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IB True Data with NT
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IB True Data with NT

  #11 (permalink)
Elite Member
Düsseldorf NRW
 
Futures Experience: Beginner
Platform: NinjaTrader, IB TWS
Broker/Data: IB/IB
Favorite Futures: ES, NQ
 
Posts: 47 since Jul 2012
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IB Realtime Data vs. Zen-Fire Backfill

Here comes a comparision of IB realtime data vs. zenfire backfill (Download Replay Data)

For this I synced the windows clock every 5 minutes.

1min Chart as animated GIF.
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The are lots if differences in the volume and open and close data.


5min Chart: IB RT data displacement of a few pixels to the left
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Here it looks much better! Surprisingly IB RT data shows slightly more volume than the ZF backfill.

So, if you trade minutes charts with 5min timeframe or above it should not be a big concern if you use IB data.

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  #12 (permalink)
Site Administrator
Manta, Ecuador
 
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But you are using minute data... try it again using tick data like a volume or range chart.

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  #13 (permalink)
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Assaya View Post
Here comes a comparision of IB realtime data vs. zenfire backfill (Download Replay Data)

For this I synced the windows clock every 5 minutes.

1min Chart as animated GIF.
The are lots if differences in the volume and open and close data.


5min Chart: IB RT data displacement of a few pixels to the left
Here it looks much better! Surprisingly IB RT data shows slightly more volume than the ZF backfill.

So, if you trade minutes charts with 5min timeframe or above it should not be a big concern if you use IB data.

The problem is not backfill for minute data, which is good enough. The problem is real-time volume, which is not good enough. If I look at the OBV indicator above, it rises on one chart and shows a decline on the other one. If you want to use a delta volume indicator with IB realtime charts, it gets even worse.

And when you trade a 5 min chart, you do not want to backfill your chart every 5 minutes to get correct volume?

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  #14 (permalink)
Elite Member
Düsseldorf NRW
 
Futures Experience: Beginner
Platform: NinjaTrader, IB TWS
Broker/Data: IB/IB
Favorite Futures: ES, NQ
 
Posts: 47 since Jul 2012
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Big Mike View Post
But you are using minute data... try it again using tick data like a volume or range chart.

I could try a test with a volume chart. Tick / Range / Renko etc. charts will mess up.


Fat Tails View Post
The problem is not backfill for minute data, which is good enough. The problem is real-time volume, which is not good enough. If I look at the OBV indicator above, it rises on one chart and shows a decline on the other one. If you want to use a delta volume indicator with IB realtime charts, it gets even worse.

And when you trade a 5 min chart, you do not want to backfill your chart every 5 minutes to get correct volume?

The 5 min Chart is build with IB realtime data, so it represents the real-time volume. There is only a little difference, even in the OBV indicator.
On the 1min chart the OBV indicator starts at different level. ZF Backfill starts much higher than IB RT. I dont know why, but that could be the reason why the are out of sync.

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