Stan:Stan Bokov wrote:..... we pulled up the Times and Sales in Interactive Brokers TWS and the LAST field is updated much more frequently than the ask and the bid fields (about 5 times more often)....
I know IB samples the data we get but it has always been a mystery as to how often they update the info. Since you've measured it, could you tell us what the rate is, e.g. every 100 milliseconds, 300 milliseconds, etc.? Also what symbol(s) did you look at?
Is the Time and Sales data stream the same stream you use to generate the charts, etc.?