Interactive Brokers new tick by tick API feature


#1

Hello,

is AB already ok with new tick by tick granularity of IB datafeed?

More info on IB website :
https://www.interactivebrokers.com/it/index.php?f=26967#966-03 (Tick-by-Tick Historical Market Data via API) section and

http://interactivebrokers.github.io/tws-api/historical_time_and_sales.html#gsc.tab=0

thanks in advance


#2

With what time retention? 1 or 5 seconds?
Sorry but IB backfill is so severely limited than even on 1-minute granularity it is hardly usable.

What IB should do is to switch off throttling because as of now IB feed is a joke compared to IQFeed and eSignal when it comes to historical data.

If you read their docs http://interactivebrokers.github.io/tws-api/historical_time_and_sales.html#gsc.tab=0 their “new” API has this:

numberOfTicks, Number of distinct data points. Max currently 1000 per request.

1000 per request? Actively traded symbol like ES contract can have 5000 ticks per second. So with their new “feature” you can get 0.2 seconds worth of data. Really “impressive” :frowning:

So no it is not “OK” and with current limitations of IB feed with regards to throttling and data retention this “feature” is pretty much useless.


#3

It’s really useless, IB told me that they ONLY backfill tick data and ONLY for 1000 ticks. This means that real time data is not tick by tick but ONLY 4 snapshots / second.

I asked them what it’s useful for this new feature because it’s ridiculous as backfill and not even working for real time and the answer was that they are not focused on being a data provider…

Please also note that this new functionality don’t let the eSignal real time tick by tick data available to TWS to be forwarded to API so, again, it is useless.