On Fri, Feb 28, 2014 at 12:14 PM, Stephen Choularton <[email protected]> wrote: > Hi Brian > > I would imagine anyone using IB data would discover the problem I did on > first use. If not they are being a bit too trusting in their data which > should never be taken simply on face value. > > Clearly others have come across this problem and thanks to everyone who > pointed me towards the TWSAPI Yahoo group which has some material on it. A > suggested cause is that IB sacrifices comprehensive coverage in order to > keep to real time. That is, they do NOT transmit all the tick info as at > busy times it can push the data many second back away from real time. > > I have emailed IB asking them how I can accurately extract price and size > information from the stream. I will advise the group if I get anywhere. > <SNIP>
A post with one (somewhat well known) individual's view on different data providers: https://www.bigmiketrading.com/brokers-data-feeds/22585-unfiltered-data.html _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
