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Interactive Brokers (IB) Data - Snapshot Data

Bob Hoffman
posted this on February 23, 2010 13:34

We are often asked which data vendor we prefer.  Much of our response is based upon the way data is sent from the data vendor.  We prefer data sources that offer a complete representation of how the trading occurred.  

Some vendors offer snapshot data while others offer a streaming tick by tick feed.  Interactive Brokers is a very popular source of snapshot data among MarketDelta users. Read below for how snapshot data affects the data feed specifically.


EXPLANATION:

While CQG, eSignal and DTN IQFeed send every trade (tick) along with associated bid & ask, Interactive Brokers and others send "snapshot" quotes.  Last we knew, they are sending data every 300ms (when needed) which is a compressed snapshot of all trades that occurred within that 300ms (3/10ths of a second).   So if 5 ticks occurred very close together, they might all be sent in as a single snapshot quote, with MarketDelta in turn treating it as a single tick or trade.  This would certainly effect something like a tick bar chart which relies on the number of trades to form it's bars.  It will also effect the Volume Breakdown indicator which relies on seeing every trade along with it's bid & ask in order to divide volume up into bid or ask volume.

 

Now, if the symbol does not trade frequently, with trades generally happening only once every second or more, then the effect will be much less noticeable, if noticeable at all.

Here is a good example comparing IB quotes (on the left) with those from eSignal (on right).  These were collected real time.

livebook.jpg

 

Notice the first trade for IB comes in as 220 contracts traded on the bid.  However, eSignal sent in 9 different trades making up those 220 contracts, with some trades coming in on the bid, and some coming in on the ask.  In the end, both data feeds sent the same amount of volume, but IB sent only 1 trade to eSignal's 9 (which would obviously effect tick charts), and IB sent in 220 contracts all on the bid, contributing a -220 to the delta value of the Volume Breakdown indicator, while eSignal sent in 198 contracts on the ask, and 22 on the bid, resulting in a +176 delta value for the VB indicator.

 Now this is somewhat of an extreme example, but when trading a high tick activity instruments like the ES and AB, one would expect to see discrepancies more frequently on instruments that do not have extreme tick activity during certain times of the day.