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Unfiltered Data


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Unfiltered Data

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  #11 (permalink)
Big City, MA
 
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It seems the brokers that filter data, can manipulate it as well. Anyone have an opinion about this?

I decided to try out a demo of ninja trader w/ zen-fire (mirus) and compare similar ticks to Td Ameritrade and it def. looks different.

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  #12 (permalink)
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ctmvas View Post
It seems the brokers that filter data, can manipulate it as well. Anyone have an opinion about this?

I decided to try out a demo of ninja trader w/ zen-fire (mirus) and compare similar ticks to Td Ameritrade and it def. looks different.

It's going to look different, because TDA is a filtered feed as far as I am aware, while Zen Fire is unfiltered tick data.

As for "manipulation" -- this is futures, not forex. In the futures world, it's a centralized and regulated market. Brokers filter their feed in order to cut bandwidth and resource costs of delivering unfiltered data, not in order to some how game the system and make profits from "manipulation".

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  #13 (permalink)
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Feed that is filtered, seems to me is inaccurate and can affect traders buy sell positions.

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  #14 (permalink)
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ctmvas View Post
Feed that is filtered, seems to me is inaccurate and can affect traders buy sell positions.

You need to read post #3. "Filtered" is really the right word, not "inaccurate". But luckily for everyone, you can choose your broker and your data feed, and pick the one that you like best.

For example, I do have an IB brokerage account, but I do not use their data.

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  #15 (permalink)
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well, this is interesting. i have been scratching my head, indeed tearing my hair out trying to understand tradestation time and sales "filtered from chart" and "out of sequence" conditions. i don't know why it is impossible to get a definite explanation from the trade desk. they say it "might be" part of a "spread". that doesn't explain why the prices are obviously old however - prints at the *previous day's* price levels nowhere to be found on the matrix.

perhaps it is due to this "filtering".

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  #16 (permalink)
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kinetick provides historical bid/ask backfill? and real-time?

I need unfiltered data with bid/ask backfill real-time because I trade with CD. Is kinetick a good option?
I doubt between kinetick and iqfeed.

thanks

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  #17 (permalink)
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jossfx View Post
kinetick provides historical bid/ask backfill? and real-time?

I need unfiltered data with bid/ask backfill real-time because I trade with CD. Is kinetick a good option?
I doubt between kinetick and iqfeed.

thanks

Kinetick is just a NinjaTrader branded version of IQFeed. Yes, it offers historical bid/ask. However, NT7 doesn't support historical bid/ask, so if you want historical bid/ask backfill in NT7 then no data feed is going to help you. Instead, you need GomRecorder.

If you are not using NT, then you need IQFeed (Kinetick is NT only). With Sierra Chart as an example, there is historical bid/ask backfill with IQFeed.

Elite Members receive a discount to IQFeed. Click 'Elite Members' top of any page for all the discounts.

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  #18 (permalink)
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jossfx View Post
kinetick provides historical bid/ask backfill? and real-time?

I need unfiltered data with bid/ask backfill real-time because I trade with CD. Is kinetick a good option?
I doubt between kinetick and iqfeed.

thanks

CD on spot FX is not really going to tell you what you want anyway. There is no central exchange no way to get all the volume info to you.

On futures I use a up/down tick version of CD that works well IMHO.

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  #19 (permalink)
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IB data and Range bars with Ninjatrader?


Big Mike View Post
Here is my opinion.

Filtering isn't about getting rid of bad ticks. It's about latency and completeness (accuracy).

Interactive Brokers is widely known for filtering data. It's snapshot data, meaning that they aggregate info, and send you a 'snapshot' of what it looks like every 250ms or so. This means you are not getting all the ticks, not getting all the L2 depth changes, not even getting all the volume. If you trade daily bars or even minute data, then you won't care about this. But if you are using tick based data: ie tick, range, renko, volume or other exotic bar types, then you should not be using IB for data.

On top of that, IB has big restrictions on their historical data. For this reason, my conclusion is that IB filters data simply due to lack of resources on their end, and probably because overwhelming majority of their customers are using minute based or daily based data.

IB is a combination execution + feed provider.

Next we have the Rithmic's and Zen Fire's of the world. They send every tick. They are well known in the industry as unfiltered data. They also have a reputation for being ultra low latency (fast). This is very appealing to a large amount of more 'advanced' traders that want to use tick based charting.

However, they don't have their own historical servers (some platforms provide it for their users, it varies). They also do filter some L2 depth changes. In order to be as fast as possible, and get you that tick as fast as possible, the trade off is to not send some of the L2 changes. Even most of the 'advanced' traders today are not measuring L2 changes so pretty much no one is complaining about this or cares about it.

Rithmic/Zen Fire is an execution/risk system more than it is a data feed. The focus on the feed is execution, which is also why the focus on the feed is latency. They do this extremely well. I've heard rumors for many years that Zen Fire is branching out and adding other exchanges or breadth tools soon. Maybe they will? But for now, it's really designed as execution only, although a lot of people use it for data as well and are completely happy with it, provided they also use a platform (like NinjaTrader) that gives them historical data.

Next we have the IQFeed's and Kinetick's (oem) of the world. They send every tick. They also have an extensive historical database and ticker plants. They all major exchanges. They have something like 500 breadth tickers.

IQFeed's (and Kinetick) business is data. Not execution. Since their focus is on data, they send every L2 update. They send every tick. They send everything, and they also send it in the right sequence. It is the best quality feed currently available to a retail trader, in my opinion. They do give up some latency when compared to Rithmic/Zen Fire, as there is a price to be paid for completeness.

IQFeed also provides historical bid/ask backfill. If you don't know what that is, you don't need it. Only some platforms support it, such as Sierra Chart, Investor/RT, MarketDelta. NinjaTrader 8 is supposed to support it. If you need this then IQFeed is not only an excellent choice, but pretty much the only choice.

As for TradingTechnologies TT FIX, it is an execution feed. It's focus is on execution, although many do use it for data as well.

As for which feed is right for you, only you can answer that.

Mike

Big Mike:

I trade with Range bars and I would think that even if IB data is filtered....it would still spit out the new range tick data so that it should be fairly accurate. Even if there are 10 missing ticks....one tick should still print the range value within that bar to make it accurate?

I was hoping I could use range bars with Ninjatrader and an IB feed.

Thanks.
Joules360

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  #20 (permalink)
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Joules360 View Post
Big Mike:

I trade with Range bars and I would think that even if IB data is filtered....it would still spit out the new range tick data so that it should be fairly accurate. Even if there are 10 missing ticks....one tick should still print the range value within that bar to make it accurate?

I was hoping I could use range bars with Ninjatrader and an IB feed.

Thanks.
Joules360

It's snapshot data. You are missing ticks, and also only receiving them in a "burst" fashion (every 250ms if I recall, or maybe it's every 100ms). You aren't missing just a few ticks, you are missing a bunch of them.

If you use exotic bars, like range bars or non-time based bars of any kind, you really should use a better data feed.

Mike

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