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Unfiltered Data

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  #41 (permalink)
Charlotte NC
 
Experience: Beginner
Platform: NinjaTrader
Broker: Ninja Trader Broker CQG
Trading: ES YM CL TF NQ
 
Posts: 404 since Jul 2011
Thanks: 997 given, 1,355 received


Beljevina View Post
I am not exactly sure how to determine the precise price for an equivalent CQG set of instrument and data feeds; their page at Products | CQG, Inc. doesn't seem to specifically offer pricing solely for the datafeed, but may bundle it with their other products. In general terms and without doing specific research for you, the cost for datafeeds can be as little as $60/month (Kinetick?, but may not include markets like the Russell, Brent, FDAX, etc) and from past memory, Rithmic, which is likely upwards of $90). Bear in mind too, that a datafeed is one thing, but, entering and exiting trades is determine by whatever broker you choose, and thus their infrastructure to successfully route your trade to your instrument's exchange.

My point simply in my posts(s) was that there are many bundled solutions from brokers or other sources, that will provide for an incredibly high quality datafeed at minimal cost. And, my advice is to pick a reputable unfiltered data source, and not spend silly amounts of time exploring that avenue, when, it is the quality and success of each of our abilities to successfully trade in to and out of positions, that are the real cornerstone of making it or breaking it as a trader.

I am using Ninja with CQG and I trade with a 6500 volume chart, during the day I will reload the historial data maybe 5 times to make sure I am getting all the correct info. I copy my chart and look the next day at the trades and always the chart candles change. So if I get Kinetick can do I need 2 ninja lic to run one with CQG to trade and one to see Kinetick feed to see the correct data? If I get kinetick when I download the historical data with the chart look the same tomorrow as it will live?
Thanks
Happy Rick

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  #42 (permalink)
Toronto, Canada
 
Experience: Advanced
Platform: NinjaTrader, MT4
Broker: Amp/CQG, Citibank
Trading: CL, GC, 6E, ES, TF, EURUSD, GBPJPY, AUDUSD
 
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Happy Rick View Post
I am using Ninja with CQG and I trade with a 6500 volume chart, during the day I will reload the historial data maybe 5 times to make sure I am getting all the correct info. I copy my chart and look the next day at the trades and always the chart candles change. So if I get Kinetick can do I need 2 ninja lic to run one with CQG to trade and one to see Kinetick feed to see the correct data? If I get kinetick when I download the historical data with the chart look the same tomorrow as it will live?
Thanks
Happy Rick

Your tick chart is (slightly) changing every time for different reasons; there is nothing wrong with the data. Rather, when dealing with tick and volume bars, each bar is made up of a fixed number of ticks or trades but they are different trades because the chart is started based on what is defined under "Data Series" to load for example 7 days worth of data; if you are loading lets say a 500 tick chart, (I believe) Ninja calculates backwards from now, going back exactly 7 days, and starts plotting that first bar with whatever the price was exactly 7 days ago. But, each time you reload or bring up even the same instrument on the same value tick chart, because time has advanced, you are prone to get a different starting tick (thus a different traded price) for each and every bar on your tick bar chart, and hence the high/low/open/close will be at different points, and bars will have different wicks on both the top and bottom of the bar.

Unless you are having disconnects from your datafeed, I don't see a need to reload historical data, ie 5 times per day. The fact that you are seeing different bars, just represents different trades, from varying bar start times, being stuffed into each bar, and the actual trades going into each bar, are prone to change. Hope that makes sense.

More on that here as well as here.

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  #43 (permalink)
Tri State Area
 
Experience: Beginner
Platform: TOS, NT7
Trading: es cl
 
Posts: 29 since Mar 2018
Thanks: 9 given, 4 received


This post is a bit old and was just wondering what is the fastest data provider for NTB. I don't see an option on their site for Zen/Rithmic right now so what would be the next best choice?

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  #44 (permalink)
Cabo San Lucas, Mexico
 
Experience: Intermediate
Platform: NT8
Trading: Emini ES
 
Posts: 5 since Jun 2018
Thanks: 5 given, 6 received


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

Hi Bike Mike,

Your excellent data about data feeds for tick charts was exactly what I was looking for. Since this was originally written in 2009 do you know if this data is still accurate? Any updates you know of would be appreciated.

Thank you!

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