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Interactive brokers data question..

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  • frostengine
    started a topic Interactive brokers data question..

    Interactive brokers data question..

    Reading the docs, I am under the understanding that historical tic data cannot be acquired from Interactive Brokers. However, real time is where I am concerned. Perhaps I have missed the part in the documentation about this.

    Lets say I'm running a strategy that uses 1 minute bars. Does ninjatrader build those 1 minute realtime bars using ticks that are comming through from Interactive Brokers? or does it build the bars using the 5 second snapshots that Interactive brokers API provides?

    I had wrote my own platform several years ago for IB so I am familiar with the issues surrounding the streaming ticks IB provides, and hence the reason they introduced the 5 second snapshot to the API a few years ago. Can you confirm which of these methods are actually used to build the 1 minute bar in a real time strategy ran against IB?

    Thanks

  • NinjaTrader_Brett
    replied
    Thanks for updating us.

    -Brett

    Leave a comment:


  • dr0832
    replied
    It looks like only 5 days. Thanks

    Leave a comment:


  • NinjaTrader_Brett
    replied
    Hello,

    The data that you can get inside TWS you can also get in NinjaTrader. I know for daily data its 1 year however for minute data I'm not exactly sure how far back you can request data. A good way to test is to pull up a chart inside of IB's TWS. How much data you can get back in here would be also available inside of NinjaTrader.

    -Brett

    Leave a comment:


  • dr0832
    replied
    I just trade stocks.

    Leave a comment:


  • NinjaTrader_Kyle
    replied
    Hi dr0832,

    Thanks for your post.

    I'd recommend that you check in to this with IB support as I'm not sure if the total would be the same for all instruments/intervals.

    Leave a comment:


  • dr0832
    replied
    How many days of actual intraday data does the IB provide when connected in ninjatrader 7?

    Leave a comment:


  • NinjaTrader_Brett
    replied
    Hello,

    This is still the case with the IB live data feed that NinjaTrader uses unfortunately. If you need accurate volume data the solution is to get this data from another source such as IQFeed as you mention as IB does not provide the granular data needed for these realtime tick/volume data to be calculated correctly.

    You can in NinjaTrader connect to your data feed provider first in NinjaTrader to prioritize data from this feed. Then connect to your broker second to bring in the account so that you are able to trade it. When connecting to the data feed first you are then able to prioritize this data over your brokers data.

    -Brett
    Last edited by NinjaTrader_Brett; 12-21-2011, 07:15 AM.

    Leave a comment:


  • DangerBoy
    replied
    Hi guys

    I know this is an older post but does the above situation still apply with IB regarding volume?. I have been doing some tick level testing of there feed compared to IQFeed and the volume numbers are not the same. I can see that the tick feed at IB is snapshotted but I assumed the snapshot would be an accurate representation of the raw feed, what I'm seeing is that volume reported at certain price levels via the snapshot is not accurate compared to the raw tick feed from IQ.

    I was wondering if there is documentation somewhere that explains this issue and what is the resolution.

    Thanks
    Ross

    Leave a comment:


  • frostengine
    replied
    That is exactly what I was asking. So it does in fact have logic to correct the missing volume.

    Thanks for the help

    Leave a comment:


  • NinjaTrader_Ray
    replied
    To clarify -

    - Historical minute data is retrieved from IB servers
    - Real-time minute bars are built from real-time ticks but there is some logic in place to feed in missing volume (I believe using Daily Volume event) or something like that

    Leave a comment:


  • frostengine
    replied
    My main concern is only the volume on my minute bars being accurate. You verified earlier that the minute bars are indeed built with the innacuate ticks that IB sends. However, IB also routinely sends cummulative volume updates. Do you know if these updates are then used to correct the volume? If i'm not mistaken programs such as amibroker collect the ticks data and creates a cumulative volume from there, then they compare the volume total from the ticks to these "cumulative volume" updates IB sends and adjusts the volume if incorrect.

    Do you know if ninjatrader does something similiar?

    Thanks

    Leave a comment:


  • NinjaTrader_Ray
    replied
    Thanks for the suggestion.

    Leave a comment:


  • frostengine
    replied
    You should have a warning on your page saying that if you use Interactive Brokers for your data feed that any strategy that uses volume will not be accurate. What I mean is even if you get your historical data from Interactive brokers or any other vendor and test out a strategy that utilizes volume in anyway, this strategy will not behave the same in real time. Granted most strategies do not behave the same in real time as they do in backtesting, but the fact the bars are built using the IB tick data it makes the difference far greater.
    Last edited by frostengine; 10-25-2008, 02:46 PM.

    Leave a comment:


  • NinjaTrader_Ray
    replied
    Hi,

    Bars are built from their real-time tick feed, not the 5 second snapshot data.

    Leave a comment:

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