Answers to Common Questions
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Question |
Can you discuss how Interactive Brokers sends tick data (snapshots) in comparison with other realtime feeds such as eSignal? |
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Answer |
While eSignal, DTNiQ, and other realtime feeds send
every trade (tick) along with associated bid & ask, Interactive Brokers
sends what they call "snapshot" quotes. To the best of my
understanding, they are sending data every 300ms (when needed) which is
a compressed snapshot of all trades that occurred within that 300ms
(3/10ths of a second). So if 5 ticks occurred very close
together, they might all be sent in as a single snapshot quote, with
Investor/RT in turn treating it as a single tick or trade. This
would certainly effect something like a tickbar chart which relies on
the number of trades to form it's bars. It will also effect the
Volume Breakdown indicator which relies on seeing every trade along with
it's bid & ask in order to divide volume up into bid or ask volume. Now, if the symbol doesn't trade frequently, with trades generally happening only once every second or more, then the effect will be much less noticeable, if noticeable at all. Here is a good example....comparing IB quotes (on the left) with those from eSignal (on right). These were collected realtime.
Notice the first trade for IB comes in as 220 contracts traded on the bid. However, eSignal sent in 9 different trades making up those 220 contracts, with some trades coming in on the bid, and some coming in on the ask. In the end, both data feeds sent the same amount of volume, but IB sent only 1 trade to eSignal's 9 (which would obviously effect tickbar charts), and IB sent in 220 contracts all on the bid, contributing a -220 to the delta value of the Volume Breakdown indicator, while eSignal sent in 198 contracts on the ask, and 22 on the bid, resulting in a +176 delta value for the VB indicator. While this is somewhat of an extreme example, when trading a liquid contract like the ES, multiple trades will commonly be consolidated into one (snapshot), and result in a discrepancy between feeds in a number of data related areas, including those highlighted above. In addition, when downloading tick data from IB, the bid and ask information is not transmitted. So Investor/RT is not able to discern between bid and ask trades when looking at downloaded data. For this reason, Investor/RT users with the IB feed are encouraged to take advantage of the DTNMA option for historical downloading. DTNMA works seamlessly with IB, with all download requests routed automatically to DTN instead of IB. Over a randomly observed 50 minute period, while 2477 trades come in through eSignal (on ES), only 1412 trades came in via IB. Now the total volume of almost exactly the same, the deltas show quite a difference with eSignal showing a delta over that period of 4999 (16881 x 21880) and IB showing a delta of 3714 (17136x20850). But a user watching a tickbar chart would get approximately half as many bars with IB over this periods, than with eSignal. In summation, if tickbar charts, or delta values (ask minus sell
volume) are of critical importance to your style of trading, then IB
might not be good data service for feeding Investor/RT, and you might
want to consider one of the data feed
options. However, if these aspects of the program are not very
important for you, then IB may be more than adequate. |
