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Hi, TJ
Would you kindly confirm the excecution speed/frequency of AFL ? Does
it process every incoming tick ?
Meanwhiles , I have attached below a compilation of IB data feed I
found on ET BBS, maybe not accurate, anyone please point out if the
truth is different.
cheers/ Huanyan
============================================================
IB DATA
IB is now providing a combination of real-time and delayed data. The
real-time data serves a different purpose than the delayed data.
1--real-time data
snapshot...it is a photograph of the current situation. Your TWS-sheet-
page, is stored on the IB-server, and all quotes are streaming in
realtime from the exchanges to those in-core pages..but are not
transported in realtime..they are updated in realtime only in Server-
core...then when it is YOUR turn to take a snapshot (once every 1/3
second) it will take a snapshot of changed fields (compared to
the previous snapshot 1/3 second ago)..and ONLY that will be transported
to your PC...
It just pass the change of last price (C), it may miss the high and low.
Why ? If the price goes higher/lower and then retrace and a snapshot is
made, it just reflects the close without the high/low. So if it happens
to be the final high/low of the intraday bar, the high/low will vary.
The purpose of IB's real-time data snapshots, occuring a few times per
second, will be to indicate the market's present level, without any
delay,unless you consider a small fraction of a second a delay. This
is an edge when in a fast-moving market, when IB data will only show that
0.2-0.3 second delay while real tick data providers (like Esignal ) will
have 2-5 seconds delay.
2--Delayed data
Starting with TWS version 866, the charts are receiving the 5-second bar
data from the IB servers, the calculation of the 5-second bars have
include every tick, so the TWS charts
should never miss high or low of the day and the bar volume displayed
should be 100% accurate. Third-party applications also have access to
this accurate 5-second bar feed.
The purpose of the 5 second bars, which are delayed instead of real-
time, is to ensure that charts can be constructed without missing any
ticks. This is needed because IB's real-time data are sampled a few
times per second, which sometimes misses highest or lowest values
occuring in between snapshots. So this 5-second delayed data can also be
seen as a calibration of the realtime snapshot data
--- In amibroker@xxxxxxxxxxxxxxx, "jtoth100" <jtoth100@xxx> wrote:
>
> hi,
>
> AmiBroker does not guaranty execution of all AFLs on all the ticks it
> receives. The last bar is built from all received live tick data, but
> AFLs are not executed every time. It is simple not possible! Ticks may
> arrive at every 300msec for eack ticker!
>
> Thomas must have the exact answer. But my guess is that AFL execution
> has a minimum interval as well which is about 1 second.
>
> Y
>
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