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Hello,
Did you read the User's Guide?
http://www.amibroker.com/guide/h_ib.html
especially "notes on IB API limitations"?
It was discussed many times. IB is NOT tick feed. It does NOT send
ticks and any tick chart is wrong.
It sends only 0.3 second snapshots instead of ticks
http://www.interactivebrokers.com/cgi-bin/discus/board-auth.pl?file=/2/37364.html
Even more, it sends duplicate events if volume changes or does not
send price events if only volume changes. Net result is that
different softwares interpret those "ticks" differently. The reason for this
is that IB was NEVER designed to feed any charting application and the
feed was designed to update TWS price grid only.
The reason why you get more ticks in InvestorRT is because they interpret
both tickPrice and tickSize as separate ticks, while in fact they are
duplicates and should not be count separate.
The timestamp resolution is by design and has nothing to do with tick mode
that does not really checks any timestamps.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "dbwyatt_1999" <dbw451@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, December 26, 2007 2:37 AM
Subject: [amibroker] Re: AB tick bar analysis
> Thanks Tomasz. I am not using the ASCII importer. I'm using the IB
> plugin to receive data from IB TWS in realtime. For my analysis, I'm
> running three programs on the same computer: IB TWS, AmiBroker Pro,
> and Investor/RT. AB and IRT receive the same data stream from IB TWS
> in real-time at the same time. I took a detailed look at the price
> bars created on a 10 tick chart for a 10 minute period in both AB and
> IRT. AB created 14 10t bars and IRT created 22 10t bars for the same
> 10 minute period using the exact same IB data feed. Total CPU
> utilization stays under 10% for the entire test period. The total
> volumes for the 10 minute period are approximately the same for both
> AB and IRT 10t charts. The difference in the number of 10t bars
> created between the two charting packages is what concerns me. I
> suspect that I do not have something setup correctly with AB because
> all the AB tick bars have a timestamp that are a multiple of 5
> seconds.
>
> Is there some AB setting that is forcing the timestamps to be
> multiples of 5 seconds for a 10 tick chart created in realtime from
> the IB TWS data feed?
>
> Thanks,
>
> David
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
> wrote:
>>
>> Hello,
>>
>> If you are using ASCII importer and want to import tick data
>> you must use special mode, because ticks are special in that meaning
>> that ticks may have duplicate timestamps. For that reason you need
>> to specify
>>
>> $TICKMODE 1
>>
>> in the ASCII importer definition.
>>
>> See the documentation of ASCII importer - it has very detailed docs
>> in the User's Guide.
>>
>>
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message -----
>> From: "dbwyatt_1999" <dbw451@xxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Monday, December 24, 2007 10:44 PM
>> Subject: [amibroker] Re: AB tick bar analysis
>>
>>
>> > Thanks Barry, you do have a point that IB data does not have a
>> > timestamp which would make comparing different captures
> difficult.
>> > The Scottrade DJI tick data looks like it's 2 second snapshots.
>> >
>> > I'm not so much concerned about having exact timestamps, but the
>> > number of tick bars for a time period for the exact same datafeed
>> > should be very close regardless of the timestamps. I mean 10
> ticks
>> > is 10 trades, whether that took 0.23 seconds or 35 seconds. The
>> > number of trades (i.e. number of bars) should be similar between
>> > different charting packages. They may not match up depending on
>> > where the tick counting starts, but overall the total number of
> bars
>> > should be very similar between all charts with the same tick
>> > timeframe. If 1000 trades happened in a given time period, then
> on a
>> > 10 tick chart there should be close to 100 bars.
>> >
>> > Regards,
>> >
>> > David
>> >
>> > --- In amibroker@xxxxxxxxxxxxxxx, "Barry Scarborough"
> <razzbarry@>
>> > wrote:
>> >>
>> >> I think the reason is that IB does not provide a time stamp with
>> > the
>> >> data it sends and AB has to use the computer clock. If that is
> the
>> >> case the data never will be in sync. That is what I have
> noticed.
>> > My
>> >> last bar close on one minute intraday charts is never the same
> as
>> >> Scottrade or the EOD database from Yahoo. IB sends data before
> the
>> >> open and after the close and that can get shifted into the AB
>> > charts
>> >> depending on your computer clock. Try looking at a few bars
> either
>> >> way and see if the open and close is the same on them. But then
> I
>> >> guess when you are looking at really short term data even
> different
>> >> data feeds may not be in sync.
>> >>
>> >> I dumped the last 100 bars of DJI tick data from Scottrade. If
> you
>> >> have access to IB INDU tick data you could compare them. I can
> send
>> >> the file if that would help.
>> >>
>> >> Barry
>> >>
>
>
>
>
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>
Please note that this group is for discussion between users only.
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