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Re: [amibroker] Re: IB-Amibroker reat-time data question



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No it is not correct.

Depending on settings (Tools->Preferences->Intraday
"Real time chart refresh interval") the formula may be executed
in different (user-defined) intervals.

Special case - real time chart refresh interval = 0 (zero)
- means "as often as possible". Exact timing depends on
a) complexity of the formula
b) number of charts open
c) CPU power
d) whenever new ticks arrive or not.


Assuming that new ticks arrive constantly, and the formula takes less than 0.1 sec
to execute, RT formulas in charts can be executed upto 5 times per second
(so it is every 0.2 sec). It is actually faster than IB deliers data (they send new data every 0.3 sec).

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: "huanyanlu" <huanyan2000@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, January 21, 2009 4:06 PM
Subject: [amibroker] Re: IB-Amibroker reat-time data question


> 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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------------------------------------

**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

*********************
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For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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