I was running my strategy this morning and see differences between the bar OHLC between RE and IB. Attached are:
a. a screenshot from IB showing the 9:35am (Eastern) 5-minute bar for NFLX. The High is 447.49 and the Low is 444.16
b. a screenshot of the RE DB showing that the High for the period from 9:35-9:40 was 447.48 and the Low was 444.20.
The High is different by 1 cent between RE and IB, while the Low is different by 4 cents. It may be worth noting that during the bar in question, I saw a message at the bottom of the RE screen stating that ticks were coming in too fast to be processed and that some ticks would be skipped.
The differences in prices caused my strategy to not take a trade that is otherwise would have (had the IB data been fully captured within RE). Can this problem be remedied? If so, how?