Anyone collecting IB tick data 24/7 for currencies?

[Adamus]

If anyone out there has collected the IB live data stream for currencies, even for just a week, can I persuade you to let me have it? Apart from my grovelling gratitude I guess I'm offering in return the results of my analysis comparing IB historical data, IQ Feed, and Disktrading data. I guess I'm not so interested in paying cash for it because I've no way of knowing if it's really what I'm asking for, but if there's several months worth of the core currencies that you've got I'm sure I could cut a deal with you.

I've got a situation with my trading systems, I'm getting widely varying results when running them on different data sources.

I tried collecting the tick data from IB but my broadband connection goes down too often and there were a few days I missed completely over the last six months so I gave it up as a bad job.

 

[KILI01]

Hi Adamus,

Which currencies are you interested in getting live data stream ?
My ATS works great on IB data stream and at the moment I'm preparing to adjust my system to other data feed providers, so if you might wait a week I would get the quotes you need and in return I would like to get some historical Futures data from IQ-Feed, Disktrading data and IB from the same period for analysis. I've got a fully reliable broadband connection without any moments of downtime.

 

[Adamus]

That sounds good! Let me know when you're ready for action.

 

[KILI01]

We may start tomorrow or on Thursday but let's move our further arrangements to private messages or emails.

 

[Adamus]

OK let's do that. By the way, how are you keeping IB TWS alive when it wants to shut down?

 

[KILI01]

OK let's do that. By the way, how are you keeping IB TWS alive when it wants to shut down?

So there are a few ways to have required data.
One way is to run both simulation license and the real account license on two PCs ( but you have to log in on those two PC at different time to ensure that you log into different IB servers) and collect data and once one of the servers shuts down you still receive quotes on another PC and so on.

 

[KILI01]

So there are a few ways to have required data.
One way is to run both simulation license and the real account license on two PCs ( but you have to log in on those two PC at different time to ensure that you log into different IB servers) and collect data and once one of the servers shuts down you still receive quotes on another PC and so on.

Just before a moment I realised that IB provides historical data for a period of one year but I haven't tried to get them so far. Maybe this is a good idea for you to get required quotes ? I am developing a small app in the evening to verify if the historical data is a complete data stream.

 

[Adamus]

I am developing a small app in the evening to verify if the historical data is a complete data stream.

I think that you are doing exactly what I want to do. it was by comparing the results of an ATS based on 5mins bars that I realised it produced radically diferent results from one data provider to the next.

Considering that I am trading against the IB live stream, that is what I really want to test against. At least I want to find out how strong the differences are between the IB live stream and the data they supply from their historical data servers. It would be strange for them to drop ticks during their data collection, but I suspect that is what happens.

As I said in my first post, I collected some live data but it's not complete. I combined it with some data from disktrading and tested it and found that there were some 5 minute bars which were different from the disktrading bars, different from the IB historical data and different from the IQ-Feed data. And also not consisting of ticks that could have been taken from the bars before or after during the construction of the bar. So I figured the live data is different.

However I don't know what effect it would have. I observed a difference of about 10% between ATS results between IB historical data and IQ-Feed data, and > 50% between IB data and disktrading data!

 

[KILI01]

Look Adamus, but could you imagine that you might get different results when you are connected to TWS on different IB servers at the same time ? So I am not suprised that historical data, live stream data, may differ among different IB servers you are connected. The IB data are compressed and clocked at a frequency of 250ms and very often data from a log file received from one TWS differ significantly. It's some like chaos or something. But what I want to check is to log a live data stream for a hour and then try to launch a method to receive historical data from the same period of time and finally compare results. It will be processed on the same PC and the session so results should give me a proper answer. And I will prepare a report once I am ready and share it with you.

I personally wonder how it works on IQ-Feed and disktrading data. Could you email a small portion of these data before I make a decision to install a trial version of the software ?

 

[Adamus]

That is an excellent idea and thanks v. much for sharing.

I just emailed the sales rep at IQ-Feed and he's giving me a trial of their premium forex datafeed for a week from now, which is better than the basic I'm subscribed to. The basic includes Barclays and FXCM feeds, and the premium includes Tenfore data.

I can download 1min bars from Feb 2006, and 30 days of tick data.

The disktrading data is tick data back to 1999 but its quality is questionable.

OK for the data, how much do you want?

 

[KILI01]

I would appreciate your effort to get a few days of tick data with at least two main currency pairs, eg. EUR/USD and GBP/USD.
I have just finished developing my app and I am starting to test it tomorrow morning.
Have a good night.

 

[Adamus]

On the same subject area, has anyone here ever run a system on IB in the live and the paper trading account at the same time?

I just wonder what the difference in the PNL would be like.

 

[dakoo]

On the same subject area, has anyone here ever run a system on IB in the live and the paper trading account at the same time?

I just wonder what the difference in the PNL would be like.

Hi. Just came across the thread I have the past 2 weeks tick data on IB GBP/usd and EUR/usd stored in ninjatrader. Let me know if you need still need it. There may be a few minutes with gaps as i do remember losing my connection twice during the 2 week recording. other than those lost minutes, the data should be solid.

 

[Adamus]

Hi there, thanks a lot. Actually I don't require that data anymore. I found the same problem with connectivity but worse than you - I would lose several hours especially overnight.