When trading in sumalation mode, I had a few times that price moved to some point without showing it on the chart. Example: suppose I went long at 6E 1.3200 with stoploss 1.3195. I got ticked out while on my chart price only retraced back to 1.3196 and went up again.
I use IB connected to NT. Is this a problem in NT? I think it has something to do with charting the bid/ask/last price, but don't know it exactly.
Last edited by Zwaen; December 19th, 2011 at 06:55 AM.
This post has been selected as an answer to the original posters question
If you have set the stop loss at 1.3195, a market order will be triggered, after 6E traded at that price. The market order can then be executed at a price below 1.3195.
The case above allows for several alternative interpretations:
(1) You had actually set your stop loss at 1.3196 or higher, but the stop was executed at 1.3195.
(2) IB uses condensed ticks, and the real-time data may have missed a tick.
(3) The simulation mode has a bug.
Your question, which was "Can I trust historical charts to the tick?" has nothing to do with the problem. Your problem is related to real-time data and not to historical data. Historical data is what you backfill from a server, when you open your chart.
In the case of Interactive Brokers, historical tick data is not available. Historical minute data is time-stamped. Real-time data from Interactive Brokers is condensed tick data without time stamps.
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IB is known to not show all prices traded, particularly at extremes, because it takes a snapshot only. It is probably the worst feed for data that you could be using. For order routing I have heard it is quite good though. Would definitely NOT rely on it for back-testing.
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Yup I agree with the others. IB data is terrible, cannot be used for anything other than minute or daily (and even then...)
IQFeed is arguably the best data, and has a lot of backfill. They also just started their IB fee waiver program, meaning you can greatly reduce/eliminate some exchange fees making the feed more affordable.
If you end up going with IQFeed, you can use this link to save some money since you are an Elite Member:
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