The title says it all. I trade futures options exclusively and wanted to see if anyone had insight into the quote speedsrobustness coming into the API. I'm using the Excel DDE right now just building a matrix I find useful for entering trades but I pull the trigger on TWS. What I've found is quite often my ES quote on TWS is different than the one showing on the API. When I close Excel and reopen it the quotes match. Anyone else experiencing this? Any insight as to how IB's quote speeds compare to third party providers or is that even worth looking into since I trade option spreads?
2
-
1$\begingroup$ From what you are describing the problem lies with the fact that you use DDE which is an obsolete technology; connections often break or freeze. It should have nothing to do with the quotes you see on the front end vs. API. Solution is to utilize other technologies such as XLQ (I think they use RTD which is based on the Com interface and even that is not the newest technology but a lot more stable than DDE) $\endgroup$– Matt WolfCommented Oct 21, 2013 at 5:18
-
$\begingroup$ From my observation in recorded feed files TWS normally updates 1-3 times a second. As far as I know, API generates the same events. But using Java API, I see updates slightly earlier than they appear in TWS. Your delay may be a result of implementation or slow DDE communication. $\endgroup$– SergCommented Oct 22, 2013 at 14:44
Add a comment
|
1 Answer
$\begingroup$
$\endgroup$
ES is supposed to update every 100 msec now in TWS. I imagine the FOPs update slower than that, probably every 300 msec. IB is not a real time feed like others, they aggregate the data and send it on schedule. It's good because it doesn't lag, bad because you don't get every tick.
What Matt said is true and good but if you want to stick with Excel you could try the ActiveX spreadsheet instead of DDE. Also, I remember there's a refresh rate setting for DDE. But for real money I'd still go with something else.
