Howard on IB Refresh and How it is Calculated

1203 dpg Howard, when you were looking into the IB refresh, you found
that IB only gave 1 sec resolution. Is that still the case, and are you
then doing some approximation to interpolate the ticks counts for Tick
based charts?

1205 @Ensign_HA Yes, it is 1 second bar and that 1 second bar can contain
multiple ticks as indicated by open, high, low and last being different
values

1206 @Ensign_HA if O=H=L=C we assume it is 1 tick if H or L is
different we assume it is 2 or 3 ticks depending on O and C relationship,
etc

1207 dpg so max is 4 ticks / sec?

1207 @Ensign_HA so yes, we try to reconstitute the most likely number of
ticks and the order that would have been in to make the 1 sec bar

1207 dpg ok. tnx

1207 @Ensign_HA max might be 6 when all 4 prices differ. O then H then
O then C then L then back to C. If O is near H and C is near L but all 4
differ. There might be more than 4,6 per sec, but the reconstitution max
we will assume is 6 as in the above case (assumption). It is rarely seen.
In my testing 78 percent were bars with single price, so assumed single
tick. 16 percent or so were 2 price bars, so assume 2 ticks present and
then a dribble of low percentages for 3 tick, 4 tick bars. Never saw a 4
price bar which we are prepared to decode into 6 ticks

1210 dpg 78 percent during market? or 78 % in 24 hour period?

1211 @Ensign_HA During active markets after hours the 1 sec slice, 1
tickers goes to around 95+ %

1213 dpg tnx Howard. you clearly have spent some serious time on this

1215 @Ensign_HA yes