Details of IB data aggregation

[Joerg]

Hello,

as often described in the forum IB aggregates data in itīs live feed. My major question is: Are the (1-Min) data the same when I reload the data from IBīs historical dataserver as when I record them in live mode?

Maybe they also send any new highs/lows and the correct close for every 1-Min Time Frame in the live feed (at least this would be fine )?
Or do they just send a snapshot (incl. the last traded price) every x milliseconds in the live feed and the correct OHLC-Data in the Hist-Feed?

Thanks a lot

Joerg

[NinjaTrader_Dierk]

>> Are the (1-Min) data the same when I reload the data from IBīs historical dataserver as when I record them in live mode?
Sorry, would not know. I suggest contacting IB support to clarify

[Brian1]

You may have already contacted IB, but I thought I might share what I'd learned some time ago.

IB consolidates it tick data (not it's minute+ data). It's part of what makes it faster. It mostly affects using Tick charts (e.g. 512 tick charts), and they will show differently than another chart using a different datafeed. So I subscribe to a datafeed that does not consolidate tick data, and use that one for my tick charts. (I use iqFeed, fwiw.)

My 1 minute (and 3m, 5m, 10m, 15m and 60m charts) all look identical to other datafeeds' repective charts. This confirms the non-consolidating behavior of IB's minute data. The same with daily charts.

Hope that helps,

Brian

[Joerg]

In another forum Iīve found the following statement:

You actually get the last price and accurate or probable volume for that 0.2 seconds - there may be other prices during that period but they are not represented.

Thats why IB did the 5-second bars ... which do contain an accurate count of volume + a bar representing OHLC for the 5 seconds. But never a tick count that matches other tick counts.

Its not that its complete crap - just that if ticks happen more frequently that 0.1-0.2 seconds then the missing count is missing. It can still be very useful - its just not a count of all ticks.

Thats true for live-data. Backfill-data are correct and therefore not identical with live-data. The difference is smaller in higher time frames but exists always.

[trader65]

Hello,

as often described in the forum IB aggregates data in itīs live feed. My major question is: Are the (1-Min) data the same when I reload the data from IBīs historical dataserver as when I record them in live mode?

Maybe they also send any new highs/lows and the correct close for every 1-Min Time Frame in the live feed (at least this would be fine )?
Or do they just send a snapshot (incl. the last traded price) every x milliseconds in the live feed and the correct OHLC-Data in the Hist-Feed?

Thanks a lot

Joerg

yes, the backfill is most of the time the correct one (ohlc).... but not always