After 1-1/2 years with Interactive Brokers, I just found out that their tick data is not real tick data. Since they don't provide historical tick data, that leaves me in a quandry... how to backtest strategies based on tick data.
IB's 233 tick chart and eSignal's 233 tick chart are completely different. If I use a 1500 tick chart on eSignal, the number of bars are roughly the same for a given time period, but the charts and indicators I use are still different enough to affect trades.
I can think of two options.
1) Use eSignal as the realtime data provider. I don't like this option because I am now depending on 2 data connections. If eSignal's connection goes down, then I start getting IB tick data which creates problems for a strategy optimized on a totally different set of data.
2) Use another broker.
Does anyone have any other ideas? Is it possible to take real tick historical data and compress it into a tick data set that matches IB? What is the algorithm that IB uses to convert their data?
IB's 233 tick chart and eSignal's 233 tick chart are completely different. If I use a 1500 tick chart on eSignal, the number of bars are roughly the same for a given time period, but the charts and indicators I use are still different enough to affect trades.
I can think of two options.
1) Use eSignal as the realtime data provider. I don't like this option because I am now depending on 2 data connections. If eSignal's connection goes down, then I start getting IB tick data which creates problems for a strategy optimized on a totally different set of data.
2) Use another broker.
Does anyone have any other ideas? Is it possible to take real tick historical data and compress it into a tick data set that matches IB? What is the algorithm that IB uses to convert their data?
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