IB 5 second update data

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manualtrader
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IB 5 second update data

Postby manualtrader » 11 Feb 2012

Hello MC Team,

IB has an API call of a 5 second bar that provides the current bar's OHLCV value every 5 seconds, this is very useful feature for anyone using IB data feed to create accurate bar high/low. Currently, SC has this function, and NT is planning to add it in the next release, http://www.NT.com/support/foru ... 5#poststop, is there a chance MC can add this feature on? Thanks.
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Re: IB 5 second update data

Postby Henry MultiСharts » 13 Feb 2012

Currently MultiCharts utilizes real time IB tick data.
You need to disable the option "Generate new tick if total volume changes" in Quote manager->Tools->Data sources->IB.
What will be the user's benefit from using 5 second bars?

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Re: IB 5 second update data

Postby manualtrader » 13 Feb 2012

IB tick data is filtered, not real tick data. When you create time based chart, such as 1m/5m, the bar high/low very often miss tick or ticks.
Please look at the attached comparison, you will find why IB 5-second real time data can help to create accurate bars.
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Bars comparison.jpg
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Henry MultiСharts
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Re: IB 5 second update data

Postby Henry MultiСharts » 15 Feb 2012

Hello Manualtrader,

Please let us know what exact version of MultiCharts are you running (MultiCharts->Help->About).
Attach a screenshot of Quote manager->Tools->Data sources->IB->Settings tab.
What symbol are you using for comparison?

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Re: IB 5 second update data

Postby manualtrader » 17 Feb 2012

Hi Henry,

MC 7.4 (Build 4906)
NQH2
IB Setting Attached
My test shows that MC, NT, and SC will get the same chart if not use IB 5 second update data to create charts, that's why SC added it to their platform, NT is planning to.
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Setting Tab.png
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Re: IB 5 second update data

Postby Xyzzy » 18 Feb 2012

This is really interesting. I've had similar issues with subtle differences between one-minute charts that are based on IQFeed tick data versus IB data, but I didn't fully understand why.

If you look at the IB tick data for a particular instrument in Quote Manager (e.g., the tick data for ES), you'll see that IB is only sending four ticks per second. Each pseudo-tick only shows the "current" price at that moment in time (i.e., once every quarter-second), not the complete OHLC price movement within that quarter-second period.

Consequently, the price could move several times within that quarter-second period, and those movements wouldn't show up in IB's tick data. E.g., if the price momentarily drops down but then immediately recovers, before IB sends a tick update, then that movement wouldn't show up in IB's tick data. Any charts based on that tick data would be inaccurate -- not because of any errors by MultiCharts, but because the IB data itself is incomplete.

Having charts based on accurate five-second OHLC ranges would be great. I'd second this suggestion.

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Re: IB 5 second update data

Postby TJ » 19 Feb 2012

Xyzzy wrote:This is really interesting. I've had similar issues with subtle differences between one-minute charts that are based on IQFeed tick data versus IB data, but I didn't fully understand why.

If you look at the IB tick data for a particular instrument in Quote Manager (e.g., the tick data for ES), you'll see that IB is only sending four ticks per second. Each pseudo-tick only shows the "current" price at that moment in time (i.e., once every quarter-second), not the complete OHLC price movement within that quarter-second period.

Consequently, the price could move several times within that quarter-second period, and those movements wouldn't show up in IB's tick data. E.g., if the price momentarily drops down but then immediately recovers, before IB sends a tick update, then that movement wouldn't show up in IB's tick data. Any charts based on that tick data would be inaccurate -- not because of any errors by MultiCharts, but because the IB data itself is incomplete.

Having charts based on accurate five-second OHLC ranges would be great. I'd second this suggestion.


Your observation is correct -- IB does not stream true real time quotes. They only send snapshots of the market at 250~300 millisecond intervals. (aggregated quotes). This specification is stated in their website.

As a matter of fact, most of the data provider stream aggregated quotes.

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Re: IB 5 second update data

Postby Xyzzy » 19 Feb 2012

TJ,

I understand. I was trying (perhaps too subtly) to explain that the problem is not with Multicharts, per se. However, it would still be great if Multicharts could support the new 5 second bars, which would alleviate many of these problems.
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Re: IB 5 second update data

Postby Henry MultiСharts » 22 Feb 2012

Dear Sirs,

Thank you for your interest and suggestions.
We will consider this feature in the future.

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Re: IB 5 second update data

Postby Grigorios » 13 Feb 2014

Henry MultiСharts wrote:Dear Sirs,

Thank you for your interest and suggestions.
We will consider this feature in the future.


Hi Henry,

is there any plan in near future for adding this IB's 5 sec. real data feature into MC ?

regards
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Re: IB 5 second update data

Postby Henry MultiСharts » 18 Feb 2014

Grigorios wrote:
Henry MultiСharts wrote:Dear Sirs,

Thank you for your interest and suggestions.
We will consider this feature in the future.


Hi Henry,

is there any plan in near future for adding this IB's 5 sec. real data feature into MC ?

regards

Hello Grigorios,

It is not in our to-do list at the moment.

Please vote for the corresponding feature request in the Project Management of our web site:
https://www.multicharts.com/pm/viewissue ... no=MC-1224

All feature requests are forwarded to the management of the company and are evaluated in a timely manner. Please note that even though we value your opinion not all requests can be implemented due to the fact that some features do not fit into our current roadmap.


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