[R-SIG-Finance] meaning of IBroker mktData information
Mark Knecht
markknecht at gmail.com
Fri Feb 28 22:57:11 CET 2014
On Fri, Feb 28, 2014 at 12:14 PM, Stephen Choularton
<stephen at organicfoodmarkets.com.au> wrote:
> Hi Brian
>
> I would imagine anyone using IB data would discover the problem I did on
> first use. If not they are being a bit too trusting in their data which
> should never be taken simply on face value.
>
> Clearly others have come across this problem and thanks to everyone who
> pointed me towards the TWSAPI Yahoo group which has some material on it. A
> suggested cause is that IB sacrifices comprehensive coverage in order to
> keep to real time. That is, they do NOT transmit all the tick info as at
> busy times it can push the data many second back away from real time.
>
> I have emailed IB asking them how I can accurately extract price and size
> information from the stream. I will advise the group if I get anywhere.
>
<SNIP>
A post with one (somewhat well known) individual's view on different
data providers:
https://www.bigmiketrading.com/brokers-data-feeds/22585-unfiltered-data.html
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