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 Post subject: IB real-time data feed
PostPosted: Thu Jan 02, 2014 9:10 pm 
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Joined: Mon Oct 04, 2010 5:13 pm
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Hi,

Can you please explain how OpenBar price is calculated for IB real-time data? I see that in many cases it is different than the open price shown in IB TWS.

Thanks
Ed


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PostPosted: Thu Jan 02, 2014 9:20 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
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Hi,

what is OpenBar? Do you mean the open price of a bar? It's a price of the first tick inside this bar then...

Regards,
Anton


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PostPosted: Thu Jan 02, 2014 9:27 pm 
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Anton,

Yes, I was referring to the Open price of a bar. I've noticed that in many cases Open price for a bar is different from the Open price of a bar indicated in TWS of IB. So I was wondering if OQ IB Plugin gets bar info from IB or ticks and then constructs the bar inside plugin. Am I correct that if the OQ constructs the bar itself then different timing issues may be the cause for different bar open price between OQ and IB? On the other hand - if the ticks from IB come with timestamp then the OQ bars should be identical to IB... right?

Thanks in advance
Ed


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PostPosted: Thu Jan 02, 2014 9:34 pm 
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I think this issue was discussed many times on this forum. OpenQuant timestamps incoming ticks and opens/closes bars using local computer time, so if you have a large enough difference between IB server time and your local time, then bars collected by IB server are of course different from bars collected by OpenQuant.

IB doesn't provide exchange time as far as I know, but even if it would, I don't know how to use it to build bars. What time (rather what clock) should I use to open or close a bar?

Regards,
Anton


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PostPosted: Thu Jan 02, 2014 9:42 pm 
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Anton,

Thanks for your answer. I'll try to sync that computer time and see how it works.

Ed


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PostPosted: Thu Jan 02, 2014 9:47 pm 
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Actually we've discussed this issue with other customers, including institutional ones hunting milli/microsecond precision, and the best solution so far is to use a hardware card to synch clock if you really want to make things looking identical on your computer and broker/exchange server.

Also, we've added a special clock mode and corresponding functionality in OpenQuant 2014 framework that allows to trigger reminders (particularly to open/close time bars) with nanosecond precision.

Regards,
Anton


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PostPosted: Thu Jan 02, 2014 9:51 pm 
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Joined: Mon Oct 04, 2010 5:13 pm
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Good to know. Thanks. I'm personally not sure we need such precision in our systems but it is good to know anyway.
Thanks


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