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InteractiveBrokers stock quotes/data errors
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InteractiveBrokers stock quotes/data errors

  #1 (permalink)
Elite Member
france
 
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InteractiveBrokers stock quotes/data errors

Hello,

I noticed some IB data/quotes mismatches.

It is a concern (at least) for Euronext stocks.

As you can see from the screenshots, some OHLC values don't match real data.

I'm calling real data the the ones coming from 4 different EU brokers platforms. Since they all have the same prices info, I'm concluding they are right and IB is wrong...

These errors are plenty. At least one day out of 2, on most SBF/Euronext stocks !!

Can you please comment on that ? It sure bothers me.

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InteractiveBrokers stock quotes/data errors-1.jpg   InteractiveBrokers stock quotes/data errors-2.jpg  
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  #2 (permalink)
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  #3 (permalink)
 Vendor: tradingcode.net 
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Hi Mea109,

I have no problems with Euronext stocks (including French CAC40 stocks) (at least not that I'm aware of ), but I noticed in your screenshot that the IB chart uses the SMART routing. I assume that your other data sources use SBF (Euronext Paris) as a direct route and no liquidity pools as Chi and Bats.

For example, Total (the company), symbol FP, can be routed the "SMART" way, or by typing in FP in TWS, followed by enter, and then choosing Directed, followed by the right exchange (SBF in this case).

Since SMART routing also uses other prices from these other exchanges (BATEEN, CHIXEN, FWB, IBIS, SWB, and TRQXEN in the case of Total), the SMART price will differ (slightly) from the SBF price, since it encompasses more exchanges. Perhaps you can try using SBF as a directed data source.

Regards,

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  #4 (permalink)
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Hi Jura. Not being familiar with TWS, I was not aware of those possibilities, which led to my mistakes. I will check to see if my quotes are right now but there's no reason why.

Does SMART routing only offer quotes or can you get those smart quotes for live execution too at the same commissions costs ? If so that's really good news. I'm assuming you get best price depending on the side you choose.

Do you know if some of those exotic market places have extended trading hours for CAC40 stocks ? (like before market open 9am GMT+1 and after fixing 5:35pm GMT+1) That'd be even more extraordinary, although liquidity might be on the downside

bon weekend

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  #5 (permalink)
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mea109 View Post
Hi Jura. Not being familiar with TWS, I was not aware of those possibilities, which led to my mistakes. I will check to see if my quotes are right now but there's no reason why.

Does SMART routing only offer quotes or can you get those smart quotes for live execution too at the same commissions costs ? If so that's really good news. I'm assuming you get best price depending on the side you choose.

Do you know if some of those exotic market places have extended trading hours for CAC40 stocks ? (like before market open 9am GMT+1 and after fixing 5:35pm GMT+1) That'd be even more extraordinary, although liquidity might be on the downside

bon weekend

I hope you have consistency now between the prices. Small price differences can also drive me mad.

Yes, with SMART routing you get the best price, also taking into consideration the commission costs:

Quoting 
Our smart router takes into account transaction costs along with the fee or rebate for taking/adding liquidity when determining where to route your marketable order when the inside market is shared by multiple exchanges. For customers who want even more control of their orders, TWS customers can specify stock and options smart routing strategies for non-marketable orders.

Source: http://www.interactivebrokers.com/en/p.php?f=smartRouting

The exchange closing times are somewhat different (see this page), but it's limited to a couple of minutes so no real after hours trading, sadly.

Btw, if you search for a instrument, for example Total, you get an list of exchanges on which the stock trades including the opening hours per day. In Total's case, the stock stops trading at either 17:30 or 17:35.

Regards,

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  #6 (permalink)
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Very interesting.

Please enlighten me just one last time.

1) Have you already linked TWS to NinjaTrader for live trading ? if so, how do I need to sep up my stock instruments from Ninja's instrument manager because you need to select exchanges. Do Ineed to select all exchanges I want to use with IB's SMART routing ? or can I settle for only one (Sbf) under Ninja and TWS will execute me on the best exchange anyway ?

2) Say I open a position with SMART routing and that I'm executed on BATS for best price. When closing position, will it scan again all exchanges to flatten my order (and maybe then I will be executed on CHi-X or SBF) or since I opened it on BATS, I'm forced to close it on BATS quotes, which at that time, might be a worst price than other exchanges ? (my concern is to have no control over the whole process and maybe all in all worse prices than doing nothing with DIRECT routing. I hope you understand my point )

Take it easy

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  #7 (permalink)
 Vendor: tradingcode.net 
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mea109 View Post
Very interesting.

Please enlighten me just one last time.

1) Have you already linked TWS to NinjaTrader for live trading ? if so, how do I need to sep up my stock instruments from Ninja's instrument manager because you need to select exchanges. Do Ineed to select all exchanges I want to use with IB's SMART routing ? or can I settle for only one (Sbf) under Ninja and TWS will execute me on the best exchange anyway ?

2) Say I open a position with SMART routing and that I'm executed on BATS for best price. When closing position, will it scan again all exchanges to flatten my order (and maybe then I will be executed on CHi-X or SBF) or since I opened it on BATS, I'm forced to close it on BATS quotes, which at that time, might be a worst price than other exchanges ? (my concern is to have no control over the whole process and maybe all in all worse prices than doing nothing with DIRECT routing. I hope you understand my point )

Take it easy

1) That's a good question. I don't autotrade with NinjaTrader, but according to their support:

Quoting 
SMART routing can be accomplished a few different ways. While you will always need to enable an exchange in addition to 'Default', using this exchange when adding the instrument to a list will, for most instruments, enable SMART routing. This should be tested using the paper trading account before pushing live to ensure that SMART routing occurs as you expect.

So, orders with Default exchanges will be routed SMART. Btw, if you want to chart a stock on a specific exchange (say SBF), you need to enable that exchange in the stock's instrument settings and if you want to add it to a list, choose the right exchange before adding it to the list. See the attached image to better see what I mean (hard to explain in words ). That way you can plot the SBF stock price, and have consistency with your other data sources for that instrument.

Perhaps other users can comment on how NinjaTrader handles these SMART orders and how that works in practice.

2) SMART orders can also be closed the "SMART"-way, since the goal is to get the best execution price, you can also close it on another exchange. Also orders can be split across multiple exchanges, so if you buy 20 @ CHI and 80 @ BATS, and then sell 100 @ SBF you're still flat when using SMART routing. I don't know what happens in that case if you use (normal) directed orders (i.e. make explicit that you want to buy the CHI and sell the SBF), since that would be a spread position.

Sadly it's weekend now, but if you submit and SMART order in TWS, you can to the Trade Log (Account --> Trade Log) and see there the exchange and destination. (If you can't see those columns, go to Settings --> Layout in the "Trades Log" screen, and enable them). As I understand it, you should be able to see there if you bought on CHI and closed on SBF for example with SMART routing.

Btw, you can also configure the SMART routing options in TWS.

Regards,

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InteractiveBrokers stock quotes/data errors-stockchartroute.png  
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  #8 (permalink)
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Everything covered up to details. If this had been a job interview, I would have hired you Thx

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  #9 (permalink)
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mea109 View Post
Everything covered up to details. If this had been a job interview, I would have hired you Thx

Yes, he deserves thanks for this detailed reply. Also, keep in mind that IB data is of poorer quality than other sources. There are not that many truly unfiltered data providers. I have accounts at IB and Optimus (who uses Rithmic data), and I get much better price data at Optimus. In NT you can set the first source of data and I always put them in the first position.

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  #10 (permalink)
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I asked Ninja about the "advanced way" of forcing symbol mapping to SMART mode and that I wanted to be able to select at turns between SMART and DIRECT on command. Here's the reply :


Quoting 
You would enter AC|SMART as symbol map for 'Interactive Brokers' under the Misc-tab. Make sure you remove and re-add the instrument from your instrument list if you make use of instrument lists.

I am not sure if DIRECT routing is supported. I am not aware of such an instrument configuration in NinjaTrader. You could test AC|DIRECT on an IB paper account and check if this will work.

Upon creating a stock instrument in NinjaTrader, the Defauft exchange needs to be enabled as well. This will route orders via the smart routing system as Kyle mentioned in the forum thread for most instruments. I recommend to test it first in an IB paper trading account and check if it works as expected. Once verified, you can continue to trade live using the same instrument configuration.

Tests need to be done to make sure. Personnally, I'd like to avoid SMART execution sometimes to force only one exchange.

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