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Tick Volume For Interactive Brokers
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Tick Volume For Interactive Brokers

  #1 (permalink)
Elite Member
Calgary Alberta Canada
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: IB
Favorite Futures: CL, ES,
 
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Posts: 14 since Dec 2012
Thanks: 9 given, 3 received

Tick Volume For Interactive Brokers

Hi everybody

I am confused about getting Tick Volume for IB. I know i can use NT or multicharts; but apparently the TWS data is not great for tick charts.

I trade e-minis using wykoff methodologies and I have been using normal volume bars. I want to try tick volume but not sure how to do it either than changing brokers. I'm lean towards more of a swing trade vs. day trade but it really depends on my risk. That being said.. the 120 ms delay in tick volume from IB data that i read about on BM forum is probably not a big deal and can save $$$ paying for 3rd party data feeds through kinetic or esignal


can i keep IB account, just use NT or multicharts and/do I subscribe to different data (kinetic etc.)???


HELLLP

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Montreal
 
Futures Experience: Intermediate
Platform: MultiCharts
Broker/Data: IB Canada/IQFeed
Favorite Futures: TF, CL
 
Posts: 261 since Jul 2011
Thanks: 288 given, 332 received


I'm using MC with IQFeed data and an IB account. The only problem is with trading from the chart. Because MC wants bid/ask data from a broker, I can't place trades from the chart, only from the Trade bar in MC. More info:

MultiCharts Project Management - Issue MC-1239 - Use data feed from vendor instead of broker

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  #4 (permalink)
Elite Member
Hong Kong
 
Futures Experience: Intermediate
Platform: NinjaTrader, TWS
Broker/Data: IB/Kinetick
Favorite Futures: ES
 
Posts: 233 since Jan 2012
Thanks: 130 given, 306 received

I am using NinjaTrader with Kinetick data and IB as broker (TWS handling orders in background). Everything works fine, with orders from my Jigsaw DOM, NT DOM, or NT chart trading. Tried using IB data once for intraday tick charts to see result and not pretty. Pretty useless you could say.

Richard
Hong Kong
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  #5 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
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Mackypinky View Post
Hi everybody

I am confused about getting Tick Volume for IB. I know i can use NT or multicharts; but apparently the TWS data is not great for tick charts.

I trade e-minis using wykoff methodologies and I have been using normal volume bars. I want to try tick volume but not sure how to do it either than changing brokers. I'm lean towards more of a swing trade vs. day trade but it really depends on my risk. That being said.. the 120 ms delay in tick volume from IB data that i read about on BM forum is probably not a big deal and can save $$$ paying for 3rd party data feeds through kinetic or esignal


can i keep IB account, just use NT or multicharts and/do I subscribe to different data (kinetic etc.)???


HELLLP


Interactive Brokers data is cheap, but it is not comparable with professional data feeds.

-> The real-time tick data is snapshot data and not genuine tick data.
-> Real-time volume is false.
-> There is no historical tick data available.
-> The daily data does not come with the settlement price for futures.

If you trade minute charts and if you are a swing trader that data is good enough. If you are a day trader you should pay yourself a decent data feed that comes with

-> genuine tick data
-> genuine real-time volume
-> historical back fill for tick data
-> daily data in line with the values published by the exchange

A good and reliable solution is to combine Interactive Brokers with NinjaTrader and a DTN/IQ (or Kinetick, if you do not require ICE Futures) data feed.

-> first-connect NinjaTrader to DTN/IQ or Kinetick (for backfill and real-time data)
-> second-connect NinjaTrader to Interactive Brokers (for order management)

This solution has next to no shortcomings, the only limitation that comes to my mind is

-> that you cannot trade sugar futures, because Interactive Brokers quotes them in USD (which is contrary to contract specifications) and DTN/IQ and Kinetick quote them in cents.

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  #6 (permalink)
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Calgary Alberta Canada
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: IB
Favorite Futures: CL, ES,
 
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Posts: 14 since Dec 2012
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Thank you everybody for your input!


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  #7 (permalink)
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St. Augustine Florida
 
Futures Experience: Beginner
Platform: IB and Option Vue for options. NJ and IQFeed for mini day trading
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Does it matter how good the data feed is at the point of order? Isn't it the brokers data that counts then?




RichardHK View Post
I am using NinjaTrader with Kinetick data and IB as broker (TWS handling orders in background). Everything works fine, with orders from my Jigsaw DOM, NT DOM, or NT chart trading. Tried using IB data once for intraday tick charts to see result and not pretty. Pretty useless you could say.


_____
John
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  #8 (permalink)
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Blister View Post
Does it matter how good the data feed is at the point of order? Isn't it the brokers data that counts then?

Well I think mainly the issue has to do with synchronization. If your chart is built by IQFeed, and triggers a signal, then you expect your broker to fill you at the same "expected" price based on your chart. So if the two are out of sync, it will cause problems.

For futures trading it should not be a problem. But for spot forex, it can be a headache.

Mike

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  #9 (permalink)
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Futures Experience: Advanced
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Broker/Data: Interactive Brokers
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Blister View Post
Does it matter how good the data feed is at the point of order? Isn't it the brokers data that counts then?

If you are a short term trader, the quality of the data feed matters. If the data feed lags or shows incomplete information, then you base your trading decisions on false data.


What is important to consider: there are basically two types of markets.

(1) Centralized markets: This means that the instrument is only traded at a single exchange. In this case you prefer to connect to a professional data provider who supplies you the data from this exchange as fast and as accurate as possible. This is the case for all futures contracts.

(2) Decentralized markets: This applies to all instruments, which are traded at various exchanges. In that case it is important that the data supplied comes from the exchange where you are going to send your order. For example, it does not make sense to use FOREX data from Kinetick/FXCM and execute your order at Interactive Brokers IdealPro. The two ECNs are not linked, and there may be a small spread between the current prices. Price discovery in stocks takes also place on various exchanges simulatenously. Therefore it is probably best to have the data feed for stocks adapated to the exchanges you can access via your broker.

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  #10 (permalink)
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St. Augustine Florida
 
Futures Experience: Beginner
Platform: IB and Option Vue for options. NJ and IQFeed for mini day trading
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Posts: 33 since Jun 2013
Thanks: 0 given, 10 received


Thanks fat tails. We're only talking about 4 ticks to pay the monthly fee for a data feed. Kind of sounds like a no brainier

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John
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