Is it true that IB tick data is lacking details?

[asalada]

I compare tick data for example: ES tick data from IB and another one from Zen, I found the one from IB is lacking some details.
Is it just me or is there any settings i should do to make IB give me better tick data?

thx

[zoltran]

You need to do some research. This is a pretty old topic.
In short ...

IB aggregates ticks and send it in bursts. I believe this is 2 second bursts or less.
So let say over a 2 second period you have trades like this ...
2, 3,4,10,1,10 .... IB will send the total# of trades in it's update.
So the 'quote' from IB will be for a total of 30 tics (if I added that last line up right). It adds all the trades and volume up for that 2sec period and sends it as a lump sum. It's not 'sampled' as some would say .. all the volume traded is there .. just that it shows up as a single 30 trade(tick) update.

Esig, Iqfeed, Zen, and other true 'tick' feeds do no do this. They send a 'quote/msg' for each tick.

So instead of 1 msg for all 30 ticks (as IB does), these true tick feeds would send 6 msgs .. one for each trade in the example above.

So .. what does this mean ?
Well .. there's lots of good info in this forum that talks about how charts, and especially tick charts will vary depending on the feed.

IB shows all trades. Volume based charts will be very close between IB and others.

But tick charts will be very very different. You may need a 100 tick chart on IB where Zen/Esig etc need a 300-500 tick chart to show a 'similar' chart.
Tick charts will never be identical.

I use IB. Never had a problem with it. But I don't trade the real short tick time frames either. IB's format has a natural benefit in very fast markets. Some say the true 'real' tick feeds can get bogged down as they send a msg for every.single.tick.that.was.ever.sent....
IB would not be bothered by this...

So ... It all depends on your expectations.
I started with IB .. so I"m fine with it.


Now .. let's talk about backfill ....

There's a huge problem here with IB.

Their backfill (historical) data has no resemblance to their tick feed.
So there's a good chance your charts will look funny if you have a gap and use anything to fill that gap.

I'd guess that most people that use this feed compensate somehow. It's certainly cheap and ubiquitous... every time I look elsewhere I end up coming back to it.

[asalada]

Zoltran thank you very much for the info, this has been my problem since the time i open account with IB, the problem was that the historical tick/volume data is not available with IB, so everytime i load a tick chart at market opening, i need to wait soooo long to get a look on market.

I'm new with IB and Ninja.
Is the only way to get historical tick data is from esig, iqfeed, opentick etc?
I found the price for tick data on futures & stock will cost me about $160 a month , and with my little account, it is killing me.

[NinjaTrader_Jason]

Hi asalada,

You can find all supported data feed providers and the services they offer at the link below.

http://www.ninjatrader-support.com/HelpGuideV6/HistoricalData.html

[zoltran]

Hi asalada,

The real-time futures exchange fees are very expensive. However, most of the feeds provide delayed quotes if you don't pay the exchange fees.
You can use the delayed quotes for historical backfill

For example, I use IB for real time quotes/charting/market analyser etc and IQfeed for historical. IQ costs as little as $50/mo for delayed data if you don't enable any of the exchanges. I use IQfeed because it supplies the feed for my other programs. (The $50/months price is for Amibroker users. Since I have that too, I get the $50 price and it works with my other programs too. To bad Ninja doesn't have a similar deal with IQfeed)

The least expensive is the IB/Opentick combo. No or very low charges at Opentick when you don't enable the R/T exchange fee's.

On your IB account setup in Ninja there's a check box for "Historical Data". Make sure the "Disabled, I will use another connection,...." is checked.
The process is .. start/connect to IB 1st, and then to your 2nd feed.

This does take some extra work and of course your historical data will not exactly match charts made with the real-time IB feed. But I find it a reasonable compromise.