Broker Quote Updates, Aggregation, and Feed Latency

Summary

The discussion concerns differences between futures option quotes shown in a broker's trading platform and those delivered through its Excel interface. A user reports that the displayed ES quote can diverge from the API feed and then align again after restarting Excel. The answer describes the broker feed as aggregated and sent on a schedule, rather than as a tick-by-tick real-time stream.

The response gives approximate update intervals for ES and futures options, while acknowledging that option quotes may update more slowly. Scheduled aggregation can reduce visible lag but means some individual market changes are not delivered. It also mentions spreadsheet interface settings and suggests considering another provider for real-money trading. These observations are specific to the broker and interfaces discussed; the document offers no controlled comparison of feeds, measured latency distributions, or evidence about execution quality for option spreads.

Key ideas

• The broker feed described aggregates market data and distributes updates on a schedule.
• Scheduled updates can omit individual ticks even when the displayed feed appears current.
• The answer gives approximate refresh intervals for ES and futures options, but does not report a formal measurement.
• A platform display and spreadsheet API can temporarily show different quotes.

Tags

# IB API quotes and speed


# IB API quotes and speed












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?

## Answer by brian (score 2)

https://quant.stackexchange.com/a/9214

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.

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