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interactive broker hisorical tick data


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interactive broker hisorical tick data

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  #1 (permalink)
houston texas/us
 
 
Posts: 25 since Dec 2014
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In IB webpage, it says "
While IB can serve as this provider for real time prices, these prices are not provided on an unfiltered tick-by-tick basis, a prerequisite for fully populating Ninja Trader charts. A common setup therefore, is to use Ninja Trader as a front-end order entry platform, routing orders to the TWS for execution and clearing by IB and bridge to a third-party vendor for market data"

For an instrument such as ES, I am wondering if the price from IB and a third-party vendor such as CQG are equal if we use CQG for market data and send/cancel order to IB.
For example, if we send market order from CQG, will the price in the market order from CQG is equal to that in IB?

If not, how can we deal with this problem?

Thanks.

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  #3 (permalink)
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microsat View Post
In IB webpage, it says "
While IB can serve as this provider for real time prices, these prices are not provided on an unfiltered tick-by-tick basis, a prerequisite for fully populating Ninja Trader charts. A common setup therefore, is to use Ninja Trader as a front-end order entry platform, routing orders to the TWS for execution and clearing by IB and bridge to a third-party vendor for market data"

For an instrument such as ES, I am wondering if the price from IB and a third-party vendor such as CQG are equal if we use CQG for market data and send/cancel order to IB.
For example, if we send market order from CQG, will the price in the market order from CQG is equal to that in IB?

If not, how can we deal with this problem?

Thanks.

CQG is a data vendor, IB a broker.
If you place your order with IB, it is placed at the CME.
The CME prices are binding for both - only that IB data don't show all the ticks.

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  #4 (permalink)
houston texas/us
 
 
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Thank you.

IB is data vendor too. It provides second-based historical data, such as 1 second, 1 minute, 1 hour, 1 day etc, but no tick-to-tick historical data.

Do you mean the two prices from the IB and CQG will be equal at the same time because they come from CME both?
There is no spread between IB and CQG, isn't it?

If so, that would solve my problem. I can send market order to IB if there is an entry in CQG and I don't need to worry about the spread between IB and CQG.


choke35 View Post
CQG is a data vendor, IB a broker.
If you place your order with IB, it is placed at the CME.
The CME prices are binding for both - only that IB data don't show all the ticks.


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  #5 (permalink)
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microsat View Post
Thank you.

IB is data vendor too. It provides second-based historical data, such as 1 second, 1 minute, 1 hour, 1 day etc, but no tick-to-tick historical data.

Do you mean the two prices from the IB and CQG will be equal at the same time because they come from CME both?
There is no spread between IB and CQG, isn't it?

If so, that would solve my problem. I can send market order to IB if there is an entry in CQG and I don't need to worry about the spread between IB and CQG.

For a market order at IB you get the price of a market order at the CME at that moment.
After the fill, CQG surely shows this trade because it's tick-by-tick.
IB also shows the same trade with the correct price for the fill to you, but it doesn't necessarily
show up in the IB T&S "for all" since IB isn't tick-by-tick.

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  #6 (permalink)
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choke35 View Post
IB also shows the same trade with the correct price for the fill to you, but it doesn't necessarily
show up in the IB T&S "for all" since IB isn't tick-by-tick.

All trades made trough IB (TWS) will be showed in the T&S

Michael

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  #7 (permalink)
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michaelf View Post
All trades made trough IB (TWS) will be showed in the T&S

Michael

As long as you ignore the fact that market orders are usually part of larger fills than the IB share and you don't need
correct volume data, you are right.

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  #8 (permalink)
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I am also trying to find out how to get up to one day ago tick data on main futures through an IB account, but I have not fond a simple solution.
Maybe what is described here
Capturing Tick Data via C#, Interactive Brokers, and MySQL | R-bloggers
could do the work, but it looks too complex for my simple programming skills.
My goal would then be using these tick data with NT7 and NT8.
Any helpful suggestion please?
GT

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  #9 (permalink)
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guidoisot View Post
I am also trying to find out how to get up to one day ago tick data on main futures through an IB account, but I have not fond a simple solution.
Maybe what is described here
Capturing Tick Data via C#, Interactive Brokers, and MySQL | R-bloggers
could do the work, but it looks too complex for my simple programming skills.
My goal would then be using these tick data with NT7 and NT8.
Any helpful suggestion please?
GT

There is no way to get tick-by-tick data from IB since IB doesn't provide any - simple as that.
What you get is snapshot data if you choose "tick".

P.S.: In that sense the author of your above link entirely missed the forest for the trees ...

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  #10 (permalink)
Milan, Italy
 
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what is in your view the best way to get (free?) tick data updated to one day ago for main futures. Thanks

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  #11 (permalink)
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  #12 (permalink)
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guidoisot View Post
what is in your view the best way to get (free?) tick data updated to one day ago for main futures. Thanks

That depends on your platform. NT e.g. offers replay data download (also tick) in NT format.

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  #13 (permalink)
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I have received IB communiqué and they have upgraded API and they support now Tick-by-Tick historical data

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  #14 (permalink)
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Obelixtrader View Post
I have received IB communiqué and they have upgraded API and they support now Tick-by-Tick historical data

Yup, specs for historical TWS ticks are here:
TWS API v9.72+: Historical Time and Sales Data

But since the number of distinct data points per request is limited to 1000, it's rather pointless for liquid assets
- even if you only want historical data - esp because the usual IB timeouts between API requests still apply.

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