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IB Data and Bid Ask..

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    #1

    IB Data and Bid Ask..

    IB data is sent out in packets.. I guess they aggregate all the Bid Ask and Last data somehow and put one timestamp on it but I've never been clear on what they do... I'd like to match up trades with whether they went off at the bid or the ask, is that possible with IB data?

    Max
    Tags: None
    #2
    Not quite sure how you would propose such a check. You could for sure check the timestamps of the bid/ask data coming in, but I am not sure how you would go about checking that against your trades.

    To check time for bid/ask you would do so in OnMarketData().
    Josh P.NinjaTrader Customer Service

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      #3
      I'm looking at the data as exported, it seems to have such coarse time stamps, I'm not sure if it's doable... maybe I don't know what I'm doing here also... I'm pretty sure that it's going to take a different data source that sends things out as they occur.. then the OnMarketData method would be better served...

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        #4
        Bid Ask

        IB send info out in packets - sounds like what you require is a stream eg ZenFire

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          #5
          Yes, it's going to take a "real" data feed. I dug down into data feeds a little more, if one wants exchange timestamps one has to specifically find out if their data feed supplies those... most put their own timestamps on it.. it gets pretty pricey before we get a "real" data feed, typically...

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