Anyone experienced with IQFeed and IBD real-time trading 5min and 1min bars?
I get price mismatch and issues with starting IBD streaming data. I use IQFeed for algo development, but my real-time trading IBD account is used and linked to my Collective2 account.
If I run the algo using IQFeed, then there can be big profit variation when trading futures due to the leveraged nature of futures.
Also I have trouble getting IBD streaming to start on the charts and charts say the data source is IQFeed. But I chose IBD streaming and I pay both IBD and IQFeed for streaming futures.
I notice there are times they will config, but at other times there is price mismatch.
I get price mismatch and issues with starting IBD streaming data. I use IQFeed for algo development, but my real-time trading IBD account is used and linked to my Collective2 account.
If I run the algo using IQFeed, then there can be big profit variation when trading futures due to the leveraged nature of futures.
Also I have trouble getting IBD streaming to start on the charts and charts say the data source is IQFeed. But I chose IBD streaming and I pay both IBD and IQFeed for streaming futures.
I notice there are times they will config, but at other times there is price mismatch.
Rename
I have green rectangles around the pricing and the selected streamer
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MNQ/NQ futures can change 20 pts in an instant. So it's no surprise that IB streaming that updates no faster than 200 msec can be different from IQFeed, which serves every tick.
MNQ/NQ futures can change 20 pts in an instant. So it's no surprise that IB streaming that updates no faster than 200 msec can be different from IQFeed, which serves every tick.
A couple of examples in real data feeds.
The 1st link is exactly what I see. Comparing IQFeed to IBD is necessary when trading 5min bars. There is a big difference between the data in the charts during volatility.
The 2nd link shows a low cost alternative to IQFeed. But I don't understand why folks would be concern with cost if they are trading for 1K per day profit. DH Shaw pays millions for co-located and custom hardware.
I'm just trying to ride their coat tails.
https://search.app/X4WdYx4friCVoB3t9
https://search.app/hvA5TZ2AGQRDA9QQ6
A couple of examples in real data feeds.
The 1st link is exactly what I see. Comparing IQFeed to IBD is necessary when trading 5min bars. There is a big difference between the data in the charts during volatility.
The 2nd link shows a low cost alternative to IQFeed. But I don't understand why folks would be concern with cost if they are trading for 1K per day profit. DH Shaw pays millions for co-located and custom hardware.
I'm just trying to ride their coat tails.
https://search.app/X4WdYx4friCVoB3t9
https://search.app/hvA5TZ2AGQRDA9QQ6
so unfortunately turning on my strategy for auto-trading is not the best idea yet.
DTN IQFeed is known for its high-fidelity data, low latency, and high accuracy. It’s particularly useful for high-frequency trading or strategies that rely heavily on precise data.
Combining providers can offer significant advantages. For example, you can use IQFeed to build strong trading strategies with high-quality historical data. IQFeed’s real-time data can then be used in custom-coded frameworks or platforms like MultiCharts to trigger trades from strategies in your portfolio, which are sent to a separate broker, such as Interactive Brokers for execution and management. This setup ensures consistency and reliability.
Using the same data feed for both building strategies and executing trades is crucial for consistency and accuracy. Early on, I tested the broker’s historical data and found it to be sub-par, realizing I needed a better data feed. During this testing phase, I didn’t incur large losses, as the testing helped me determine the broker data wasn’t suitable for a live environment. Realigning my data sources brought back the effectiveness of my strategy and improved my trading outcomes.
Choosing the right data feeds for your futures trading is a journey. By understanding your data needs, evaluating providers carefully, ensuring data accuracy and completeness, and leveraging the strengths of various providers, you can build strong and effective trading strategies. Apply these tips, avoid common pitfalls, and optimize your trading performance. Share your experiences and insights in the comments section — I’d love to hear from you!
DTN IQFeed is known for its high-fidelity data, low latency, and high accuracy. It’s particularly useful for high-frequency trading or strategies that rely heavily on precise data.
Combining providers can offer significant advantages. For example, you can use IQFeed to build strong trading strategies with high-quality historical data. IQFeed’s real-time data can then be used in custom-coded frameworks or platforms like MultiCharts to trigger trades from strategies in your portfolio, which are sent to a separate broker, such as Interactive Brokers for execution and management. This setup ensures consistency and reliability.
Using the same data feed for both building strategies and executing trades is crucial for consistency and accuracy. Early on, I tested the broker’s historical data and found it to be sub-par, realizing I needed a better data feed. During this testing phase, I didn’t incur large losses, as the testing helped me determine the broker data wasn’t suitable for a live environment. Realigning my data sources brought back the effectiveness of my strategy and improved my trading outcomes.
Choosing the right data feeds for your futures trading is a journey. By understanding your data needs, evaluating providers carefully, ensuring data accuracy and completeness, and leveraging the strengths of various providers, you can build strong and effective trading strategies. Apply these tips, avoid common pitfalls, and optimize your trading performance. Share your experiences and insights in the comments section — I’d love to hear from you!
Here's a comparison of the 1-minute historical bars between IB (left) and IQFeed (right). Notice that IQFeed data is always in Eastern time, so that's why the hours are different when compared to the CME market time. The data are identical.
Keep in mind that these are pure historic bars - not created by streaming.
Although IQFeed's streaming bars would be identical (it's a tick by tick provider), IB's bars created by streaming would have many differences because of the typical 200 msec sampling. (Covered in the article that I linked in Post #3.)
In summary, to trade intraday bars with IB you should use "Streaming Bars" or "Polling" in the Strategy Monitor. Here's the result for Streaming Bars from IB just now, and you can compare yourself (request a chart) that the data match that of the historical bars. The first column is my local time, showing that there's about a 2 second delay to receiving the bar and processing it.
IB "Streaming Bars" from a strategy that writes the the last bar to a file -
When trading small intervals with IB in the Strategy Monitor I recommend Streaming Bars instead of Polling.
Polling requires an extra round-trip request and because of the way we're batching IB data requests, the smallest request results in 1 or 2 days of data, which could add significant delay (500 msec? 1 sec?). When less than an hour of data is required for an update, I'm going to work on an update to bypass the batch request and get just the bar(s) required.
Keep in mind that these are pure historic bars - not created by streaming.
Although IQFeed's streaming bars would be identical (it's a tick by tick provider), IB's bars created by streaming would have many differences because of the typical 200 msec sampling. (Covered in the article that I linked in Post #3.)
In summary, to trade intraday bars with IB you should use "Streaming Bars" or "Polling" in the Strategy Monitor. Here's the result for Streaming Bars from IB just now, and you can compare yourself (request a chart) that the data match that of the historical bars. The first column is my local time, showing that there's about a 2 second delay to receiving the bar and processing it.
IB "Streaming Bars" from a strategy that writes the the last bar to a file -
CODE:
08:30:02.059 20250325 0330 5,804.7500 5,805.2500 5,803.7500 5,804.0000 555 08:31:02.569 20250325 0331 5,803.7500 5,804.5000 5,802.2500 5,804.2500 328 08:32:02.136 20250325 0332 5,804.0000 5,805.0000 5,803.7500 5,804.5000 209 08:33:01.695 20250325 0333 5,804.2500 5,805.0000 5,804.2500 5,804.2500 141 08:34:02.249 20250325 0334 5,804.5000 5,804.7500 5,803.7500 5,804.0000 147 08:35:01.742 20250325 0335 5,804.2500 5,804.7500 5,803.7500 5,803.7500 245 08:36:02.271 20250325 0336 5,803.7500 5,804.5000 5,803.5000 5,803.7500 176 08:37:01.811 20250325 0337 5,804.0000 5,806.7500 5,804.0000 5,806.0000 242 08:38:02.434 20250325 0338 5,805.7500 5,806.0000 5,805.5000 5,805.7500 129 08:39:02.000 20250325 0339 5,806.0000 5,806.2500 5,805.5000 5,806.0000 175 08:40:01.605 20250325 0340 5,806.2500 5,806.5000 5,805.7500 5,806.2500 172 08:41:02.155 20250325 0341 5,806.2500 5,806.2500 5,804.5000 5,805.5000 248 08:42:01.688 20250325 0342 5,805.5000 5,806.2500 5,805.5000 5,806.0000 103 08:43:02.228 20250325 0343 5,806.2500 5,806.2500 5,805.0000 5,805.0000 183 08:44:01.794 20250325 0344 5,805.2500 5,805.7500 5,805.0000 5,805.2500 125 08:45:02.419 20250325 0345 5,805.0000 5,806.2500 5,805.0000 5,806.2500 105 08:46:01.982 20250325 0346 5,806.2500 5,806.2500 5,805.2500 5,806.0000 258 08:47:01.501 20250325 0347 5,806.0000 5,806.2500 5,804.7500 5,805.0000 196 08:48:02.085 20250325 0348 5,805.2500 5,806.2500 5,805.2500 5,806.2500 128 08:49:01.733 20250325 0349 5,806.5000 5,806.7500 5,806.0000 5,806.5000 176 08:50:02.293 20250325 0350 5,806.5000 5,807.0000 5,806.2500 5,806.2500 97 08:51:01.863 20250325 0351 5,806.5000 5,807.7500 5,806.5000 5,807.7500 174 08:52:01.538 20250325 0352 5,807.7500 5,808.0000 5,807.5000 5,807.7500 222
When trading small intervals with IB in the Strategy Monitor I recommend Streaming Bars instead of Polling.
Polling requires an extra round-trip request and because of the way we're batching IB data requests, the smallest request results in 1 or 2 days of data, which could add significant delay (500 msec? 1 sec?). When less than an hour of data is required for an update, I'm going to work on an update to bypass the batch request and get just the bar(s) required.
Thanks.
After watching today in a volatile market I can see IBD and IQFeed data drifting apart. It is almost like 2 different markets. I was reading that IBD settling their own orders. I'm not an expert in market makers, but this could easily explain why I see these price movements.
Also when I turn off the streamer for both feeds and then turn back on, then I do see identically or nearly identical low and high.
This has been an interesting learning experience.
Thanks again.
After watching today in a volatile market I can see IBD and IQFeed data drifting apart. It is almost like 2 different markets. I was reading that IBD settling their own orders. I'm not an expert in market makers, but this could easily explain why I see these price movements.
Also when I turn off the streamer for both feeds and then turn back on, then I do see identically or nearly identical low and high.
This has been an interesting learning experience.
Thanks again.
Also I did verify the IBD data is real with real trades. I'm just amazed how much variation I can get but this completely explains the inconsistency in trading I was producing.
What do you make of this? IBD is streaming in Data manager and IQFeed is streaming on the chart. IBD timestamp matches my computer but the IQFeed timestamp on the chart is off > 5min on a 1min chart. Also this clearly shows IBD market pricing is different than IQFeed pricing.
I now the hours are off, but minutes should be tracking.
I now the hours are off, but minutes should be tracking.
Are you sure you're not on IQFeed delayed data?
New subscribers to IQFeed often have to call to turn on "real time" streaming. Otherwise you're stuck with a delay. It's also possible you haven't signed the appropriate market data forms. Call to find out.
Note!
The Strategy Monitor will not work at all with a delayed feed.
Note!
The Strategy Monitor will not work at all with a delayed feed.
I’ll check. I hope not based on what I pay for futures data
It's actually easy to check using the Streaming Data Testbed - just make sure the timestamp isn't 10 or 15 minutes behind the EST time displayed in the lower right corner.
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