Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
What exactly do you mean by order flow? Does this include bid/ask data (i.e. working orders), or just filled orders? If you mean filled orders, you could download historical trades from CME's website and compare them. Not sure about ICE futures.
Lately I've been looking at NG futures on supply report release. So far thinkorswim, Interactive Brokers, and CQG all left trades out from their real time feed. I'm hoping the Rithmic data is better at capturing every single tick during those fast markets. I'm not sure I will trade during a release, but at least I would like an accurate picture of what happened during the release. Last week my stop had 62 ticks of slippage on one NG contract and I was trying to figure out how I possibly could have got filled at a price that was not showing on my broker's (IB) own chart platform.
The method I've been using to check accuracy is to video record my charts in real time during a release, then later on (minutes or hours) I reload the data on the chart and compare it to my recording. I also pull up the time and sales and check against the chart.
That's interesting. Haven't thought of that before. Wouldn't D trades be invisible to all except your broker? Not sure I would want them filtered out, but I guess it makes sense if nobody else can see it. My problem with IB was charts not showing trades that actually happened on the exchange, until I reloaded the charts later. Kind of the opposite of the D trade problem.
