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Is cumulative delta tick and volume reliable when using IB data?
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Is cumulative delta tick and volume reliable when using IB data?

  #1 (permalink)
Elite Member
Warszawa, Polska
 
Futures Experience: Intermediate
Platform: sierra chart
Broker/Data: IB/IQ
Favorite Futures: equities, options, futures
 
skilluminati's Avatar
 
Posts: 32 since Nov 2012
Thanks: 24 given, 17 received

Is cumulative delta tick and volume reliable when using IB data?

Hi all,
I'm with IB and trying to sink my teeth into trading futures (currently focusing only on nq) using sierra charts as my platform in sim mode for the time being. From my research on various forums, the consensus regarding IB feed is that it is sampled data and so my question is whether I could consider it "good enough" for my purposes or maybe buy an IQ subscription that is regarded as high quality and tick by tick record. I'm using renko bars on my primary chart, and my strategy is to catch runners that are at least a few points, staying out of the chop zones. I'm not using any indicators besides keltner channels and cumulative tick & vol, and I'm also watching the DOM and the tape to fine tune my entries. I'd appreciate if anybody with IB and IQ could let me know if there are differences in the cumulative delta volume/tick bars between those providers that could communicate incorrect market sentiment (and maybe provide a screen shot - that would be really nice). Thanks in advance.

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  #3 (permalink)
Market Wizard
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Futures Experience: Intermediate
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Nope - totally unreliable with IB data I'm afraid.

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  #5 (permalink)
Elite Member
Warszawa, Polska
 
Futures Experience: Intermediate
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Broker/Data: IB/IQ
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Posts: 32 since Nov 2012
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Thanks for the feedback, but I still have my doubts after finding the following snippet on the sierra charts page for IB data (sierrachart.com/index.php?l=doc/IBSymbols.html):

Bid Volume and Ask Volume data is not accurate when using the Record True Real-Time Data in Intraday Charts option. However, in the case of Interactive Brokers Bid Volume and Ask Volume is not very accurate when not using this option.

English is not my native language so please bear with me - the way it's worded makes my head spin. Either those sentences contradict each other, or only the latter applies to IB and the double negative means that bid/ask volume is very accurate with the option on. I do not want to be difficult on this, but I'm getting mixed signals and, if possible, would really like to see something conclusive before spending money. Thanks again.

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  #6 (permalink)
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Futures Experience: Advanced
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Broker/Data: IB/IQFeed
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skilluminati View Post
Thanks for the feedback, but I still have my doubts after finding the following snippet on the sierra charts page for IB data (sierrachart.com/index.php?l=doc/IBSymbols.html):

Bid Volume and Ask Volume data is not accurate when using the Record True Real-Time Data in Intraday Charts option. However, in the case of Interactive Brokers Bid Volume and Ask Volume is not very accurate when not using this option.

English is not my native language so please bear with me - the way it's worded makes my head spin. Either those sentences contradict each other, or only the latter applies to IB and the double negative means that bid/ask volume is very accurate with the option on. I do not want to be difficult on this, but I'm getting mixed signals and, if possible, would really like to see something conclusive before spending money. Thanks again.

Hi Skilluminati,

I am also with IB and I can tell you their data feed is horrible. It really pays having a separate DF like IQ to get good data.

I read the snippet as follows.

In general when you are using the option the data is not reliable.
But when you are using IB not using the option makes your data even worse.

Cheers!

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