Interactive Brokers and Tick Data

[kginsberg]

I use Interactive Brokers as my data provider as well as my broker and have a live feed coming into NT from my IB live account. I have been testing using real time tick data charts for a new trading strategy I am trying (obviously using the SIM account for this testing). However, it seems I do not receive all of the actual tick data as for example today, even though IB's TWS shows about 135,000+ trades for NQ 9-11 contract, when I had my tick chart set up for 3000 ticks, I only painted about 11 bars, representing only a small portion of the actual trading volume. I had NT connected to IB since the opening yesterday without interruption.

Is there sometihng about t he IB data feed that would render attempting to use a tick based chart futile? If that is the case, how can a range bar chart be accurate either [I am also using range bars with this new strategy], or for that matter even a time based chart?

Thanks.

Ken Ginsberg

[NinjaTrader_Kyle]

Hi Ken,

Thanks for posting.

Which session template are you using in your chart? To check, please right click in the chart and select Data Series. Session template will be listed on the right side of that menu.

[kginsberg]

It is using the "Default 24X7" session template.

Thanks.

Ken

[NinjaTrader_Kyle]

Hi Ken,

Just want to double-check here before we move on - both Session Templates are set to the 24/7 template? (That session template is a option for each data series sometimes gets overlooked, so I feel that it's best to confirm with you.)

[kginsberg]

Yes. I double checked and both the 3000 tick based chart and the 6 range chart I am using for this NQ 9-11 testing are "Default 24X7".

Ken

[NinjaTrader_Kyle]

Hi Ken,

Thanks for clarifying.

That being the case, if you were connected all day long the entire day's worth of data should have been collected. Unfortunately, as IB is the data source here, there's no way to reload any missing data at this point.

Do you recall any disconnections today? If not, was this chart displaying all day long or was it changed to another instrument at some point in the day perhaps?

[kginsberg]

It was connected all day. I started up IB and NT7 yesterday (Sunday) just before the futures market opened and left it running all night so that I would have enough data collected for my various indicators to have data to function with. The reason I question this is that I seem to recall having read someplace a while ago something about IB not sending every tick thru its API. I really didnt pay close attention to it because I was only using time based charts at the time, but is there some IB data feed "tick throttle" you are aware of or is my memory of that somehow off the mark?

Thanks.

ken

PS.. I am leaving everything running all nite once again to see the results tomorrow morning.

[NinjaTrader_Kyle]

Hi Ken,

I think I know what you're thinking of.

IB's tick data isn't really tick data - it's an aggregate of seconds data. While that helps to explain the bar total, it doesn't really explain the gap. That said, I'd be very interested to see what tonight's results are.

[kginsberg]

I will be sure to let you know what happens tomorrow morning. In addition, just to be certain it isnt some anomoly with the NQ contract, I added a similar set of charts to the workspace [tick data on one and range on the other] for the ES 9-11 contract and will leave that running as well.

Ken