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IB 5-Second bars

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    IB 5-Second bars

    As I understand it, Interactive Brokers (IB) data tick data feeds use sampling, so that you are not guaranteed to get complete information. On the other hand, their 5-second bars (available through the API) are (supposedly) guaranteed to have complete information. A particular case is the NYSE TICK --- it is possible to miss extreme readings by some significant amounts using the IB tick feed, but I understand the 5-second bars would record the real extremes.

    If I select 5-second bars with NT, am I getting the true IB 5-second feed, or just something generated using the IB ticks. I suspect NT is just accumulating the IB ticks to build the 5 second bars.

    So... my questions are:

    1. Do I get the real, accurate, API-available 5-second bars if I choose a 5-second (or multiple thereof) chart using IB's data feed?

    2. If not, are there any plans to support this? I realize that what would have to happen is that either the ticks would have to be ignored and there would be no option for "CalculateOnBarClose=false", or the ticks would be used to build bars as they form, but when the real API 5-second bar comes through, all of the bar values would be updated to reflect this new bar.

    #2
    Hello Taniwha,

    Thank you for your post.

    IB does not provide tick data in the sense that every trade represents a tick. Instead IB provides granular time data, such that data is provided to NinjaTrader at a certain number of milliseconds to simulate tick data.

    If you use 5 second bars then you should catch all moves with IB data as the information would be in the same format as your chart.

    The seconds bars are built using tick data, but with the times of the incoming data it should still be there.
    http://www.ninjatrader-support.com/H...BuildChartBars

    Also, NinjaTrader supports the data that is provided by IB, and this is related to how they parse the tick data, and how NinjaTrader builds seconds bars.
    Ryan O.NinjaTrader Customer Service

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      #3
      I am trying to download 5-seconds historical data from IB, but it doesn't work. Any reason?

      Comment


        #4
        Hello,

        Seconds bars within NinjaTrader are built using tick based data. Because Interactive Brokers does not provide historical tick based data to NinjaTrader it is not possible to backfill a seconds based chart.
        KyleNinjaTrader Customer Service

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