000,
> 13556.570000, 0
> 13:00:22, 12/24/2007, 13556.160000, 13556.160000, 13556.160000,
> 13556.160000, 0
> 13:00:33, 12/24/2007, 13555.430000, 13555.430000, 13555.430000,
> 13555.430000, 0
> 13:00:39, 12/24/2007, 13554.540000, 13554.540000, 13554.540000,
> 13554.540000, 0
> 13:00:43, 12/24/2007, 13554.050000, 13554.050000, 13554.050000,
> 13554.050000, 0
> 13:00:45, 12/24/2007, 13554.370000, 13554.370000, 13554.370000,
> 13554.370000, 0
> 13:00:47, 12/24/2007, 13554.210000, 13554.210000, 13554.210000,
> 13554.210000, 0
> 13:00:51, 12/24/2007, 13552.910000, 13552.910000, 13552.910000,
> 13552.910000, 0
> 13:00:55, 12/24/2007, 13553.560000, 13553.560000, 13553.560000,
> 13553.560000, 0
> 13:00:57, 12/24/2007, 13553.320000, 13553.320000, 13553.320000,
> 13553.320000, 0
> 13:00:59, 12/24/2007, 13552.590000, 13552.590000, 13552.590000,
> 13552.590000, 0
> 13:01:09, 12/24/2007, 13551.450000, 13551.450000, 13551.450000,
> 13551.450000, 0
> 13:01:13, 12/24/2007, 13550.550000, 13550.550000, 13550.550000,
> 13550.550000, 0
> 13:01:33, 12/24/2007, 13550.310000, 13550.310000, 13550.310000,
> 13550.310000, 0
> 13:01:37, 12/24/2007, 13549.820000, 13549.820000, 13549.820000,
> 13549.820000, 0
> 13:01:57, 12/24/2007, 13549.660000, 13549.660000, 13549.660000,
> 13549.660000, 0
> 13:02:19, 12/24/2007, 13549.090000, 13549.090000, 13549.090000,
> 13549.090000, 0
> 13:02:54, 12/24/2007, 13549.330000, 13549.330000, 13549.330000,
> 13549.330000, 0
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dbw451" <dbw451@> wrote:
> >
> > My AB tick charts always seem to be different than charts created
> by other
> > traders. I have always attributed this to my real-time quote
> source being
> > Interactive Brokers. I know IB sends out quote data as time
based
> snapshots
> > rather than every tick. However recently I've determined that my
> AB tick
> > charts are different than other charting software charts also
based
> on IB
> > data. Since today was a short and slow pre-holiday trading day,
I
> decided
> > to use the time to compare an AB tick chart with a MarketDelta
(i.e.
> > Investor/RT) tick chart. I ran both charting packages using the
> same IB
> > TWS. AB was setup with a single 10t candle chart of the Mar 08
YM
> futures
> > contract. The chart also has a 10 period SMA and a colored volume
> > indicator. The chart was intentionally kept simple to minimize
> AB's CPU
> > usage. By monitoring AB's CPU usage, I could see that it would
> fluctuate
> > between 1% and 5%. So in other words, CPU usage should not be an
> issue in
> > AB's charting since it's no way near 50% (i.e. my real-time chart
> refresh
> > interval is set to 0).
> >
> >
> >
> > I do not know Investor/RT very well, so I use the default
> settings. The
> > Investor/RT CPU usage vacillates between 0% and 1%. The 10t
chart
> is the
> > same: Mar 08 YM 10t candle chart, 10 SMA, and colored volume.
> >
> >
> >
> > I let both programs run through the trading day to collect data
> from the
> > same IB TWS. Next I decided on a small time slice from 11:00am
EST
> to
> > 11:10am EST to evaluate the differences between the charts. The
> first thing
> > I could easily notice is that Investor/RT has more bars than AB.
> AB created
> > 14 10t bars and Investor/RT created 22 10t bars between 11:00am
and
> 11:10am.
> > Next I noted the timestamp, OHLC and volume of each tick bar for
> both charts
> > in a spreadsheet. The total volume between the two charts was
> pretty much
> > equivalent (it's difficult to align the two charts exactly).
> >
> >
> >
> > The thing I find suspect is AB's timestamps. All my AB
timestamps
> are a
> > multiple of 5 seconds where Investor/RT's timestamps look
random.
> I know
> > that if AB's CPU usage is high it will throttle down chart refresh
> > intervals, but that should not be the case here with such low CPU
> > utilization.
> >
> >
> >
> > This leads to my questions:
> >
> >
> >
> > 1. Does anyone know why AB would produce less tick bars than
> > Investor/RT using the same data feed?
> > 2. Does anyone know why AB would be aggregating ticks to a time
> slice
> > that is a multiple of five? Are there settings to control this?
> > 3. Are AB tick charts and tick data collection dependant on the
> chart
> > refresh interval? In other words would a 10t chart with a chart
> refresh
> > interval of 0 be different than a 10t chart with a refresh
interval
> of 3
> > seconds?
> >
> >
> >
> > For reference, below are snapshots of the 10t charts, the
> spreadsheet I
> > created, and my AB settings.
> >
> >
> >
> > Thanks,
> >
> >
> >
> > David
> >
> >
> >
> > A snapshot of each chart is below:
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > Tick bar data:
> >
> >
> >
> >
> > AmiBroker - Mar 08 YM - 12/24/2007 10t
> >
> >
> >
> >
> >
> >
> > Time
> >
> > Open
> >
> > High
> >
> > Low
> >
> > Close
> >
> > Volume
> >
> >
> > 11:00:35
> >
> > 13619
> >
> > 13620
> >
> > 13619
> >
> > 13620
> >
> > 25
> >
> >
> > 11:00:55
> >
> > 13619
> >
> > 13619
> >
> > 13616
> >
> > 13618
> >
> > 32
> >
> >
> > 11:02:00
> >
> > 13618
> >
> > 13620
> >
> > 13617
> >
> > 13260
> >
> > 42
> >
> >
> > 11:02:55
> >
> > 13619
> >
> > 13620
> >
> > 13619
> >
> > 13619
> >
> > 15
> >
> >
> > 11:03:35
> >
> > 13619
> >
> > 13619
> >
> > 13617
> >
> > 13618
> >
> > 21
> >
> >
> > 11:04:20
> >
> > 13617
> >
> > 13620
> >
> > 13617
> >
> > 13618
> >
> > 29
> >
> >
> > 11:06:00
> >
> > 13617
> >
> > 13619
> >
> > 13617
> >
> > 13618
> >
> > 14
> >
> >
> > 11:06:40
> >
> > 13618
> >
> > 13621
> >
> > 13618
> >
> > 13620
> >
> > 48
> >
> >
> > 11:07:35
> >
> > 13621
> >
> > 13622
> >
> > 13620
> >
> > 13622
> >
> > 67
> >
> >
> > 11:08:05
> >
> > 13621
> >
> > 13624
> >
> > 13621
> >
> > 13624
> >
> > 25
> >
> >
> > 11:08:50
> >
> > 13622
> >
> > 13624
> >
> > 13621
> >
> > 13622
> >
> > 46
> >
> >
> > 11:09:25
> >
> > 13622
> >
> > 13626
> >
> > 13622
> >
> > 13625
> >
> > 41
> >
> >
> > 11:09:50
> >
> > 13624
> >
> > 13626
> >
> > 13623
> >
> > 13624
> >
> > 45
> >
> >
> > 11:10:35
> >
> > 13622
> >
> > 13625
> >
> > 13622
> >
> > 13624
> >
> > 54
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > Investor/RT - Mar 08 YM - 12/24/2007 10t
> >
> >
> >
> >
> >
> >
> > 11:00:02
> >
> > 13618
> >
> > 13620
> >
> > 13618
> >
> > 13620
> >
> > 13
> >
> >
> > 11:00:42
> >
> > 13620
> >
> > 13620
> >
> > 13617
> >
> > 13617
> >
> > 24
> >
> >
> > 11:00:49
> >
> > 13617
> >
> > 13618
> >
> > 13616
> >
> > 13617
> >
> > 14
> >
> >
> > 11:01:20
> >
> > 13617
> >
> > 13617
> >
> > 13617
> >
> > 13617
> >
> > 29
> >
> >
> > 11:02:02
> >
> > 13618
> >
> > 13620
> >
> > 13618
> >
> > 13619
> >
> > 24
> >
> >
> > 11:02:57
> >
> > 13619
> >
> > 13620
> >
> > 13619
> >
> > 13619
> >
> > 12
> >
> >
> > 11:03:26
> >
> > 13619
> >
> > 13619
> >
> > 13618
> >
> > 13618
> >
> > 15
> >
> >
> > 11:03:55
> >
> > 13617
> >
> > 13618
> >
> > 13617
> >
> > 13618
> >
> > 23
> >
> >
> > 11:04:30
> >
> > 13619
> >
> > 13620
> >
> > 13617
> >
> > 13619
> >
> > 18
> >
> >
> > 11:06:23
> >
> > 13619
> >
> > 13621
> >
> > 13619
> >
> > 13620
> >
> > 12
> >
> >
> > 11:06:33
> >
> > 13619
> >
> > 13621
> >
> > 13620
> >
> > 13621
> >
> > 30
> >
> >
> > 11:06:59
> >
> > 13620
> >
> > 13621
> >
> > 13620
> >
> > 13621
> >
> > 51
> >
> >
> > 11:07:33
> >
> > 13620
> >
> > 13622
> >
> > 13620
> >
> > 13622
> >
> > 30
> >
> >
> > 11:07:56
> >
> > 13622
> >
> > 13623
> >
> > 13621
> >
> > 13622
> >
> > 20
> >
> >
> > 11:08:12
> >
> > 13623
> >
> > 13624
> >
> > 13623
> >
> > 13623
> >
> > 19
> >
> >
> > 11:08:50
> >
> > 13624
> >
> > 13624
> >
> > 13621
> >
> > 13622
> >
> > 27
> >
> >
> > 11:09:19
> >
> > 13622
> >
> > 13626
> >
> > 13622
> >
> > 13626
> >
> > 19
> >
> >
> > 11:09:32
> >
> > 13626
> >
> > 13626
> >
> > 13624
> >
> > 13625
> >
> > 28
> >
> >
> > 11:09:51
> >
> > 13625
> >
> > 13625
> >
> > 13623
> >
> > 13623
> >
> > 16
> >
> >
> > 11:10:20
> >
> > 13623
> >
> > 13625
> >
> > 13622
> >
> > 13625
> >
> > 42
> >
> >
> > 11:10:33
> >
> > 13623
> >
> > 13625
> >
> > 13623
> >
> > 13625
> >
> > 22
> >
> >
> > 11:10:50
> >
> > 13625
> >
> > 13625
> >
> > 13624
> >
> > 13626
> >
> > 23
> >
> >
> >
> >
> >
> >
> >
> > Here are my AB settings for the test:
> >
>
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