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IB True Data with NT
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IB True Data with NT

  #1 (permalink)
Elite Member
Düsseldorf NRW
 
Futures Experience: Beginner
Platform: NinjaTrader, IB TWS
Broker/Data: IB/IB
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Posts: 47 since Jul 2012
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IB True Data with NT

Hi all,

my broker and data feed is IB and I use NT for charting and trade management.

Now I want to consider volume in my trading. So the question is, will the charts (including volume) be almost accurate. I do not use any tickcharts and other fancy stuff just 3min and above.
I read about the IB true data, that will send the correct OHLCV data over the API every 5 seconds. If it is so, it should be okay?!

Can somebody show some charts with IB data (collected realtime data) compared to a reliable data feed?

Thanks in advance.

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
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Assaya View Post
Hi all,

my broker and data feed is IB and I use NT for charting and trade management.

Now I want to consider volume in my trading. So the question is, will the charts (including volume) be almost accurate. I do not use any tickcharts and other fancy stuff just 3min and above.
I read about the IB true data, that will send the correct OHLCV data over the API every 5 seconds. If it is so, it should be okay?!

Can somebody show some charts with IB data (collected realtime data) compared to a reliable data feed?

Thanks in advance.


You can do all the comparisons yourself.

(1) Compare IB real-time data to IB backfill (historical data)

-> Synchronize your system clock with time.wondows.com or similar prior to the test, as IB real-time data comes without timestamps. The time stamps are added by NinjaTrader.
-> Open a 1 min chart for example for ES 09-12, and add a volume indicator.
-> Open another identical 1 min chart with the volume indicator added.
-> Let both charts run for two hours.
-> After two hours refresh one chart via F5 to let it show backfilled data.

Now you have two similar charts. One shows real-time data and the other one shows historical backfill. Are they identical? Save the images of the two charts and feel free to post both of them below. We may then discuss it.

(2) Compare IB real-time data to Zenfire real-time data

-> Download replay data for the day covering the 2-hour period above.
-> Connect to market replay for this day.
-> Open a 1 min chart of ES 09-12, with a volume indicator added as above.
-> Let the replay run until it reaches the end of the trial period as above.
-> Save the image of the chart and compare it to the charts which you produced with IB data.

My experience:

If you really wish to use reliable volume indicators, then you should subscribe to Kinetick datafeed. This will allow you to first-connect to Kinetick and second-connect to Interactive Brokers. All your charts will be populated with high quality data and your orders will be executed through Interactive Brokers.

If you do not rely on volume indicator, but just trade minute bars, the data-feed from Interactive Brokers is sufficient, as long as your system clock is not too much off the internet time.

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  #4 (permalink)
Elite Member
Quebec
 
Futures Experience: Intermediate
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@Fat Tails

What about if you are with IB as broker but subscribe to Kinetick for your Forex data feed. Is it a bad combo or worth it? Should we expect some discrepencies between IB and Kinetick in that department?

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  #5 (permalink)
Fiddler
Nashville, TN
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: IB
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For forex, you should only use your broker's data. Simply because the forex market is fragmented, and prices at the data providers forex bank (group) may not be the same as your broker's forex bank (group).

In the data vendors quotes, it will list prices at times that may have been impossible to obtain through your broker.

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  #6 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
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trendisyourfriend View Post
@Fat Tails

What about if you are with IB as broker but subscribe to Kinetick for your Forex data feed. Is it a bad combo or worth it? Should we expect some discrepencies between IB and Kinetick in that department?

FOREX is not traded at a central exchange, and you cannot use the FXCM or Tenfore feed supplied by Kinetick to trade IdealPro with IB - unless you only use daily bars for your investment decisions.

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  #7 (permalink)
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Prague, Czech Republic
 
Futures Experience: Advanced
Platform: AgenaTrader, Track'nTrade
Broker/Data: DeCarley/OEC, IBKR, IQFeed
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Fat Tails View Post
FOREX is not traded at a central exchange, and you cannot use the FXCM or Tenfore feed supplied by Kinetick to trade IdealPro with IB - unless you only use daily bars for your investment decisions.

I agree, of course, that Forex in not traded at an exchange. However I do not agree you cannot use IQfeed, Kinetick or eSignal Forex data feed to trade Idealpro. Sure there may and will be some discrepancies, but they are not considerable. And it actually is advisable to have "independent" Forex data feed in addition to your broker's one, just to monitor and avoid any excessive behavior of the broker (as Forex is not exchange traded and fills cannot be confirmed).

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  #8 (permalink)
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Assaya View Post

Now I want to consider volume in my trading.


There is no volume in spot forex. Any volume that InteractiveBrokers is showing can only be the volume on it's own trading platform and nothing that happens on any retail platform will move the price even one tick. So how can you do volume analysis based on volume data that had nothing to do with price discovery.

Say if IB has 10 liquidity providers for it's IDEALPro platform and each provider is contracted to provide up to $20 million of liquidity. Any orders sitting on IDEALPro just get swept along as the liquidity providers print their prices and well provide liquidity up till their limit.

Those providers are sending prices to IDEALPro from their own pricing engines which in turn get their input from the prices published on EBS Bloomberg, Reuters. Those are the platforms where the price discovery happens.

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  #9 (permalink)
Elite Member
Düsseldorf NRW
 
Futures Experience: Beginner
Platform: NinjaTrader, IB TWS
Broker/Data: IB/IB
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Posts: 47 since Jul 2012
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@Traderji
I never said anything about IB and Forex. Just interested in the E-minis.

@Fat Tails
I did a little test today.
1) Compare IB real-time data to IB backfill (historical data)
- Synced the system clock and collected the IB realtime data. I have to say that my windows clock runs a bit fast. I re-sync it every 15min but even there it can be a difference up to 2 seconds.

I made an overlay IB-RT over IB-Backfill data. I started at the blue vertical line.
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My Conclusion:
When there is not much action the data looks good. When volume comes in the realtime datafeed does not catch all of the volume.

I will do a test next week and compare it to CQG data.

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  #10 (permalink)
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Australia
 
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Posts: 176 since Oct 2010
Thanks: 114 given, 114 received



Assaya View Post
@Traderji
I never said anything about IB and Forex. Just interested in the E-minis.

@Assaya

Bloody hell you are absolutely correct. Haha I don't know why I went off on that tangent...


Thank god it's Friday..

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