How to format esignal forex symbols to match IB's forex quotes

[jcsteward]

I want to use IB's trading platform to execute FX orders and eSginal for my charting.
I notice that IB's quotes are proivided by fewer contributors than esignal offers.
How do i configure esignal to match IB's forex quotes?
Thanks in advance,

Kevin

[Guest]

Kevin,

It's very unlikely that you will be able to match IB's forex feed to eSignal's feed. As a matter of fact, both composite feeds are likely to have different contributing banks, forex brokers etc.

eSignal's contributors for the composite feed are available here. If you can find where IB receives forex data from, and all their contributors are included in eSignal's feed, then you can reproduce the data in a T&S window, but not on charts.

You would for instance open a T&S window, type for example EUR A0-FX in the symbol field and then set filters to display certain contributors only as shown in the picture (click Time & Sales Options on the menu bar --> Filters..).





Additionally to setting the T&S window to specific contributors, you are able to view single contributor quotes too. If you would like to view FXCM's bid/ask only, you would type EUR@FXCM A0-FX. For other contributors, replace FXCM with the specific short code.

[demarcog]

Elmar,

First a quick question for Elmar, does the esignal price bar range for GBP A0-FX, based on the GTIS consolidated feed price bars bids or both bids and offer?

Kevin,

The issue of FOREX neither having a formal "exchange" nor reporting actual trades is turning out for me to be a bigger issue then I origionally thought. Keep in mind, that a stock or future price price bar on a chart are actual trades, not bids and offers of 200 interested parties, quite a different thing altogether.


I also use IB for execution and I wanted to alert you to something I'm embarassed to say I should have realized sooner and only found out a few days ago after many months of developing systems for FOREX.

Of course it depends on the actual strategies, currency pair, etc. but I don't recommend using GBP A0-FX for strategy development.

I actually discovered by accident but one strategy in 120 days made 20K when my earlier test was 2&K and I realized I had used GBP A0-FX instead of GBP@FXCM A0-FX. Upon investigation I found out that those wide, away from the market bids that are really meaningless anyway as why would someone pay more or sell for less, actually create price bars that can vary considerably from the real market.

I've used FXCM, and although a retail broker that doesn't charge a direct commission but rather profits from the wider bid/offer spread, I know those prices are real.

Glen

[Guest]

Glen,

Generally speaking, forex bars only include bid values. If you look for instance at bar x, the real time price is always set by the bid. But the low is though set by the ask (high is set by bid). So, all forex bars are created by bids with the lowest value set by the ask.

[demarcog]

Originally posted by Elmar P
Glen,

Generally speaking, forex bars only include bid values. If you look for instance at bar x, the real time price is always set by the bid. But the low is though set by the ask (high is set by bid). So, all forex bars are created by bids with the lowest value set by the ask.

Elmar,

Thanks for the response. I do see that the price bar is based solely on the bid price. I looks to me however that the ask price as found in time and sales and in downloaded tick data is not being used at all

To clear up the confusion (mostly my own) I put together a small script using the time and sales functions that you may run to display on the chart the bid, ask, and last prices.

This was my first crack at writing data to the screen and took me longer then I expected. For some reason my intent was to see the Bid Ask and Last for each bar, not just the last bar.


When I put a "tagid" in the drawtext I get prices on each bar but the prices are only for the last bar. If I leave out the "tagid" I only get prices dispalyed on the last bar. Not sure how to get valid prices for each bar, and I gave up trying.

Anyway you can see, the Ask is ignored, and the "Last Trade" is always equal to the bid. So it looks like it all about the bid!

Thanks again.

Glen

[demarcog]

Elmar,

I realized after I uploaded the program that it wasn't updating in realtime and changed it accordingly.

[Guest]

Glen,

Your statement is indeed correct. Intraday bars consider bid prices only. The daily bar though takes the lowest ask to set the low of the day.

[demarcog]

Originally posted by Elmar P
Glen,

Your statement is indeed correct. Intraday bars consider bid prices only. The daily bar though takes the lowest ask to set the low of the day.

Elmar,

Thanks for confirming that intraday bar information and clarifying for me your earlier explanation of bid and ask price.

I misunderstood completely and missed that your were referring to daily bars.

I would have never thought and was unaware that daily bars used the lowest ask of the day for the low price. Appreciate the information.

Thanks Again,

Glen