Interactive Brokers data feed improvement suggestion

We all know that IB only sends only snapshot updates of market data.

Therefore some trade are omitted as can be seen in the attached picture where the live data received by Multicharts shows a low of 1998.50 whereas IB charts shows a low of 1998.25.

I've written a small test charting tool and noticed that I've received way more ticks than Quoteserver has saved and the chart is the same as IB chart without missed data.

I'd like to ask Multicharts-Team to offer an option where MC requests data from IB via reqMarketData using tick parameter 233 which feeds back times & sales data via tickString which I've found is the most accurate data we can get out of IB.

Kind Regards
G.Erler

I use IQ Feed as my data provider for historical data, and IB as my Broker (and live data feed). The accuracy of the highs/low is a very important issue for intra-day systems. I have found this issue to cause deviations from back tests due to references such as HighD(0), High, MaxPositionProfit, and so on.

Hello gerler,

What exact version and build number of MultiCharts are you running? (in MultiCharts go to Help tab-> About)
Is “Generate new tick if total volume changes” disabled in QuoteManager-> Tools-> DataSources-> IB-> Settings?

Henry,
While I can not speak for Gerler, here is what I have found out so far.

In regards to your question, "Generate new tick on volume change" is enabled. I think the problem comes with the live data feed with IB.

In regards to gold, I found out that IB does not have a data feed option to get live floor transactions (They only have a Globex feed). This means that any trades on the floor are not captured through IB in some fashion. The support there is of limited help when it comes to knowledge of what exactly I am seeing in terms of ticks.

My guess is that the same issue is present with Greler in that he might not have the floor exchange data feed (The price difference at IB is $85 for floor data as opposed to something like $20 for all Globex feeds). Most people I assume elect for just the globex option.

The problem is most likely less prevalent in the S&P's then in gold due to market depth.

I am not 100% sure that this is the issue, but I have talked with TS as a comparison and they provide a ticker that merges floor volume and globex volume. Why IB does not is a mystery.

IQ Feed however provides real time data for both globex and pit trades gold data for an additional fee of $91.

The total cost to have IQ Feed,MC, IB subscription/data fees will be pushing over $300/month in order to get this live feed (at TS it would only be the cost of the data feed which is $105).

Any options on how to mitigate this cost of this problem? Using IQ feed to execute trades seems to be the best choice to solve the problem, but not the best choice regarding cost.

Dear Henry,

“Generate new tick if total volume changes” is disabled.
I'm using MultiCharts64 Version 9.0 Beta 3 (Build 9792)
I've also tried Metaserver together with Globalserver. That combo captures almost 25% more ticks from IB than MC's IB module does.
I got even more ticks out of TWS with the TickString() method mentioned.

Hello gerler,

What exact version and build number of MultiCharts are you running? (in MultiCharts go to Help tab-> About)
Is “Generate new tick if total volume changes” disabled in QuoteManager-> Tools-> DataSources-> IB-> Settings?

gerler, please update to MultiCharts 9.0 Release and enable the option “Generate new tick if total volume changes”.

gerler, please update to MultiCharts 9.0 Release and enable the option “Generate new tick if total volume changes”.

Gerler, you should report back if you still find that MC captures 25% less ticks after updating to MC 9 and enabling the option that Henry suggested. Thanks for your investigation into this.