IB Question

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IB Question

Postby JackR » 07 Apr 2011

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.?


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Stan Bokov
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Re: IB Question

Postby Stan Bokov » 08 Apr 2011

The truth is we don't really know how often they send updates, that information can be be obtained only from IB. It also depends on the symbol and the exchange. Our developers say IB used to send "snapshots" but they varied in speed according to the symbol and exchange - we never measured how fast exactly they come.

Also, the in the last version of TWS they appear to be sending data that is more like ticks than snapshots. The Times and Sales data is used for the chart and for the DOM.

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