Unfiltered Data - futures io
futures io futures trading



Unfiltered Data


Discussion in Brokers

Updated
      Top Posters
    1. looks_one Big Mike with 10 posts (108 thanks)
    2. looks_two MethylSeasons with 5 posts (1 thanks)
    3. looks_3 Beljevina with 4 posts (7 thanks)
    4. looks_4 RM99 with 3 posts (2 thanks)
      Best Posters
    1. looks_one Big Mike with 10.8 thanks per post
    2. looks_two NoBias with 9.0 thanks per post
    3. looks_3 Beljevina with 1.8 thanks per post
    4. looks_4 RM99 with 0.7 thanks per post
    1. trending_up 46,733 views
    2. thumb_up 129 thanks given
    3. group 35 followers
    1. forum 43 posts
    2. attach_file 4 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • 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 and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

Unfiltered Data

(login for full post details)
  #1 (permalink)
Austin, TX
 
Experience: Advanced
Platform: TradeStation
Trading: Futures
 
Posts: 882 since Mar 2011
Thanks: 124 given, 701 received

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?

"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
Reply With Quote
The following user says Thank You to RM99 for this post:

Can you help answer these questions
from other members on futures io?
DMIC 2059 program
Traders Hideout
Polygonio developers and reviews
Trading Reviews and Vendors
Market trading data-streaming or gaming in NT8?
NinjaTrader
the link between CFDs brokers and bank spot liquidity?
Currencies
Financial Modeling Prep (free to use: financialmodelingprepcom) API
Trading Reviews and Vendors
 
Best Threads (Most Thanked)
in the last 7 days on futures io
The Small Exchange (www.smallexchange.com)
103 thanks
Big Mike in Ecuador
83 thanks
NinjaTrader buys TransAct Futures (Infinity Brokers), plans its own FCM
65 thanks
How did you learn to trade?
55 thanks
Whos afraid of the big bad Glitch
51 thanks
 
(login for full post details)
  #3 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,386 since Jun 2009
Thanks: 32,059 given, 96,663 received



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

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following 93 users say Thank You to Big Mike for this post:
ab456, alanmillbrow, aloates, anarirez, Anatta, arnie, ashlantz, aventeren, bajabaja, bmfan, bmmartin, Bookworm, CapitaineNemo, chaching, chris777, danielk, djarum11, DoctorGM, eminijalapeno, empty, ERisch34, FlyingMonkey, Futures Operator, ghl123, hindsight, jdinbrisbane, jerbersoft, JeremiahBerndt, Jerome306, jfboxter, jlwade123, JohnO, JohnS, josh, jossfx, jwjw, keymoo, KingNabil, Lee77, MarT88, meganer, michaelf, minicoin, mks212, mpac, nakachalet, newbuds, Nicolas11, noobforlyfe, pipsqueak3, pjimmy, PK 1, PositiveDeviant, project belgrade, puma, rdtw, redratsal, RickAce, risingfire, RM99, Rui S, sam028, Sazon, sdnian, senrab, SidJ, siggyboss, skann, Sniff, sureway, tanto, ToMerK, torroray, traceytrades, trs3042, trypas, TurismoTek, vaibhavkamble, vbt101, Vedant, vic666, VinceVirgil, vitto, volemont, voluma, WattMan, waverider, Woodzy, xplorer, ycchai, yumcha, zcui, ztekinos
 
(login for full post details)
  #4 (permalink)
Austin, TX
 
Experience: Advanced
Platform: TradeStation
Trading: Futures
 
Posts: 882 since Mar 2011
Thanks: 124 given, 701 received

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.

"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
Reply With Quote
 
(login for full post details)
  #5 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,386 since Jun 2009
Thanks: 32,059 given, 96,663 received


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

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following 4 users say Thank You to Big Mike for this post:
 
(login for full post details)
  #6 (permalink)
Austin, TX
 
Experience: Advanced
Platform: TradeStation
Trading: Futures
 
Posts: 882 since Mar 2011
Thanks: 124 given, 701 received


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?

"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
Reply With Quote
The following user says Thank You to RM99 for this post:
 
(login for full post details)
  #7 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,386 since Jun 2009
Thanks: 32,059 given, 96,663 received


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

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
 
(login for full post details)
  #8 (permalink)
Paris, France
 
 
Posts: 16 since Feb 2011
Thanks: 1 given, 14 received


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.

SS's attached:

Attached Thumbnails
Click image for larger version

Name:	TS network preference - High.png
Views:	360
Size:	56.5 KB
ID:	87137   Click image for larger version

Name:	TS network preference - Standard.png
Views:	250
Size:	57.1 KB
ID:	87138   Click image for larger version

Name:	TS network preference - None.png
Views:	253
Size:	56.0 KB
ID:	87139  
Reply With Quote
The following 9 users say Thank You to NoBias for this post:
 
(login for full post details)
  #9 (permalink)
Brisbane Australia
 
Experience: Advanced
Platform: Ninja; Amibroker; TWS
Broker: Kinetick, IB
Trading: Stocks, Futures
 
Posts: 46 since Dec 2009
Thanks: 28 given, 6 received

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


Reply With Quote
 
(login for full post details)
  #10 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,386 since Jun 2009
Thanks: 32,059 given, 96,663 received



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

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to Big Mike for this post:
 
(login for full post details)
  #11 (permalink)
Big City, MA
 
Experience: Intermediate
Platform: AMP Ninjatrader
Trading: ES, CL, NQ, TF
 
Posts: 79 since Nov 2010
Thanks: 3 given, 16 received

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.

Reply With Quote
 
(login for full post details)
  #12 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,386 since Jun 2009
Thanks: 32,059 given, 96,663 received


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".

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #13 (permalink)
Big City, MA
 
Experience: Intermediate
Platform: AMP Ninjatrader
Trading: ES, CL, NQ, TF
 
Posts: 79 since Nov 2010
Thanks: 3 given, 16 received

Feed that is filtered, seems to me is inaccurate and can affect traders buy sell positions.

Reply With Quote
 
(login for full post details)
  #14 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,386 since Jun 2009
Thanks: 32,059 given, 96,663 received


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.

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #15 (permalink)
san francisco
 
Experience: Beginner
Platform: Interactive Brokers
Trading: stocks & options
 
Maisie's Avatar
 
Posts: 146 since Dec 2011
Thanks: 99 given, 85 received

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".

Du sublime au ridicule, il n'ya qu'un pas. ~Napoleon Bonaparte
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #16 (permalink)
Almeria / Spain
 
Experience: Intermediate
Platform: NinjaTrader
Broker: NinjaBrokerage/CQG
Trading: 6E, ES, CL, GC
 
jossfx's Avatar
 
Posts: 69 since Jun 2015
Thanks: 35 given, 49 received

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

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #17 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,386 since Jun 2009
Thanks: 32,059 given, 96,663 received


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.

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to Big Mike for this post:
 
(login for full post details)
  #18 (permalink)
Market Chamois
Chicago, IL
 
Experience: None
Platform: NT8,NT7,TWS
Broker: InteractiveBrokers, S5T, IQFeed
Trading: The one I'm creating in the present....Index Futures mini/micro, ZF
 
Blash's Avatar
 
Posts: 2,260 since Nov 2011
Thanks: 7,147 given, 4,379 received


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.

Ron

...My calamity is My providence, outwardly it is fire and vengeance, but inwardly it is light and mercy...
The steed of this Valley is pain; and if there be no pain this journey will never end.
Buy Low And Sell High (read left to right or right to left....lol)
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #19 (permalink)
Northeast US
 
Experience: Advanced
Platform: Ninjatrader
Trading: ES & 6E
 
Joules360's Avatar
 
Posts: 35 since Nov 2010
Thanks: 29 given, 18 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

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

Reply With Quote
 
(login for full post details)
  #20 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,386 since Jun 2009
Thanks: 32,059 given, 96,663 received


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

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
 
(login for full post details)
  #21 (permalink)
Northeast US
 
Experience: Advanced
Platform: Ninjatrader
Trading: ES & 6E
 
Joules360's Avatar
 
Posts: 35 since Nov 2010
Thanks: 29 given, 18 received


Big Mike View Post
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

Mike:

I guess I will have to look at the charts side by side on the Ninjatrader/ AMP/CQG feed vs the Ninjatrader/IB feed on the range bars to see how bad they look. I just assumed that IB would at least print a high or low in a range which would print.... giving a similar looking bar...since its based on a range of a low and a high of a 15 tick range in may case.

It would just be convenient and keeping my machine lean and trim if I could package IB and Ninja using Bracket Trader to handle the details of my trade. Otherwise I will have to run AMP/CQG to fill the charts on one computer and IB on another computer to do the trades with Bracket Trader.

That actually may work out better anyway.....

Thanks,
Joules360

Reply With Quote
 
(login for full post details)
  #22 (permalink)
Seattle,WA
 
Experience: Advanced
Platform: NinjaTrader , Multicharts and my own system
Trading: Futures
 
Posts: 294 since Feb 2015
Thanks: 19 given, 459 received


Big Mike View Post
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

Whats up with AMP ?

Reply With Quote
 
(login for full post details)
  #23 (permalink)
Toronto, Canada
 
Experience: None
Platform: Ninja
Trading: ES
 
MethylSeasons's Avatar
 
Posts: 56 since Apr 2014
Thanks: 162 given, 58 received

Hoping someone can help me.

I'm a client with IB and using ninja. What is the cheapest way I can get unfiltered data for ES, CL, and forex? I know kinetick is an option but they are fairly expensive for me right now considering im a new trader and am not working with much capital.

Reply With Quote
 
(login for full post details)
  #24 (permalink)
Slovakia
 
Experience: Intermediate
Platform: Ninjatrader 8
Broker: Interactive Brokers
Trading: K200M,KOSDQ150
 
Posts: 206 since Aug 2009
Thanks: 79 given, 103 received


MethylSeasons View Post
Hoping someone can help me.

I'm a client with IB and using ninja. What is the cheapest way I can get unfiltered data for ES, CL, and forex? I know kinetick is an option but they are fairly expensive for me right now considering im a new trader and am not working with much capital.

Create a Ninjatrader demo for futures and for FX and you have data for free and when the demo expire renew it.

Reply With Quote
 
(login for full post details)
  #25 (permalink)
Toronto, Canada
 
Experience: None
Platform: Ninja
Trading: ES
 
MethylSeasons's Avatar
 
Posts: 56 since Apr 2014
Thanks: 162 given, 58 received


Obelixtrader View Post
Create a Ninjatrader demo for futures and for FX and you have data for free and when the demo expire renew it.

I need to trade through NT. I use a live account through IB.

Reply With Quote
 
(login for full post details)
  #26 (permalink)
Slovakia
 
Experience: Intermediate
Platform: Ninjatrader 8
Broker: Interactive Brokers
Trading: K200M,KOSDQ150
 
Posts: 206 since Aug 2009
Thanks: 79 given, 103 received


MethylSeasons View Post
I need to trade through NT. I use a live account through IB.

If you have multibroker licence first connect to ninjatrader demo and then connect to IB live account

Reply With Quote
 
(login for full post details)
  #27 (permalink)
Toronto, Canada
 
Experience: None
Platform: Ninja
Trading: ES
 
MethylSeasons's Avatar
 
Posts: 56 since Apr 2014
Thanks: 162 given, 58 received


Obelixtrader View Post
If you have multibroker licence first connect to ninjatrader demo and then connect to IB live account

NT demo gives unfiltered tick data? Better than IB?

I'd really like to just get a data feed and do this right. Is there nothing else cheaper than kinetick that IB can use?

Reply With Quote
 
(login for full post details)
  #28 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,386 since Jun 2009
Thanks: 32,059 given, 96,663 received


MethylSeasons View Post
NT demo gives unfiltered tick data? Better than IB?

Have you read post #3 of this very thread? Check it out.

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to Big Mike for this post:
 
(login for full post details)
  #29 (permalink)
Toronto, Canada
 
Experience: None
Platform: Ninja
Trading: ES
 
MethylSeasons's Avatar
 
Posts: 56 since Apr 2014
Thanks: 162 given, 58 received


Big Mike View Post
Have you read post #3 of this very thread? Check it out.

Mike

Thanks homie

Reply With Quote
 
(login for full post details)
  #30 (permalink)
Toronto, Canada
 
Experience: None
Platform: Ninja
Trading: ES
 
MethylSeasons's Avatar
 
Posts: 56 since Apr 2014
Thanks: 162 given, 58 received


Big Mike View Post
Have you read post #3 of this very thread? Check it out.

Mike

So it appears that using either Rithmic or Zenfire with IB would be the best and cheapest option... Would you agree?

Now I just need to see if I can use either or those with IB.

Reply With Quote
The following user says Thank You to MethylSeasons for this post:
 
(login for full post details)
  #31 (permalink)
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
 
Big Mike's Avatar
 
Posts: 49,386 since Jun 2009
Thanks: 32,059 given, 96,663 received


MethylSeasons View Post
So it appears that using either Rithmic or Zenfire with IB would be the best and cheapest option... Would you agree?

Now I just need to see if I can use either or those with IB.

Zenfire is dead after NinjaTrader acquired Mirus (who owned Zen-Fire).



I don't know what "use with IB" means. But it sounds like you think you can use a data feed other than IB with TWS, and that is definitely never going to happen.

If you mean "use with IB" as in IB for execution, and data feed for data, then of course that is fine so long as you don't use TWS. You can do it with Sierra Chart for example (which I use) or with NinjaTrader for example (which many others use). Both of which are off-topic for this thread, which is supposed to be about unfiltered data.

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/
Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #32 (permalink)
Europe
 
Experience: Intermediate
Platform: IRT, Ninja
Trading: ZC
 
Posts: 8 since Jul 2011
Thanks: 22 given, 1 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 is someone able to provide any more recent info on this:
I am looking at the options offered by AMP Global. I am looking for an unfiltered feed and the options are
CQG , TTnet and Rithmic.
Latency of the feed would be less of a concern on my side. More of a concern would be all the ticks should be non aggregrated. Accurate Bid / Ask trade classification

Can anyone advise if these feeds are all unfiltered? Any views on the Bid Ask trade classification

Thank you in advance

Reply With Quote
 
(login for full post details)
  #33 (permalink)
Toronto, Canada
 
Experience: Advanced
Platform: NinjaTrader, MT4
Broker: Amp/CQG, Citibank
Trading: CL, GC, 6E, ES, TF, EURUSD, GBPJPY, AUDUSD
 
Beljevina's Avatar
 
Posts: 350 since Sep 2010
Thanks: 392 given, 574 received


eagle View Post
Hi is someone able to provide any more recent info on this:
I am looking at the options offered by AMP Global. I am looking for an unfiltered feed and the options are
CQG , TTnet and Rithmic.
Latency of the feed would be less of a concern on my side. More of a concern would be all the ticks should be non aggregrated. Accurate Bid / Ask trade classification

Can anyone advise if these feeds are all unfiltered? Any views on the Bid Ask trade classification

I use the CQG from Amp option, as provided to it's Ninjatrader users (now only available to new NT7 users that have purchased their own NT7 license.). The feed is slightly different from the full (and much more expensive) CQG datafeed: it is made up of realtime incoming data and is provided by CQG directly - it is completely unfiltered, meaning you get all trade ticks and all the bid/ask info in that is available. This allows me to have completely accurate footprint charts showing exact buyers and sellers at every price level (which I record via GOM, for the entire opening duration of the market through each and every week). I have compared my footprint charts to the other datafeeds you have mentioned, and they are almost always exactly the same.

The difference with the Amp CQG feed for NT7 users is that whenever NT7 makes a request for historical data, it comes from NT's own housed servers, from data they have recorded for that instrument. They used to have issues where their servers would go down every so often on the weekend or an overnight and then when you request historical data, it is not available to you: this problem appears to have been rectified by them and it has been quite some time where this has now not been an issue.

Follow me on Twitter Reply With Quote
The following 3 users say Thank You to Beljevina for this post:
 
(login for full post details)
  #34 (permalink)
Europe
 
Experience: Intermediate
Platform: IRT, Ninja
Trading: ZC
 
Posts: 8 since Jul 2011
Thanks: 22 given, 1 received

Thank you Beljevina for providing some more insight.

I am wanting to use it with IRT who routes CQG data through the marketdelta trader platform. Interestingly I got a reply from IRT which said I should go with Rithmic.
With IRT there is the option to backfill through I believe DTN. The only concern with Rithmic is the additional per side pricing fee which adds up over time.

When you have tested you CQG feed, have you eyeballed it ( which I tend to do) or have you dug into data on different feeds with excel or something similar. What sort of discrepancies have you noticed or picked up with regards any of this?

Thanks

Reply With Quote
 
(login for full post details)
  #35 (permalink)
Taipei Taiwan
 
Experience: Advanced
Platform: NinjaTrader
Broker: AMP Clearing
Trading: TW
 
Posts: 693 since Jun 2009
Thanks: 434 given, 464 received


Beljevina View Post
The difference with the Amp CQG feed for NT7 users is that whenever NT7 makes a request for historical data, it comes from NT's own housed servers, from data they have recorded for that instrument. They used to have issues where their servers would go down every so often on the weekend or an overnight and then when you request historical data, it is not available to you: this problem appears to have been rectified by them and it has been quite some time where this has now not been an issue.

I am still having a problem with NT7 & NT8 requests to the Ninja servers. They have been missing some data and I have been getting an error on the front month contract since the last week of December. @NinjaTrader siad there is a problem , but they do not have an ETA on a fix. It has been a week already so I don't think they are in a hurry.

Math. A gateway drug to reality.
Reply With Quote
 
(login for full post details)
  #36 (permalink)
Toronto, Canada
 
Experience: Advanced
Platform: NinjaTrader, MT4
Broker: Amp/CQG, Citibank
Trading: CL, GC, 6E, ES, TF, EURUSD, GBPJPY, AUDUSD
 
Beljevina's Avatar
 
Posts: 350 since Sep 2010
Thanks: 392 given, 574 received


eagle View Post
I am wanting to use it with IRT who routes CQG data through the marketdelta trader platform. Interestingly I got a reply from IRT which said I should go with Rithmic.
With IRT there is the option to backfill through I believe DTN. The only concern with Rithmic is the additional per side pricing fee which adds up over time.

When you have tested you CQG feed, have you eyeballed it ( which I tend to do) or have you dug into data on different feeds with excel or something similar. What sort of discrepancies have you noticed or picked up with regards any of this?

I don't know enough about MarketDelta and how it does it's cumulative delta/footprint (if you are using that feature), and hence how it builds, collects, stores that data, either real-time or historically; I mention this as a contrast to GOMi's fabulous tools for NT footprint and delta, which I completely depend on, and find essentially flawless in their operation. Hopefully you have a technical understanding of why they would recommend Rithmic; I mention that because help-desks usually have a bias and often steer their customers one way, for non-technical reasons.

My CQG/Amp usage over the past 4+ years I'd say is somewhat beyond generic eyeballing: I've compared the footprint chart's bid x ask prints in entire bars, trying to focus in on what I knew to be fast moving periods in the market, and comparing colleague's charts either on SierraChart and/or MarketDelta, and matching up those bid x ask levels. I've done this for ES, CL, ZN, 6E and others. Yes, there are rare differences, but, on say a $CL print of 720 x 674 at $34.70, if it's 5 to 10 to 20 contracts more or less, I don't see a reason to be concerned; usually I can find the discrepancy in the tick above or below, which, is indicative of an incredibly fast moving market as well as uncontrollable software where the GOMi indicator 'slotted' the up/down ticks perhaps in the opening or closing seconds into a price level above or below, or, it is in the next bar if that was the opening or closing tick. In other words, because delta is not part of the datafeed, there can be minor software impacts that will make a 5 minute footprint chart appear different on NT vs SC vs MD. My sense is that it is better than 99% similar. And, if one is different versus the other (by 1% at an incredibly fast point in the market), the question is ... so what? Will it impact one's profitability? I don't think so. My advice is that there is a far greater spectrum of impact we as a trader introduce to the mix, making potentially bad decisions completely unrelated to incredibly small variances in a footprint or delta print: note I am assuming your chart's individual bar's high, low and other non-footprint data is completely the same. Also, things like OCO-server side, and latency frankly I feel are more important. I hear you on the pricing differences, but brokers can adjust those for their clients to be more competitive (just ask them) and, with ES at $12.50 per tick, I will put in limited effort/concern towards a 20 full-turn price variance.


traderwerks View Post
I am still having a problem with NT7 & NT8 requests to the Ninja servers. They have been missing some data and I have been getting an error on the front month contract since the last week of December. @NinjaTrader siad there is a problem , but they do not have an ETA on a fix. It has been a week already so I don't think they are in a hurry.

I'm not aware of any chart gaps, but, I could be wrong and not seeing it, or, because I also run my NT7 during every waking minute of the futures markets and my charts will get built from historical data when I do restart NT7, perhaps I am not impacted. If you want to PM with details, I'd be happy to see if I'm experiencing the same issue, or, if I could help or somehow shed light on the topic.

Follow me on Twitter Reply With Quote
The following 2 users say Thank You to Beljevina for this post:
 
(login for full post details)
  #37 (permalink)
Europe
 
Experience: Intermediate
Platform: IRT, Ninja
Trading: ZC
 
Posts: 8 since Jul 2011
Thanks: 22 given, 1 received

Thank you Beljevina for the clarifications.

You've obviously spent some time with this by the looks of things , and bring through some great understanding.
You point as well on the tick size and price per trade is a valid one as well. i sometimes tend to forget its just the cost of doing business.

Thanks for the lucid explanations, Good luck with your trading

Reply With Quote
 
(login for full post details)
  #38 (permalink)
NY, NY
 
 
Posts: 12 since Apr 2015
Thanks: 6 given, 1 received

This is a helpful post. I was looking at charts/data in tradestation and then going into Interactive Brokers to place some trades and I realized that the high and low of day columns did not match. At first I thought it was due to IB considering the premarket and tradestation using the actual trading day.

I then looked at 5 min charts in both platforms and those don't match either. I find that disconcerting since many traders use 5 min bars and there is no way to know which one is accurate.

I downloaded about a year's worth of daily prices of BIIB from both brokers' software and compared them. I am surprised to see that even on daily bars there is a decent amount of difference, particularly in the opening prices. I have attached the sheet with differences. Tradestation is the first set, IB is in the second set starting in column G and the IB Value less the respective Tradestation Value is the third set starting in column M.

As an aside, I find that Tradestation and ThinkorSwim data matches for whatever that is worth.

Attached Files
Register to download File Type: xlsx Difference in Daily data From IB and Tradestation.xlsx (73.6 KB, 18 views)
Reply With Quote
The following user says Thank You to mks212 for this post:
 
(login for full post details)
  #39 (permalink)
Site Moderator
London UK
 
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
 
xplorer's Avatar
 
Posts: 5,267 since Sep 2015
Thanks: 13,191 given, 12,427 received


Beljevina View Post
I use the CQG from Amp option [...] The feed is slightly different from the full (and much more expensive) CQG datafeed: it is made up of realtime incoming data and is provided by CQG directly - it is completely unfiltered, meaning you get all trade ticks and all the bid/ask info in that is available.

What difference in price do you see?

Reply With Quote
 
(login for full post details)
  #40 (permalink)
Toronto, Canada
 
Experience: Advanced
Platform: NinjaTrader, MT4
Broker: Amp/CQG, Citibank
Trading: CL, GC, 6E, ES, TF, EURUSD, GBPJPY, AUDUSD
 
Beljevina's Avatar
 
Posts: 350 since Sep 2010
Thanks: 392 given, 574 received


xplorer View Post
What difference in price do you see?

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.

Follow me on Twitter Reply With Quote
The following user says Thank You to Beljevina for this post:
 
(login for full post details)
  #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: 1,001 given, 1,356 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

Reply With Quote
 
(login for full post details)
  #42 (permalink)
Toronto, Canada
 
Experience: Advanced
Platform: NinjaTrader, MT4
Broker: Amp/CQG, Citibank
Trading: CL, GC, 6E, ES, TF, EURUSD, GBPJPY, AUDUSD
 
Beljevina's Avatar
 
Posts: 350 since Sep 2010
Thanks: 392 given, 574 received


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.

Follow me on Twitter Reply With Quote
The following user says Thank You to Beljevina for this post:
 
(login for full post details)
  #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?

Reply With Quote
 
(login for full post details)
  #44 (permalink)
Cabo San Lucas, Mexico
 
Experience: Intermediate
Platform: NT8
Trading: Emini ES
 
Posts: 6 since Jun 2018
Thanks: 5 given, 13 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!

Reply With Quote
The following user says Thank You to Larryeh1 for this post:


futures io Trading Community Trading Reviews and Vendors Brokers > Unfiltered Data


Last Updated on May 6, 2020


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing
 

Journal Challenge!

February
 

Battlestations!

March
     



Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts