Does anyone know why there is a unbeliavable difference between real time chart of Interactive Brokers vs Backfill of same data next day?
Ticker CMPR 21.06.23 at the top - backfilled data, lower - real time data (Amibroker 6.18, IB plugin 2.11).
One of the solution might be to form charts from real time streaming tick data which I did by Python ant tick data from IB API - big problem - max limitation is 5 simultaneous stream data!
Can anyone suggest any solution? M.b. there is a data vendor for that? I also noticed that Backfill data and Real time data do not include small lots (<100 shares).
IB TWS streaming data are NOT tick-by-tick, but rather 0.2-0.3 second snapshots.
Always in the past IB provide only very limited data in backfill and they smooth and compress.
I provide a daily seconds Amibroker export of the "real delayed tick data" sent by IB, which also represents an averaged value at time x for my daily analysis. I import these pseudo ticks send by IB TWS to a sql database and can thus generate a more accurate base set of ticks for a current trading day. Please also consider in my case the IB latency of about 150 ms per tick.
The export/import automation tool is done via VisualStudio and OLE communication to Amibroker. This is working very well.
DTN IQFeed advertises some kind of "real tick data feed", which can be booked.
You can also find many posts about that IB data behavior in this forum.