I use IB as a broker, not anymore as a data feed (good for margins and commissions). IB on tick data has no time stamps, it falses all your backtesting results (same strategy same setups IB vs Kinetick show complete different results). Kinetick is a good+cheap unfiltered datafeed based on DTNIQ, 92USD/month are well spent if compared to the money you could loose with a poor quality datafeed.
Above this, consider slippage, if your stragegy is based on calculateonbarclose=true with 2 trades a day you will have at least a quarter tick slippage/trade, based on a 10$ tick strategy it is 100$/months.
You make good points. Especially as it relates to backtesting. I could see where a quick movement would be missed in a data sampling model like IB but present a buy or sell signal in Kinetick. When I did have Kinetick I did watch the IB bid ask against what Kinetick was quoting and I did notice a difference. So, question for you, if I am placing my orders through IB but using Kinetick to determine my signals, how do I reconcile the difference when I go to place the order through IB if that price is not available. I'm sure there are some mechanics that I am not understanding. Thanks for your patience.
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It is a mix of factors that leed to a miss judgement between live and backtest. You reconcile between live and recorded and between recorded from IB and recorded from Kinetick, as mentioned in my thread, one of many problems, is not how the TWS of IB records prices (besides latency these are probably correct), it is how they are plotted on your chart where the signals are generated. You add all the points mentioned in this thread and you get a better understanding of the differences between backtest and live.
I recently downloaded MultiCharlts and was about to select a broker / data feed, and from that I had read here, IB was going to be my choice. What you share is a bit troubling as backtesting is the main benefit I wish to receive from MC's... By any chance have you brought this to IB's attention?
IB has no intention of addressing this in my opinion. You simply need to plan to get a second feed for accurate tick data, such as DTN IQfeed.
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