Support Board
Date/Time: Fri, 27 Dec 2024 04:35:33 +0000
Post From: A Better Implementation of Interactive Broker's Data Feed
| [2013-04-05 16:07:58] |
| Bad Dog - Posts: 17 |
|
A lot of postings deal with volume issues with Interactive Broker's datafeed. SC developers have indeicated that the data feed is missing trades, so the volume is understated. To compensate, SC adds phantom trades to make up for this missing volume. The SC developers have suggested that alternate brokers or alternate data feed providers be used if the quality of IB's data feed is inadequate. Unfortunately if you reside in Canada (especially British Columbia), there are very few alternate brokers available to replace Interactive Brokers and provide comparable trade commissions. I have never been convinced that IB's data feed could not be improved, so I created my own data feed using IB's API. The resulting feed data differs quite significantly when compared to Sierra Chart's version of the IB data feed. To measure the accuracy of the data feed, I have compared the feed to Sierra Chart's two data feed backfill services: SC Historical Data & SC Futures Backfill Data. Using the crude oil futures symbol, CL, I created 10 minute bars using the four different data feeds, and compared their volumes: 11:10am 11:20am 11:30am 11:40am 11:50am SC real-time feed using IB data 15878 9574 1141 1146 2228 My custom real-time data feed using IB data 10649 3460 980 917 463 SC Historical Data (backfill) 10572 3462 979 908 463 SC Futures Backfill Data (backfill) 6796 3997 940 868 445 I found that none of the data feed matched exactly, including Sierra Chart's two historical data feeds. However the closest match is my custom data feed and SC historical data. Sierra Chart's r/t feed using IB data does not come close to matching any of the other feeds, and is consistently overstated. I believe the addition of phantom trades by SC is the cause of the large volume numbers. I have attached two screen shots of the 10 minutes charts using the various data feed, showing the market profiles of the bars. The shots show that my custom data feed matches SC futures backfill data fairly closely, while Sierra Charts data feed using IB data does not. I hope this information illustrates my point that a better data feed using Interactive Broker's data feed and API can be created. My programming skills as rather crude, so I am sure the SC developers would have not problem improving upon my attempt. I can submit details about the coding of the custom data feed if anyone is interested. -BD |
 customVersusSC.jpg / V - Attached On 2013-04-05 16:03:50 UTC - Size: 688.2 KB - 861 views IBversusSC.jpg / V - Attached On 2013-04-05 16:04:12 UTC - Size: 692.05 KB - 751 views |