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Data Feed for Options on Futures
Started:November 10th, 2011 (02:46 PM) by ron99 Views / Replies:2,754 / 10
Last Reply:December 12th, 2011 (08:08 AM) Attachments:0

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Data Feed for Options on Futures

Old December 12th, 2011, 08:08 AM   #11 (permalink)
Membership Revoked
Futures Experience: Intermediate
Platform: Ninja, writing own now
Posts: 212 since Mar 2010
Thanks: 47 given, 101 received

dlatbm View Post
Well done!!
So what is the NxCore protocol - FIX?
If yes you should talk to SierraCharts, or simply try it, as they do handle FIX and its speed is just incredible. Not sure if SC will handle NxCore's FIX but FIX should be FIX.
is there enough volume in these options? Are they liquid as I briefly looked through IB and there was not much in open interests (outside trading hours).

No idea, but gfiven how dense they are - no Propietary.
You access them with a cll that uses shared memory to talk to a windows service doign the heavy lifting (recording ata etc.). You can have X different clietn conected to the same service.

The difference they have is that they dont deliver "data" but a "tape" which is a file per day. You can start "the real life tape" (playing back from the beginning or a named tape (path) which then plays back as fast as data is available (i.e. you process it). All incoming data iswriten to teh tape file, and all missing data, too. So, your tapes always are "current", and they backfill 2 weeks or so of tapes if you ahve a larger outage. One tape per day, even weekends (though the sunday is small, containing only very little data). Makes it easy to verify you have all data.

Tapes are not filtering - you get all data on the tape, you ahve to filter in the app or via plyback flags (do not show me level 2, for example).

I find the API very dense - not in a negative sense. The also provide a ton of reference data, for example trading times some days in advance, which you can use to feed core control (get out before market closes).

They are generically hard to get going with a retail software system because of their way to handle data. The MF tape has up to about 3 million I think (extremes) updates per minute, normally around 250.000. This just is a ton of stuff there.

Now, liquidity - another story BUt not NxCores problem.

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