Yea in realtime I'm just getting the ticks from ibkr via reqTickByTick. Databento does provide live data but I have not subscribed to it.
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Apologies, it is relevant that the data is not consistent between the two providers... and that data bento has more trades. I haven't sorted out why this is aside from reading in a few places that ibkr shouldn't really be trusted to reliably provide tick data.?
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Here's an example, these are tick_type=48 from ibkr vs trade ticks from dbento.
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| dt | ticks_ibkr | ticks_ibkr_size | ticks_dbento | ticks_dbento_size |
|------------|------------|----------------|--------------|------------------|
| 2024-12-22 | 12744 | 30344 | 23458 | 30344 |
| 2024-12-23 | 136348 | 486266 | 340921 | 486486 |
| 2024-12-25 | 6701 | 16119 | 11993 | 16119 |
Note that the reported sum of volume (size columns) are the same, but the count of rows differs.?
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Couple notes:
- for the actual contract traded under continuous futures, ibkr chooses the front running contract with a fuzzy transition period by highest volume during the transition period. I have not found a way to find with certainty which contract they used exactly on which date.. so I've had to make a best guess by trade volume
- while the prices are very close, they are not identical and it appears that ibkr seems to average ticks a little bit (not completely sure here)
- Since I'm using these ticks for order execution simulation I figured that higher resolution would be better regardless of what I get in realtime from ibkr -- this may not be the same for you since you're using the ticks for predictions
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The tick data for NQ from databento was about $30 for the last 3 months, I suggest checking it out and comparing. Hope that helps.
wordd