IB historical data

Questions about MultiCharts and user contributed studies.
pcavatore
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Joined: 13 Nov 2006

IB historical data

Postby pcavatore » 24 Jan 2007

I've attached an historical chart for Microsoft when getting historical data from IB...are we all sure they are reliable?

How many of you would be using them for backtesting purposes?

Having said that, why don't we try to put together a list of MC users that are IB clients asking for better and clean historical data?

I hope this could be a good idea in order to push IB to fix it and understand that many clients are relying on their historical data as well.

Paolo
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IBdata.JPG
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Andrew Kirillov
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Postby Andrew Kirillov » 25 Jan 2007

Dear Paolo,

We are going to implement a "relative" filter for bad data in the nearest future - i.e. you will be able to control a % number for which the price can not fluctuate. So most of the bad ticks will be "combed".

pcavatore
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Joined: 13 Nov 2006

Postby pcavatore » 26 Jan 2007

Andrew thanks for your reply.

Anyway this was more a sort of public call for IB/MC users in order to chase IB to improve the historical EOD datafeed once proved many people rely on them.

Having said that, your suggestion of correcting bad tick is very well welcome and appreciated.

Regards,

pc

Guest

Postby Guest » 13 Feb 2007

Did you tried to use only a single exchange, f.e. Nasdaq? Often the BadTicks come from ECNs.

pcavatore
Posts: 12
Joined: 13 Nov 2006

Postby pcavatore » 18 Feb 2007

I got mostly missing data, bad data or even NO data...eventually I got a better chart with ISLAND exchange.

Anyway I tried to use NASDAQ exchange but I got a "no match" error message in MC whilst TWS clearly shows NASDAQ as one of the contributors...any hints from the help desk?

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Kate
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Postby Kate » 19 Feb 2007

Paolo,

Please try to install the latest version and if you still have problems with IB data, contact us and we will analyze what is happening via HelpDesk.

pcavatore
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Postby pcavatore » 20 Feb 2007

I've installed the latest version but I can't get MSFT from NASDAQ...see attachment
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Kate
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Postby Kate » 21 Feb 2007

Paolo,

MultiCharts displays the list of all exchanges provided by IB. I attached a screenshot showing that NASDAQ is not present in the list of available exchanges for MSFT in TWS.
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pcavatore
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Postby pcavatore » 21 Feb 2007

Kate,

I include the one from IB's contract search page which clearly states that MSFT is traded on the NASDAQ exchange...anyway it seems to ble clear that this is an IB's issue. Please advise if not.
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Kate
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Postby Kate » 26 Feb 2007

Yes, I agree, but it is not available in TWS. As far as I understand if you select SMART the system will use NASDAQ as one of available exchanges.


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