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Need Level II and Level I realtime or historical data
Hello everyone, I am new here, just joined the forum about 15 minutes ago. So far, it looks like a good place. I respect the contributions to the Haiti relief effort.
I am looking for a data feed. It could be NASDAQ, Futures, NYSE, etc, any open book market that publishes realtime volume, price, bids and asks. So I guess that's level I and level II data. I have a Ninjatrader demo account with Zenfire, but I am disappointed that I could not connect directly to Zenfire using their published API. After spending most of last weekend working on this, I stumbled upon another user's post on the Zen-Fire forums. I learned: "The demo / development account doesn't give real market data." (I can't post the link to this since I only have 0 posts, but google "Data from Market data detailed Zen-Fire Forum" to see the reference or PM me.
I am still not completely sure what that means, but I am looking for unfiltered level I and Level II data that is time stamped by the exchange (not timestamped by local system time on the receiving computer).
At this point, I am looking for something cost efficient. I want an honest real-time feed, but I don't plan to trade anything yet. I am new to trading and although I have some ideas, I want to test them out on computer before trading with real money. I could setup an account and I have a few thousand to place in an account, but I would prefer not having to pay $100+ / month for inactivity fees, maintenance, or any other excuse to take money. I understand these guys need to pay for their exchange connections and infrastructure, but what can I do to get accurate level I and level II data?
I guess what I am really looking for here is historical data, but Level I + Level II is not available yet for retail. Of course it's available, but costs over $100k...I don't need that much history, probably a month or so would really help. Reason I was working on the Zenfire API was because I was planning to start my own database.
Can you help answer these questions from other members on NexusFi?
Zen Fire is futures data only. I state this because "usually" when someone refers to Level I and Level II, they are thinking stock's.
Zen Fire's historical data is maintained by NinjaTrader servers. Zen Fire does not maintain historical data directly. You can find 5 years of historical ES data in the VIP section.
Having not used a demo account I can't speak to that, but I have a hard time believing the demo account is not real time. Wouldn't be much of a demo. Which broker did you secure the demo through? Try Mirus Futures or Amp Futures.
Zen Fire is one of the best data feeds out there for futures. I would rank eSignal as second best.
Hey Mike, thanks for the quick reply. My terminology was probably wrong. I associated level 1 with time and sales and level 2 with DOM or bid and ask data. I am interested in bid and ask because I want to analyze whether past trades were happening at the bid vs. ask and also see how trading affected the bid / ask spread. Somewhat related to market delta, but not quite. I am basically looking for a verbatim archive of the Zen-Fire feed from the past including all full book data - DOM and time and sales info. Does the historical data in the VIP section also include bid / ask? Furthermore, is there any way I can extract this market replay data into a raw text format? I ultimately want to get it into RapidMiner.
NT 6.5 does not support historical bid/ask. NT7 does. They upgraded their historical servers and engine API to allow for this.
As for obtaining historical bid/ask in a flat file, I have no recommendations. The historical tick data in the VIP section is tick-by-tick, in other words the "last", no bid/ask.
Market Replay, even in 6.5, does contain bid/ask if you've recorded it as such. The market replay data for ES and CL I've provided in the Downloads section for the last few months should be a .nt2 file, which means it contains the Level II (bid/ask) data you're looking for.
As for exporting this .nt2 data out to a flat file for other purposes, it's been tried to no success that I am aware of, and NT will not provide the format of the file.
My guess is that they probably do this for copyright reasons. It's a pity, market data *should* be freely available, at least at the end of day, just like a weather report. And from what I have heard, NT does not provide direct access to the tick data, even historical tick data, otherwise, it should not be too hard to write a .dll to dump the data to a flat file.
Oh well, I appreciate your help and will stick around / contribute on the forum.
ok, in my never ending search for another confirmation tool i have begun looking at level ii data, zenfire 10 levels. i loaded the jt realstats and dom bands. what i have not been able to do is figure out how it should influence my setups/entries.
anyone who can point me in the right direction will be put on my wall of invaluable references.
