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Using IQ feed to enter vs brokers feed to enter auto FX trades
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Using IQ feed to enter vs brokers feed to enter auto FX trades

  #1 (permalink)
Elite Member
Cairns Australia
 
Futures Experience: Beginner
Platform: MC,NT7
Broker/Data: Dukascopy
Favorite Futures: FX
 
Posts: 51 since Dec 2009
Thanks: 96 given, 9 received

Using IQ feed to enter vs brokers feed to enter auto FX trades

I'm wondering what the experience/consensus is regarding using the IQ historical data to develope strategies then using the live IQ feed to determine when to enter/place stops vs doing the development on IQ then entering/placing stops using the broker's (Dukas) feed. I have no way of looking at the Dukas historical data to compare with IQ. The Dukas user agreement states that the price feed is determined by a unique formula, so I know its going to be different. The strategy time frames are between 10m and 3hrs.
Thanks

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  #2 (permalink)
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Futures Experience: Intermediate
 
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Stem1 View Post
I'm wondering what the experience/consensus is regarding using the IQ historical data to develope strategies then using the live IQ feed to determine when to enter/place stops vs doing the development on IQ then entering/placing stops using the broker's (Dukas) feed. I have no way of looking at the Dukas historical data to compare with IQ. The Dukas user agreement states that the price feed is determined by a unique formula, so I know its going to be different. The strategy time frames are between 10m and 3hrs.
Thanks

I have not tried what you mentioned, my feed for backtesting is the same as execution, and for FX I use IBKR and Oanda; but...

IQFeed provides three sources: TenFore, Barclays and FXCM; keep in mind that FX is a worldwide decentralized OTC market for trading currencies, they wont match exactly but be close in terms of price from what I have experienced; but that also means there might be spikes in one feed that wont exist on others. Tick Count will also be different on each feed, since it is for whichever institution is handling the transactions, not the whole market.

See if Dukas can export their data at all, I have not used that platform, so no idea. Good luck with your testing.

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  #3 (permalink)
Elite Member
Dartmouth NS
 
Futures Experience: Intermediate
Platform: MC, MC.Net, NT, TWS
Broker/Data: IB / IQFeed / Kids
Favorite Futures: Forex, stocks
 
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I'll soon be facing a similar issue, although I plan to continue to use NT7 for development and autotrading. I don't know much about the platforms/solutions/features IQ provides except that the data feed is reported to be compatible with NT and to provide reliable tick data.

The issue for me is that my broker's data feed (IB) is proving inadequate for short time frame (1 minute) Forex trading, although for the time being it appears adequate for trade execution.

I don't think Dukas is supported by NT (please correct me) but since you list NT as your platform and for the record, for NT the procedure is described in the NT7 support help guides section (search "Multiple Connections"), briefly as follows:
- add an IQ data feed account in addition to the the broker account;
- optionally identify the broker account as the backup data feed when creating the IQ account; and when the time comes,
- connect to the data account before connecting to the broker
- direct orders to your broker account, as usual.

According to the help guide article (and NT support):

- an NT single broker account will allow you to connect to both a data feed and a broker account simultaneously (NT apparently identifies IQ as data only and hence not as an additional broker)
- as long as the IQ account is connected first NT will attempt to retrieve all data from the IQ feed
- if the broker account is named as the backup data feed in the IQ account, in the event of a failed request for data from IQ NT will fall back to the broker's data feed.

As an aside, it's been my experience NT's strategy backtesting / optimization does not appear to support intrabar ("Calculate on bar close = false") order execution without serious multi-time-frame programming, even though intrabar appears to work for live trading. The bottom line is that even with an adequate data feed, if you backtest / optimize strategies on NT that generate intrabar orders, live trading results may differ.


Last edited by bnichols; February 18th, 2011 at 01:09 AM.
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  #4 (permalink)
Elite Member
Dartmouth NS
 
Futures Experience: Intermediate
Platform: MC, MC.Net, NT, TWS
Broker/Data: IB / IQFeed / Kids
Favorite Futures: Forex, stocks
 
bnichols's Avatar
 
Posts: 638 since Feb 2010
Thanks: 64 given, 459 received


Stem1 View Post
I'm wondering what the experience/consensus is regarding using the IQ historical data to develope strategies then using the live IQ feed to determine when to enter/place stops vs doing the development on IQ then entering/placing stops using the broker's (Dukas) feed. I have no way of looking at the Dukas historical data to compare with IQ. The Dukas user agreement states that the price feed is determined by a unique formula, so I know its going to be different. The strategy time frames are between 10m and 3hrs.
Thanks

I bought the IQFeed 10 day free trial and (as I told the salesman when I cancelled) would use it for ultra short time frame trading or as a redundant feed--Interactive Brokers is good enough for me.

The bottom line is my trading style couldn't afford the advantage of a quality feed--I don't know how to profit from it yet.

In other words, it's like a beemer. If you want the best go with IQFeed, but you probably don't need it.

Plus NT's default IQFeed FXCM connection for IQFeed excluded Tenfore and Barclays. I didn't have time to explore the alternatives but the FXCM spot spread was 2x IB's.

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