I have been using IB since 2008 i think..
Pros: A reasonably stable execution platform. Well designed with good tools, but many dont work for indian markets.
Cons: Data quality - market and historical is very poor. My understanding has been that the IB real-time feed was sampled, and therefore could miss high/lows, but the historical feed would generally be corrected. However, recently this is what i found. On a randomly selected day (20th Jan 2016), the IB reported volume on charts and on historical API were substantially different from the volumes reported by the exchange. Generally, the volumes were lower by 78% on average - and i am talking about the stocks that are index constituents. Similarly, when comparing the highs reported by IB historical feeds vs as reported by exchange, there were many symbols that had a 7%-9% discrepancy with a vis the traded high on that day.
I sent these numbers to IB and i following response, basically washing their hands off historical data completely.
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Dear Mr. Sharma,
The TWS charts and historical data shows the sum of all last information. Since we are not receiving all last values from NSE, therefore the total/netted volume will not match the official NSE Value. Yes there can discrepancy of up to 70-80%. No, the correct historical data will not be available on API as well.
Also, note that the High/low, etc. can also vary due to the above issue. If the Last information was not received at the time when market was making new highs, then there will be a discrepancy.
Unfortunately, at this time, we cannot modify the system as this how NSE sends us the data. Our technical team is aware of the issue. At best, you can refer to the live data available on the TWS watchlist on a real time basis (not historical or chart data).
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Pros: A reasonably stable execution platform. Well designed with good tools, but many dont work for indian markets.
Cons: Data quality - market and historical is very poor. My understanding has been that the IB real-time feed was sampled, and therefore could miss high/lows, but the historical feed would generally be corrected. However, recently this is what i found. On a randomly selected day (20th Jan 2016), the IB reported volume on charts and on historical API were substantially different from the volumes reported by the exchange. Generally, the volumes were lower by 78% on average - and i am talking about the stocks that are index constituents. Similarly, when comparing the highs reported by IB historical feeds vs as reported by exchange, there were many symbols that had a 7%-9% discrepancy with a vis the traded high on that day.
I sent these numbers to IB and i following response, basically washing their hands off historical data completely.
************
Dear Mr. Sharma,
The TWS charts and historical data shows the sum of all last information. Since we are not receiving all last values from NSE, therefore the total/netted volume will not match the official NSE Value. Yes there can discrepancy of up to 70-80%. No, the correct historical data will not be available on API as well.
Also, note that the High/low, etc. can also vary due to the above issue. If the Last information was not received at the time when market was making new highs, then there will be a discrepancy.
Unfortunately, at this time, we cannot modify the system as this how NSE sends us the data. Our technical team is aware of the issue. At best, you can refer to the live data available on the TWS watchlist on a real time basis (not historical or chart data).
***************