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Interactive Brokers datafeed differs from blotter


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Interactive Brokers datafeed differs from blotter

  #1 (permalink)
 OneEye 
The Netherlands
 
Experience: Intermediate
Platform: proprietary
Trading: ES
Posts: 40 since Dec 2017
Thanks Given: 140
Thanks Received: 54

Last 2 days (3 and 4 Sep) I noticed a big difference in the quotes for ES and MES on the near contracts for data via API and the prices shown in the blotter. Differences can be as large as 30.0 points.

And I have seen these differences disappear in 1-2 minutes near the begin or and of the RTH session.

A difference a 1/4, 1/3 or 1 point is quite common, but close to 30 points?
I can't believe my screen.

Do others see this problem and what could be the reason?


EDIT Sep 5th:

From visual inspection of the IB charts and mine, I seems that IB has distributed delayed data on and off. I lost money and sent a complain. No response yet.

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  #2 (permalink)
 DaveS 
Uxbridge UK
 
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IB used to supply filtered data but I don't know if that is still the case.
I have always avoided them for that reason.

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  #3 (permalink)
 IFeelLikeNeo   is a Vendor
 
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I tried using IB data and found it totally unreliable. I was using if for backtesting and checking, and was paying them for data. It was immensely frustrating, as in MultiCharts it just felt like nothing was working and it took a week or two to work out that the IB 'data' was to blame.

I then found, buried somewhere on their help pages, an admission that they are a broker and not a data provider, and as such even though they offer a paid data service, they basically admit that it's crap.

I switched to IQFeed on the recommendation of a very experienced trader friend of mine, and I've never looked back.

You do have to look out around rollover time though, as IQFeed and the exchanges roll slightly differently.

J

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  #4 (permalink)
 OneEye 
The Netherlands
 
Experience: Intermediate
Platform: proprietary
Trading: ES
Posts: 40 since Dec 2017
Thanks Given: 140
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DaveS View Post
IB used to supply filtered data but I don't know if that is still the case.
I have always avoided them for that reason.


That is correct. It is my understanding they consolidate in 250ms chunks. As far as the API supplied data is near the execution date it is acceptable for me.

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  #5 (permalink)
 Miesto 
Monte Carlo, Monaco
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OneEye View Post
Last 2 days (3 and 4 Sep) I noticed a big difference in the quotes for ES and MES on the near contracts for data via API and the prices shown in the blotter. Differences can be as large as 30.0 points.

And I have seen these differences disappear in 1-2 minutes near the begin or and of the RTH session.

A difference a 1/4, 1/3 or 1 point is quite common, but close to 30 points?
I can't believe my screen.

Do others see this problem and what could be the reason?


EDIT Sep 5th:

From visual inspection of the IB charts and mine, I seems that IB has distributed delayed data on and off. I lost money and sent a complain. No response yet.

Could it be your chart is lagging (because of one or more indicators and/or volatility picking up)?

I had the exact same problem recently ( see my post), a big spread between ES and MES, although I didn't use data (or API) from IB.

It looked like the data on the MES came in delayed but it was just my NinjaTrader chart which couldn't keep up because volatility was rising and performance was lacking due to the use of indicators. I stripped most indicators and everything was fine.

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  #6 (permalink)
 OneEye 
The Netherlands
 
Experience: Intermediate
Platform: proprietary
Trading: ES
Posts: 40 since Dec 2017
Thanks Given: 140
Thanks Received: 54


Mich62 View Post
Could it be your chart is lagging (because of one or more indicators and/or volatility picking up)?

Hi Mich62, thanks for your suggestion. In my investigation I removed all indicators and only display the last price.

Also, in the program that grabs the data, I display the last received ES tick as a number without any processing. And when the market is moving this can differ a lot with the ES price in the IB aplication.

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Last Updated on September 9, 2020


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