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IB Data Vs CQG (AMPFutures) Data
Started:May 30th, 2012 (11:01 PM) by NW27 Views / Replies:2,523 / 3
Last Reply:May 31st, 2012 (03:09 AM) Attachments:1

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IB Data Vs CQG (AMPFutures) Data

Old May 30th, 2012, 11:01 PM   #1 (permalink)
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IB Data Vs CQG (AMPFutures) Data

I thought I would share this 1 tick, tick chart with you.
The chart itself is the SPI futures contract and it is only traded on one exchange, SFE.

The Blue information is from IB ie Dark blue is the traded tick price and the light blue is the Bid&Ask.
The Red information is from CQG ie Dark red is the traded tick price and the light red is the Bid&Ask.
Same goes for the volume. Blue IB, Red CQG.

This is a live feed and all are plotted real time as they come in.

Notice how the red (CQG) always leads the blue (IB).
Sometimes the CQG price actually plots where the IB price didn't. This means that IB did not log this trade.
Also look at the volume difference.

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Old May 30th, 2012, 11:01 PM   #2 (permalink)
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Old May 30th, 2012, 11:14 PM   #3 (permalink)
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Nice work, would you also repost this in the Bid Ask Comparison Data thread?

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Old May 31st, 2012, 03:09 AM   #4 (permalink)
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IB 'snapshots' their data. They are not sending every tick.

IMHO, IB tick data is not usable.

Math. A gateway drug to reality.
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