November 2003

Interactive Brokers (IB) provides direct access to Stocks, Options, Futures, and Electronic Traded Funds around the world.  IB is a deep discount broker with an electronic order execution platform.   IB offers on their web site a Demo version of their platform that everyone is welcome to use.  This is fantastic because now anyone can have a delayed data feed for FREE to use with Ensign Windows.  You do not have to open an IB account.  You may want to have an IB account, however, to get the free real-time data feed.   The Demo provides a 15-minute delayed data feed for these symbols.

This article provides instructions for using your web browser to access the free delayed data feed from IB.  Use the Internet Explorer web browser to navigate to http://www.interactivebrokers.com/.  Click the Systems | Demo menu as shown in this image.

The following image is displayed in your web browser.  Click the big Login button in your browser.

The next screen that displays in your browser shows the following Login form with a pre-assigned User Name and Password.  Click the Login button.

The Trader Workstation (TWS) form will display with example quote pages already filled in.

TWS provides the ability for a 3rd party application such as Ensign Windows to connect to it and obtain a data feed.   In the TWS you must click the menu Configure | API and check the 'Enable ActiveX and Socket Clients' menu as shown here.  This will permit Ensign Windows to connect as a Socket Client.

Now, run Ensign Windows program.   If Ensign does not connect to the TWS, use menu SetUp | Connection to display this form and click the 'Connect to IB' button.

Ensign will show a message 'Go accept connection in TWS'.  Bring the TWS into view using the Start task bar and click on the Yes button to accept the connection.  Ensign Windows will then make a direct socket connection with TWS and receive the IB data feed.

In Ensign Windows, click menu SetUp | Manager and enter symbols to follow on the manager list.  This image shows several commonly followed symbols.

The symbols that are on the Ensign manager list will receive data independently of whether or not they are being followed on a TWS quote page.  The data will populate quote pages, charts, and time and sales forms in Ensign Windows, and update them tick by tick.  The data feed sends the Last, Daily High, Daily Low, Daily Volume, Tick Volume, Bid, Bid Size, Ask, Ask Size and Yesterday's Close.

A comparison of the free Demo feed with IB's real-time feed reveals that the Demo feed is a small sampling of the actual feed.  The symbol ES Z3, for example, updated 16 times in a 90-minute period on the free Demo feed, whereas the real-time feed updates dozens of times per minute.

IB does not have US pit traded futures.  The scope for US futures is limited to those that trade electronically, such as  ES Z5, NQ Z5, and YM Z5.   IB does not provide TICKI, TIKI or PREM index symbols.   IB does have TICK and TRIN symbols by exchange, example:  $TICK-NYSE and $TRIN-NYSE.

IB does not have a historical database.  Ensign Windows overcomes this limitation by purchasing data from DTN Market Access for tick, intra-day, daily, weekly and monthly data to refresh the Ensign charts.  Ensign has the above refresh data for US and Canadian stocks, futures and indices, LIFFE, IPE, EuroNext, Eurex, and daily refresh data for all foreign stock exchanges.  The refresh is integrated in the same manner for the IB users as it is in Ensign versions for competing vendor data feeds.  

Everyone is invited to download Ensign Windows for use with the Interactive Brokers feed.  There is a 1 week free trial period for Ensign Windows.  If you want to continue to use the program, click the Internet Services button and fill in the Order form to provide a credit card for Ensign to bill the monthly use fee of $39.95.  You can cancel at any time and your subscription will not be renewed the following month.

In addition to IB's discounted commissions, what makes IB attractive is the amount of real-time data that is available for free when you have an account with Interactive Brokers.   Consider the following two examples:

• US Securities & Commodities Bundle (Includes all Stock, Options and Futures exchanges) 
• US Commodities  (Includes Globex, ACE, NQLX, and OneChicago)

Real-time data from these exchanges is Free.   However, a $10.00 Market data fee will be charged when your account has less than $30.00 in commissions per month.  Even if the commission threshold is not reached in a month and the $10 Market data fee is charged, the $10 fee is still considerably less than paying exchange fees to have a real-time data feed.

One way to use the Ergodic indicator is as a qualifier for the CCI indicator.  The blue line is the Ergodic study superimposed on the Commodity Channel Index study.  Ergodic confirms the CCI extreme trades very well. We used to get a 50/50% win/loss ratio on these trades.  The last few days it is running more like 80% winners.  This method is only used for reversals when the CCI is in the extreme range.  Thought you'd like to see what some are doing with Ensign Windows.

Editor's Note:  The study parameters were not provided with the example chart.  Therefore, I used Playback for ES020816 to recreate the 3-minute chart.  I adjusted the CCI and Ergodic study parameters until I was able to recreate the example chart with enough similarities to be close.  Here are the parameters I think were used in the example.