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Hi Thomasz,
Thank you for your explanation. I have read your IB docs at least 10
times over the last 3 years. It's one of the best explanations of
the realtime IB data feed that I have found. In fact I've referenced
it as an authorative source several times in various forum posts over
the years.
The third sentence in my initial post was "I know IB sends out quote
data as time based snapshots rather than every tick." I DO READ YOUR
DOCS. I do not post many questions to this board because I usually
find answers to my questions by reading your docs, the user
knowledgebase, or googling past forum posts.
>From your documents and the forum post you reference, I was unable to
make the interpretive leap on my own that "InvestorRT's chart is
wrong because it counts duplicate events as separate ticks". Stupid
me. The subject of "realtime" IB data is complicated and there is
much mis-information on the internet that confuses the issue.
I do not know whether IRT's "chart is wrong" is a fact or your
deduction based on the fact that IRT tick charts are different than
AB tick charts. I cannot assume it's a fact since you also said that
IB data is not real tick data (probably 1000s of times), and it's up
to each software developer to interpret the IB data stream to create
tick charts. This explains to me why there is a difference between
IRT and AB charts and answers my first question in my initial post.
I do not have enough knowledge nor even care to evaluate whether
IRT's implementation interpretation is wrong or AB's implementation
interpretation is right.
The docs and forum posts do not explain to me why my AB tick chart
bars all have timestamps that are multiples of 5 seconds. John's
post gave me an explanation, but you say "No, it does not make ANY
sense" and accuse me again of not reading docs. Since tick mode does
not use timestamps, then I do not understand why all my AB 10t bars
have timestamps that are multiples of 5 seconds. I either missed
something in the documentation or I'm unable to make an interpretive
leap between the documentation and my question.
I initially thought maybe I have something in AB setup incorrectly,
so that's why I asked the group a few questions in my initial post.
For reference, here are my initial questions again:
1. Does anyone know why AB would produce less tick bars than
Investor/RT using the same data feed? ANSWERED - thank you.
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?
Regards,
David
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> No, it does not make ANY sense. You guys do not read docs.
> Timestamping has nothing to do with tick mode. Tick mode and any n-
tick chart does NOT use timestamps at all.
> They are completely irrelevant. The reason Please read the User's
Guide
> http://www.amibroker.com/guide/h_ib.html
>
> It clearly explains that Interactive Brokers is NOT TICK FEED!
> 4. IB TWS streaming data are NOT tick-by-tick, but rather 0.2-0.3
second snapshots, read this for details
> http://www.interactivebrokers.com/cgi-bin/discus/board-auth.pl?
file=/2/37364.html
>
> See also my other reply
http://finance.groups.yahoo.com/group/amibroker/message/118232
> for details and explanation why InvestorRT chart is wrong because
> it counts duplicate events as separate ticks. Timestamps would NOT
change that.
>
> For true tick charts you need to use tick-by-tick feed which is
eSignal or IQFeed.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "dbwyatt_1999" <dbw451@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, December 26, 2007 4:23 AM
> Subject: [amibroker] Re: AB tick bar analysis
>
>
> > Thanks John, that makes sense. Assuming the realtime feed in
> > AmiBroker Pro is the same 5 second timestamp scheme for
aggregating
> > realtime tick data as the ASCII tick data import process, then
that
> > explains the 5 second timestamps I'm seeing on my 10t bars. If
that
> > is the case, then I guess AB really cannot handle small timeframe
> > tick charts used by scalpers. The tick bars created using a
minimum
> > resolution of 5 second aggregated data will create inaccurate
small
> > timeframe tick bars. This explains the tick chart differences
I'm
> > seeing when compared the other charting package.
> >
> > Also, thanks to David C. for previously posting his tick data
> > importing explanation.
> >
> > Regards,
> >
> > David
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "john_dxd_smith"
> > <john_dxd_smith@> wrote:
> >>
> >>
> >> Let's hope for 1-second resolution.
> >>
> >> ------------------------------------------------------------
> >> http://finance.groups.yahoo.com/group/amibroker/message/97297
> >>
> >> From: "David Clayworth" <dclayw@>
> >> Date: Thu May 25, 2006 8:28 pm
> >> Subject: RE: [amibroker] Time stamp - ASCII Tick Data Import
> >>
> >> I asked this question of AB support some time ago. This is the
> >> response I got:
> >>
> >> "This is due to the fact that AmiBroker uses its own 32-bit
> > datestamp
> >> that has resolution of 5 seconds but spans years of 1900-2155.
> >> Standard C-language 32-bit timestamp that has resolution of 1-
> > second is
> >> limited to dates from 1970-2023 and therefore can not be used
> >> (year range is to narrow).
> >>
> >> However this does not really affect anything as all ticks are
> > imported,
> >> order of ticks is maintaned and all charts look correct and all
> >> analysis is accurate."
> >>
> >> Note that I only have the standard version of AB so I am unsure
if
> > it
> >> is different for the professional version.
> >>
> >> ------------------------------------------------------------
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx, "dbwyatt_1999" <dbw451@> wrote:
> >> >
> >> > Thanks Tomasz. I am not using the ASCII importer. I'm using
the
> > IB
> >> > plugin to receive data from IB TWS in realtime. For my
analysis,
> > I'm
> >> > running three programs on the same computer: IB TWS, AmiBroker
> > Pro,
> >> > and Investor/RT. AB and IRT receive the same data stream from
IB
> > TWS
> >> > in real-time at the same time. I took a detailed look at the
> > price
> >> > bars created on a 10 tick chart for a 10 minute period in both
AB
> > and
> >> > IRT. AB created 14 10t bars and IRT created 22 10t bars for
the
> > same
> >> > 10 minute period using the exact same IB data feed. Total CPU
> >> > utilization stays under 10% for the entire test period. The
> > total
> >> > volumes for the 10 minute period are approximately the same
for
> > both
> >> > AB and IRT 10t charts. The difference in the number of 10t
bars
> >> > created between the two charting packages is what concerns
me. I
> >> > suspect that I do not have something setup correctly with AB
> > because
> >> > all the AB tick bars have a timestamp that are a multiple of 5
> >> > seconds.
> >> >
> >> > Is there some AB setting that is forcing the timestamps to be
> >> > multiples of 5 seconds for a 10 tick chart created in realtime
> > from
> >> > the IB TWS data feed?
> >> >
> >> > Thanks,
> >> >
> >> > David
> >> >
> >> >
> >> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@>
> >> > wrote:
> >> > >
> >> > > Hello,
> >> > >
> >> > > If you are using ASCII importer and want to import tick data
> >> > > you must use special mode, because ticks are special in that
> > meaning
> >> > > that ticks may have duplicate timestamps. For that reason
you
> > need
> >> > > to specify
> >> > >
> >> > > $TICKMODE 1
> >> > >
> >> > > in the ASCII importer definition.
> >> > >
> >> > > See the documentation of ASCII importer - it has very
detailed
> > docs
> >> > > in the User's Guide.
> >> > >
> >> > >
> >> > > Best regards,
> >> > > Tomasz Janeczko
> >> > > amibroker.com
> >> > > ----- Original Message -----
> >> > > From: "dbwyatt_1999" <dbw451@>
> >> > > To: <amibroker@xxxxxxxxxxxxxxx>
> >> > > Sent: Monday, December 24, 2007 10:44 PM
> >> > > Subject: [amibroker] Re: AB tick bar analysis
> >> > >
> >> > >
> >> > > > 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@>
> >> > > > 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
> >> > > >>
> >> >
> >>
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
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