If you use IB as a datafeed, which was the case of the OP, the only way to record historical data is via realtime, it is not my case since I use Kinetick, just wanted to point out how bad is IB as a datafeed especially with tickdata. Accuracy sometimes might be subjective
The following user says Thank You to redratsal for this post:
The trades was actual. However, at the time, Live Session Interactive Brokers never print the price 1354.00, it printed 1354.25 as you can see from my screen capture. Rithmics - Optimus did, it exited the trade as well, While Interactive Broker trades still stuck.
However, you are correct, once you reload the data in Interactive Brokers, it provided the 1354.00 on it's historical charts, but that after the trade not during live session.
My point is that Interactive Broker data feed is slow and inconsistent, it has happened to me more than once. I know it's only a tick, but it happen on my exit tick. Also, if you manual trade, it probably would affect you, but with an auto-system. It will mess up your trading system.
you are 100% correct in your analysis! IB data feed on realtime is bad. I do believe that IB has extensive data filtering or some sort which during realtime provide inconsistent result while historical data show another.
Look at both of my screen shots, it's was capture seconds of each other. Rithmics data feed show 1354.00 which is correct. IB shows 1354.25 which was incorrect. However, once I create a historical chat with IB, it show 1354, but that after trades not during.
I use Interactive Brokers from 1 year ago and I'm glad I use BracketTrader now, had lots of issues with the TWS BookTrader.
One thing that happens so often to me with IB is that I use LIMIT orders and I'm used to enter long above the bid and short below the ask, I don't like to use market orders but I must enter trades this way because I trade momentum (with 6E). The nice thing with IB is, more often than not I get a BETTER fill than my limit order (1 pip), I never enter more than 2 contracts at once, of course, but it gives me a lot of confidence with this broker.
I use NT strategies to enter the trade (I enter manually) and sometimes I beat the NT sim. because I get a better fill.
The real-time tick data of Interactive Brokers is condensed data. But you can run NinjaTrader on Kinetick data feed and execute through Interactive Brokers by connecting to both of them simultaneously. Of course you will have to pay for the real-time data feed.
In the end, it is not a brokers core business to provide you the best real-time data feed, but the broker should be measured against reliability and speed of order execution.
If you had an order at 1354.25 which was not filled, was that a limit order residing in the exchange, and did this happen with your real account? If this limit order was sitting in the exchange it would have been filled irrespective of your data feed!
The following user says Thank You to Fat Tails for this post:
Yes I agree. I have contacted IB many times after big slippages and they claim not to make markets and just send it to the exchanges. Comparison trades made simultaneously through Ameritrade/ TOS indicate otherwise. TOS will waive any fees for any credit buyback of a nickle or less. They will negotiate fees and are very willing to give away free trades on any questionable fills. AMeritrade claims to make the most options trades and strongly suggested that because of such large order flow they are given preferential treatment on fills at exchanges
IB lulled me into over trading and when you consider the slippage I believe the benefits are minimal If I did the same number of trades with TOS I am confident I could get $4.00 per contract per .75 per contract.
Not getting filled on a great trade will more than make up for the cheap discounts.