IB Tick Data

[gregschr]

After 1-1/2 years with Interactive Brokers, I just found out that their tick data is not real tick data. Since they don't provide historical tick data, that leaves me in a quandry... how to backtest strategies based on tick data.

IB's 233 tick chart and eSignal's 233 tick chart are completely different. If I use a 1500 tick chart on eSignal, the number of bars are roughly the same for a given time period, but the charts and indicators I use are still different enough to affect trades.

I can think of two options.

1) Use eSignal as the realtime data provider. I don't like this option because I am now depending on 2 data connections. If eSignal's connection goes down, then I start getting IB tick data which creates problems for a strategy optimized on a totally different set of data.

2) Use another broker.

Does anyone have any other ideas? Is it possible to take real tick historical data and compress it into a tick data set that matches IB? What is the algorithm that IB uses to convert their data?

[NinjaTrader_Jason]

Hello gregschr,

Unfortunately different data sources can have discrepancies in their data. Please see the link below.
http://www.ninjatrader-support.com/H...ChartBars.html

Different Data Feeds
Different data feeds produce different charts especially when using tick based intervals vs time based intervals. Market data vendors each employ various methods for tick filtering, throttling and time stamping. As a result, no data stream is 100% identical and thus can cause subtle differences in charts. Since NinjaTrader supports many of the leading brokerage and data feed technologies, its guaranteed that two traders using NinjaTrader on different data feeds will have minor differences when plotting the same market and time interval.

As per #1, if you lose connection to eSignal and you perform a backtest, it will use historical tick data in your database. It will not use historical tick data from IB, since it is not supported.

In addition, I suggest to contact IB for clarificiation on their data.