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Open Feature request MC-1224

Support IB's API "Five Second Bars" for accurate charting and trading

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14
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Description

My data feed is IB and TradeStation. I use 1 minute charts for trading. The values of Open, High, Low and Close(OHLC) of TS data are correct. But the values of IB data are sometimes incorrect because IB doesn't provide all tick data (IB provides only filtered snapshots). This occurs very often with fast moving symbols like FDAX. If the values of OHLC are incorrect and the calculation (trading conditions, points of entry/exit) are based on the incorrect values, incorrect trade may be executed. This is that big problem for all the traders who are using IB data.
IB recognizes this problem and offers an API "Five Second Bars" which provides accurate OHLC values every 5 seconds to correct the incorrect values caused by filtering tick data.
Please support this API to solve this problem. It is extremely important for all the traders who are using IB data.
Related articles are below,
[ IB 5 second update data ]

http://www.multicharts.com/discussion/viewtopic.php?f=1&t=9935

[ Using Interactive Brokers 5 second update data ]

http://www.ninjatrader.com/support/forum/showthread.php?t=46458

[ API Release Notes for build 9.2 ]

http://www.interactivebrokers.com/en/software/apiReleaseNotes/api9.2.php

Steps to reproduce this issue

Compare 1 minute charts between IB and TS / eSignal / iQFEED
I will attach files later.

Comments (8)
#0
user-offline.png  Fabrice (fpa)
Nov 05, 2013 - 15:32

This feature is essential if IB is used as a datafeed for day trading on 3 or 5 minutes charts.
Thanks.

#0
user-offline.png  MidKnight (MidKnight)
Feb 06, 2014 - 21:37

I was literally stunned when I learned that MC.net did support this part of the IB API. This has been available for years and other charting providers (sierra charts) do allow for it.

#0
user-offline.png  MidKnight (MidKnight)
Feb 11, 2014 - 21:58

I was literally stunned when I
learned that MC.net did not support this part of the IB API. This has been
available for years and other charting providers (sierra charts) do
allow for it.

#0
user-offline.png  MidKnight (MidKnight)
Feb 21, 2014 - 03:22

Even simplier to reproduce. Track market in real-time for an hour or two with the real-time IB feed on a low timeframe (ie, 1min or lower). Note the results via a screenshot or by a zigzag showing the swing point prices. Compare those prices to the IB TWS chart and see the difference. The IB TWS will use this data to give the real high/low values. For most noticeable discrepencies, do this comparison during high volatility - such as the opens or news releases. There is a massive massive difference every day. Even IB charts use this data in their own charting.

#0
user-offline.png  JoeTrader (Guest)
May 26, 2014 - 20:16

8 votes now and still has not even been reviewed by staff. I've seen issues with only 2 votes get prompt review. Why not just do your customers a favour and either review this issue or publicly state on your forum why this will never be reviewed and/or addressed.

#0
user-offline.png  dennisc (dennisc)
Sep 17, 2014 - 11:32

It took me months to realize that even the pseudo-tick data charts of IB data are horribly inaccurate. Now that MC and IB have a working relationship, I hope this issue gets attention; it will REALLY help MC/IB users and perhaps create more interest in MC among those who are considering other platform options for using IB data.
PLEASE, PLEASE, PLEASE!

#0
user-offline.png  ducktail (ducktail)
Sep 17, 2014 - 19:17

Many users want MC to support this. Would you please review this issue.
We IB trader really need IB's API "five second bars" for accurate trading.
If MC support this, we don't have to pay for extra data feed(e.g. eSignal iQfeed).

#1
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Mar 30, 2017 - 12:44
Available for Forex (Cash) instruments from IB.
Changes:
  •   icon_milestone.pngMilestone changed: Declined/Not a Bug/Will not Fix/Cannot Reproduce/Duplicated => MultiCharts 10.0 (RELEASED)
  •   icon_status.pngStatus changed: Declined => Partially Implemented
History
Issue basics
  • Type of issue
    Feature request
  • Category
    Not determined
  • Targeted for
    MultiCharts 10.0 (RELEASED)
  • Status
    Partially Implemented
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
Affected by this issue (2)
People involved
Times and dates
  • Posted at
  • Last updated
Issue details
  • Resolution
    Not determined
  • Severity
    Normal
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