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If I understand it correctly @arjfca asked a question about FOREX data.
For FOREX there is no central exchange as for futures or stocks, so FOREX data from different sources may differ by a few pips.
For that reason I would always use FOREX data which is originating from the ECN where I actually intend to trade my FOREX lots.
DTN/IQ has FOREX data from Barclays/FXCM and Tenfore. That is certainly quality FOREX data, but it is not sure that it matches the data from IDEALPRO, which is used by Interactive Brokers.
** I just started a 7 day trial of DTNIQ just for the reason that I wanted an unbiased comparison of the two datafeeds..
I've posted several comparison charts and the most noticable difference to me was the tick charts, far more bars created with DTN, but with minute or renko no noticable difference.
If you are running MC 7.4 you might want to check your settings - This is from the MC Forum:
------------------- User Comment: With this new feature "Skipping identical ticks during calculations", does it mean even if volume changes the indicator will not re-calculate ?
i.e for indicators that makes decisions base on volume, we need to specifically turn this feature off ?
I think this feature should NOT be enabled by default.
MC Response:
Yes, skipping identical ticks means if volume changes, but price is the same the indicator will not re-calculate. Your suggestion will be forwarded to the developers.
--------------------
I'm not sure how MC treats Range\Volume\Tick bars - As indicators or pure price. You could set the "Skip Identical" to off and see what happens.
Also range charts will have fewer bars. To clarify, when I traded through IB I also had a zen account, which I didn't trade with because commissions were higher, I only used the data feed to get backfill data and to plot charts on my other computer. I often directly compared the two feeds and actually preferred the IB feed for live trading because the charts had less noise, i.e. fewer range bars when the price wasn't going anywhere. When the price was moving vertically, the charts showed the moves comparably. If you need precise tick data, then the IB feed is probably no good, but if you are a discretionary trader analyzing pa, then IMO more bars for the sake of more bars isn't necessarily better.
I have tested DTN/IQ data against IB data for a longer period. These are the differences:
(1) IB has condensed ticks.
(2) Real-time volume from IB is simply false, this includes minute data.
(3) IB has no historical tick data, so you cannot backfill tick, range and volume charts.
(4) IB daily data is just built from intraday-data and does not show the settlement price for futures.
The most important argument against IB data is that all your volume indicators will display false values real-time, even on minute charts. If you update your charts regularly, you will notice, how the volume bars change, when you replace real-time with backfilled data.
To conclude, for trading futures and stocks it is highly preferable to use DTN/IQ data.
IB sends data out in packets, each packet contains the last price and the cumulative trade volume as at that point. I don't know exactly how frequent the updates are, but they are very very frequent. From this information a package like Multicharts can of course create a volume chart and a range bar chart, both in real time and from historic data, why not?
I can tell you categorically for volume charts, lets say a 1000 trade volume on ES, or range bar say a 4-tick range bar that the data as charted in MC from IB vs TradeStation from TradeStation data is almost 100% exactly the same. I know this from the very detailed tests I undertook, which were extremely sensitive. For example very complex indicators that use price and volume are the same and day trading strategy test results are the same, except for small differences in the way MC and TS make trading assumptions.
Sorry to disagree but I have to say this because it is plainly the opposite of what I see. Well we must be looking at different instruments or something. Are you referring to total volume or up vs down volume? What I see is:
--- real time total volume from IB is highly accurate, I see no difference not even a few contracts on most bars between IB and TradeStation
--- I trade mainly 5 minute, 10,000 contract and 5 tick range bars and you can back fill them for 1 year and the volume is correct [Note: I look at the total volume in the bar, not the up-volume or down-volume]
--- yes there are sometimes small differences between real time and backfill data, but I put this down to how quickly the trade data is being streamed out in real time, all I can say is IB is light years better than TradeStation. Who cares if the charts show slight discrepancies as long as it keeps pace with your order entry system.
But the real-time volume of Interactive Brokers was comptely off (real-time volume is the volume collected after the chart has been opened or reloaded).
I will try to run a test on Monday and publish the results here. Please remind me, if I forget it.