IBKR real-time bar data not exactly match TWS bars

Perhaps this answers my question: 

To accomplish this, it effectively sends a price snapshot for each
instrument at regular intervals. This interval seems to be about 300
milliseconds. For each of bid, ask, and last it compares the current price
and size with the values at the last snapshot. If the price is different it
sends both price and size. If the price is the same, but the size is
different it sends only the size. If both price and size are the same, it
doesn't send either. If there have been any trades since the last snapshot,
it sends the (accumulated) volume (so where the price and size haven't
changed but there have been one or more trades, this can be detected from
the increased volume).

…

There is an irritating side effect of this technique, which is that price
movements between shapshots may not be reported at all: for example if the
last price at snapshot 1 is 100, and then price moves up to 102 and then
back to 101 by snapshot 2, the price reported at snapshot 2 will be 101, and
the 102 price will not be reported at all. This leads to occasional
incorrect highs and lows of bars, but rarely by more than one tick: whether
that is significant depends very much on the trading strategy used.
 

Not sure if you want to confirm this…

Hi Yuri,

I'd say you should also have a look at this:

Fred

I'd also be very interested in this, I can't be the only intraday trader on 1 min and 2 min charts that notices the IBKR data feed isn't logging candles like TWS. Fred Painchaud , we have all seen the data discrepancies cross-platform. This would refer to the same broker having different prices between its QC(IBKR) data feed and its own charting platform. 

Hi Alexander,

Yeah. So while this is not 100% sure, my point is why wouldn't the QC feed be different than the IBKR feed, even inside IBKR? I see two platforms there.

Fred

That's in essence my question in reverse… why would the IBKR API data that is sent to us be different from the data IB uses for its charts on TWS? 

Because of 

Hi Alex,

More seriously - if you use the QC feed in your algo while connected to an IBKR account, then, you use the QC feed. It can thus be different than the IBKR data feed. If you use the IBKR data feed from your algo, then, it should be == to the IBKR data feed, yes.

Fred

Hi,

If there are “data issues” with solely the IBKR data feed I would suggest you message their support, otherwise I would say these are just data discrepancies as Fred pointed out,

Thanks!

Perhaps I wasn't specific enough, but I am using IBKR data. 

If I was using QC data, difference would be more than 1-2 ticks. Also, this should have given you more context:

“are ticks marked as suspicious if IBKR data is used?”

Thank you for your efforts, but it seems the link I provided above explains the problem quite well. 

I can't accept my own answer though…

Hi Yuri,

Then, I have no idea. I assumed the question was somehow related to QC/LEAN. But it seems it is 100% related to IBKR and how THEY handle THEIR data.

It looks like it would be a question for IBKR.

Maybe someone else on this forum will know why IBKR real-time is ≠ than IBKR TWS. And if they use the suspicious flag or not.

Fred

Fred Painchaud 

a) It related to HOW QC/LEAN retrieves IBKR data from IBKR API, which is not covered in documentation.

b) It is related to how QC live instances with IBKR data (which are rented by me and other QC users from QC) trade, so this is QC's area of responsibility. If I was using IBKR API directly, I would be talking to their support.

So I believe it is somehow related to QC/LEAN. if you cannot provide helpful feedback, please leave it for someone else.

Hi Yuri,

Does

“Another point worth making is that the snapshots are taken at different times for different TWS sessions. This is sensible from IB's point of view because it means they don't have to send updates to all their thousands of users at once. But it has the interesting side effect that if you run two copies of TWS (eg different logins to the same account) you'll get slightly different data from them, because the snapshotting is not being done simultaneously.”

explain it?

Replace “different TWS sessions” with “one API connection and one TWS session".

Fred

Hi Yuri.  Yes, I just noticed similar discrepancies.  Here are five recent closes for QQQ.  I would think that closes would be a global standard value but apparently not.  I'm guessing that inside of IBroker they are using one data provider for the charts and one for the API.  Usually the differences are small, but not always.  Half a percent difference could be serious in an algorithmic system.