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Unfiltered Data

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  #1 (permalink)
Austin, TX
 
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I keep seeing these advertisements for unfiltered data.....

Isn't the whole point of filtering the data to ensure that a rogue/erroneous data point won't ruin your day? If you have a stop in place and a bad piece of data comes in, that exceeds your stop, most platforms treat stop orders as "market if touched or exceeded" orders.

What's the whole issue with having "unfiltered" data?

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  #3 (permalink)
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RM99 View Post
I keep seeing these advertisements for unfiltered data.....

Isn't the whole point of filtering the data to ensure that a rogue/erroneous data point won't ruin your day? If you have a stop in place and a bad piece of data comes in, that exceeds your stop, most platforms treat stop orders as "market if touched or exceeded" orders.

What's the whole issue with having "unfiltered" data?

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

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  #4 (permalink)
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Thanks Mike, so as long as I'm not scalping or involved in the weeds, then filtered data (like Tradestation) should be sufficient for my purposes?

My trading strategies aren't made or broken based on the accuracy of the next few hundred miliseconds or my order in the book at the next ask/bid.

My charts and indys are populated historically and use end of bar calc's, so I should be good right?

I'm not shopping, I was just curious and the whole data quality/filtered/unfiltered thing is new to me.

I would like to take advantage of data timestamped down to the second rather than the minute however, which would allow me to explore some multi-timeframe ventures on advanced charts.

So all that I've read about rogue/errant data points is just hype?

From what little research i did, I saw horror stories about people using unfiltered data and bad ticks coming in and screwing with their DOMs/Matrixes, etc.

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RM99 View Post
Thanks Mike, so as long as I'm not scalping or involved in the weeds, then filtered data (like Tradestation) should be sufficient for my purposes?

My trading strategies aren't made or broken based on the accuracy of the next few hundred miliseconds or my order in the book at the next ask/bid.

My charts and indys are populated historically and use end of bar calc's, so I should be good right?

I'm not shopping, I was just curious and the whole data quality/filtered/unfiltered thing is new to me.

I would like to take advantage of data timestamped down to the second rather than the minute however, which would allow me to explore some multi-timeframe ventures on advanced charts.

So all that I've read about rogue/errant data points is just hype?

From what little research i did, I saw horror stories about people using unfiltered data and bad ticks coming in and screwing with their DOMs/Matrixes, etc.

If you are using TradeStation, then you can choose any data provider you want, so long as it is TradeStation. You can also choose any broker you want, so long as it is TradeStation. TradeStation is in all-in-one solution, and as such isn't really a leader in any field, in my opinion.

Mike

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  #6 (permalink)
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Big Mike View Post
If you are using TradeStation, then you can choose any data provider you want, so long as it is TradeStation. You can also choose any broker you want, so long as it is TradeStation. TradeStation is in all-in-one solution, and as such isn't really a leader in any field, in my opinion.

Mike

I feel the pain of all that, what I'm asking is that if I'm not scalping or dependent upon hyper quick calculations and execution if it's going to make an appreciable difference for me?

I guess for everyone's benefits, which "types" of traders benefit most from having unfiltered data and which types is it really a non-issue?

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  #7 (permalink)
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RM99 View Post
I feel the pain of all that, what I'm asking is that if I'm not scalping or dependent upon hyper quick calculations and execution if it's going to make an appreciable difference for me?

I guess for everyone's benefits, which "types" of traders benefit most from having unfiltered data and which types is it really a non-issue?

Having never used TradeStation, I can't say. But my understanding there is an option in the menu somewhere to disable filtering and send you all the ticks.

Asking about scalping is the wrong question. I mean, I guess it is possible to scalp on a minute chart. The better question is tick data, or not tick data. I cannot comment on TradeStation's data feed.

As for which traders benefit, I believe I covered everything in my original reply. ?

Mike

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Big Mike View Post
Having never used TradeStation, I can't say. But my understanding there is an option in the menu somewhere to disable filtering and send you all the ticks.

Asking about scalping is the wrong question. I mean, I guess it is possible to scalp on a minute chart. The better question is tick data, or not tick data. I cannot comment on TradeStation's data feed.

As for which traders benefit, I believe I covered everything in my original reply. ?

Mike

TradeStation is ok for time based charts [Longer term]

It doesn't build volume charts correctly [but close enough for govt. work]
{edit: didn't a few years back when we tested and compared ((7.x)). I no longer use volume or tick charts, so can not speak for current build} - but TS is TS...

If one requires higher quality data, then your recommendation for IQF is correct.

Regarding option to disable filtering and send you all the ticks, I never could find a specific filter, but believe in File/Preferences / Tradestation Nework preference / Streaming Data Optimization / "none" is as close as it gets.

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  #9 (permalink)
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Mike, awesome summary, thanks,

Anything you could add about CQG? I guess the only thing I'd add that's worth taking into account with the data feeds is that with CQG you can store OCO orders on the server, which is not offered by Zenfire (nor Rithmic?).

I would imagine CQG would be comparable to Rithmic / close to IQ Feed ? Or would I be wrong ?

Cheers,



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


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  #10 (permalink)
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waverider View Post
Mike, awesome summary, thanks,

Anything you could add about CQG? I guess the only thing I'd add that's worth taking into account with the data feeds is that with CQG you can store OCO orders on the server, which is not offered by Zenfire (nor Rithmic?).

I would imagine CQG would be comparable to Rithmic / close to IQ Feed ? Or would I be wrong ?

Cheers,

Rithmic, Zen Fire, CTS, IB, and BigTick (Mirus) all offer server side OCO I believe, but it will depend on your platform as to what is supported.

I have no comment on CQG except that I would never use AMP Futures to get it.

Mike

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