|
PureBytes Links
Trading Reference Links
|
That is my understanding of IB as well. I forget the details.
Speaking of this topic, has anyone observed anything similar with TS8 minute
charts? The more I watch, the more I am convinced that every tick does not
get recorded (individually) on minute charts. What appears to me to be
happening is when a chart is updated, its HLC and V are updated to the most
current. Look for situations where the H or L changes to a level without a
tick at that level. I see particularly when there are bursts of activity on
russell 2k.
This is probably not a bad thing, once you know it. I'd be interested to
hear if any others had experienced it.
Best,
Chris
----- Original Message -----
From: "wH" <wofipa@xxxxxxxxxxxxx>
To: <mar.ko@xxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Sunday, February 20, 2005 5:44 AM
Subject: RE: IB datafeed to TS2k-missing ticks : WHICH ONES ??
> So far as I know, Ib does not show every tick, they have a time slice
method
> every 0.x seconds they report the valid tick, at this time. The bad side
> effect is, that you never can be sure if the shown highest high or lowest
> low is really true, because it can occur between two time slices.
>
> On the other hand I was told some time ago by cqg, that at the exchange
the
> pure data provider get less priority than brokers with an active trading
> platform, for data delievery. That mean that the quotes appear at IB
faster
> than at any data provider without trading platform, which is a big
> advantage.
>
> Since there are so many IB customers like me around here, I like to bring
up
> an additional point. I requested several times already, that IB should
> provide the backfill data feed possibility for the last two days. I argue
if
> they provide this, most of us will not have the max. symbols possible open
> all times which brings the load of their servers down. - I was told by the
> swiss people in December, backfill should be available with the new
> platform, but the US people disagree. I believe if more customers
> specifically in the US make the backfill request, we will have a chance to
> get it happened.
>
> Wolfgang
>
> -----Original Message-----
> From: Mark Simms [mailto:mar.ko@xxxxxxxxxxx]
> Sent: Saturday, February 19, 2005 4:46 PM
> To: Abhijit Dey; omega-list@xxxxxxxxxx
> Subject: RE: IB datafeed to TS2k-missing ticks : WHICH ONES ??
>
> Does anyone know the LOGIC behind the "missing ticks"...I've asked them:
no
> response.
> I've asked others: no one knows for sure.
>
> Logically, I would have thought that "side-ticks" would be dropped....
> and that the missing volumes would be "stuffed" into the last tick before
> an uptick or downtick.
>
|