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Live Data Feed for NT8....


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Live Data Feed for NT8....

  #1 (permalink)
 Moondialman 
UK
 
Experience: Intermediate
Platform: NinjaTrader
Trading: ES
Posts: 19 since Jun 2009
Thanks Given: 8
Thanks Received: 7

Am I right in thinking that to get a live data feed for Ninjatrader, to papertrade and test intraday strategies live (i.e. no feed delay) I have two avenues open to me:

1. Pick a data provider and pay their full fees (i.e. Professional level fees) per month.
For example - Kinetic - $60 base package, $20 Level II, $46 Emini (so $126 / month).

2. Open a brokerage account with the likes of Dorman, fork over their account funding minimum ($10k?), make some trades every month, and thereby get access to reduced (non-pro) fees from Kinetic.
I'm not sure exactly how much this would be reduced for the above example....maybe just $1 base + $20 Level II + $46 Emini ($67 / month)?

In the long past (2009) when I last looked at this, I was sure you could get a live data feed for much less than this, and it certainly didn't require me to open and fund a brokerage account.

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  #3 (permalink)
 51smoker 
Ontario, Canada
 
Experience: Intermediate
Platform: NinjaTrader
Broker: GFF, IB
Trading: ES, NQ, GC, CL
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Everything is getting more expensive nowadays.
If you need to trade, then open a brokerage account seems a better option. We cannot even open an account with Dorman in Canada.

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  #4 (permalink)
 Moondialman 
UK
 
Experience: Intermediate
Platform: NinjaTrader
Trading: ES
Posts: 19 since Jun 2009
Thanks Given: 8
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Yes, you are not wrong. I sense a brokerage account coming my way :-)

I was in Vancouver last Autumn, loved it there, didn't want to get on the plane back to London!

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  #5 (permalink)
 iantg 
charlotte nc
 
Experience: Advanced
Platform: My Own System
Broker: Optimus
Trading: Emini (ES, YM, NQ, ect.)
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Hi Moondialman,

You can get live data here https://ninjatrader.com/FreeLiveData just for signing up to express interest for 14 days. After that, you can get another 14 days also. So basically 1 month to test with live data. I would start here before paying anything as you can get this for free.

When doing your testing you should also considering running a SIM with downloaded market replay data (Not Live, but stored on your local machine) too. Compare the live data feed action against your downloaded market replay data and determine if it is worth paying x just to get the live feed for future use.

In my experience as an algo trader there are pros and cons to using the live feed vs. Market Replay

Pros: You can experience the lag that you get with a real live feed and this is something that you miss with perfectly timed execution in market replay. For me, I typically overcome this by programming in a little lag with my order submissions in market replay. For example add xxx milliseconds of time after a signal before submitting an order. This will put you into the queue sequence where you would likely end up trading live. For people just pointing and clicking, you will get better execution with market replay vs. Live and there is little you can do to compensate for this though. But I figure that unless you are scalping (inside bid / ask) type of trading, this shouldn't matter too much.

Cons: The lag you get with a live data feed can throw of the SIM engine especially with scalping strategies. For example, if you submit a long buy bid, and the market starts filling a portion of the queue and then quickly moves up in price to the next level, the NT SIM engine will have to decide if you were part of the group that was early enough in the queue to get filled. There is a bit of calculation logic that has to occur here, and from what I have observed in fast moving markets the SIM engine misses fills significantly in this exact scenario. By contrast when you place a buy bid and the price moves down against you, you instantly get filled by virtue of the fact that in order for the price to break this direction the entire queue (including your order) has to be filled. So this calculation logic is easy, and NT never misses these cases even in Live SIM.

By contrast when you run Market Replay, the SIM engine can fill your first scenario without issue. Due to this I have observed that in Live SIM trading you typically have a significantly higher toxic fill rate due to the SIM engine missing non toxic fills in faster moving markets. In market replay these get filled by a significantly higher magnitude.

So something to think about depending on what type of trading style you use, and what level of accuracy you are hoping to get out of your SIM experience.

Regarding signing up with a broker.... I use NT Brokerage via Phillip and I am paying like 10 bucks a month for live data, and I get level 1-2, with no issues. I don't think the minimum is 10K, but In my case I put in 10k.

Best of luck!

Ian


Moondialman View Post
Am I right in thinking that to get a live data feed for Ninjatrader, to papertrade and test intraday strategies live (i.e. no feed delay) I have two avenues open to me:

1. Pick a data provider and pay their full fees (i.e. Professional level fees) per month.
For example - Kinetic - $60 base package, $20 Level II, $46 Emini (so $126 / month).

2. Open a brokerage account with the likes of Dorman, fork over their account funding minimum ($10k?), make some trades every month, and thereby get access to reduced (non-pro) fees from Kinetic.
I'm not sure exactly how much this would be reduced for the above example....maybe just $1 base + $20 Level II + $46 Emini ($67 / month)?

In the long past (2009) when I last looked at this, I was sure you could get a live data feed for much less than this, and it certainly didn't require me to open and fund a brokerage account.


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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  #6 (permalink)
 Moondialman 
UK
 
Experience: Intermediate
Platform: NinjaTrader
Trading: ES
Posts: 19 since Jun 2009
Thanks Given: 8
Thanks Received: 7

Hi Ian,

That's really interesting. I saw that link for expressing an interest, and I didn't use it only because years ago I purchased a lifetime multi-broker license for my NT 6.5 code, which does still seem to load correctly with NT8 thankfully. However, I might give that link a go to see what happens.

Phillips prices seem much better than Dorman, I shall investigate. Pretty sure I ended up using Dorman all those years ago after my original testing phase, and they weren't bad then, however $10 / month including Level II seems much more like it.

That backtesting information is REALLY interesting stuff. This is quite a subtle difference that I wouldn't have spotted (I suspect) for some time, many many thanks for sharing that. It will be important as my aim was for an algo to drive my trades.

Although this is slightly off the original topic, I'd wanted to work with MATLAB and NT when doing testing. Have you trodden that path already and if so did you find MATLAB useful? I noticed from the NT notes there is interoperatbility between the two, but not as much as I might have expected.

Best wishes,

David.

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  #7 (permalink)
 Moondialman 
UK
 
Experience: Intermediate
Platform: NinjaTrader
Trading: ES
Posts: 19 since Jun 2009
Thanks Given: 8
Thanks Received: 7

Ian,

I tried an NT8 uninstall, and re-installed NT8 using the code stub they supply with the demon version. Interestingly it still sees my live license, but it doesn't complain and lets me setup a SIM account with a Live data feed. Thx so much, that's me sorted for a month :-)

Kind regards,

David.

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  #8 (permalink)
 
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iantg View Post

Regarding signing up with a broker.... I use NT Brokerage via Phillip and I am paying like 10 bucks a month for live data, and I get level 1-2, with no issues. I don't think the minimum is 10K, but In my case I put in 10k.

Best of luck!

Ian

NinjaTrader Brokerage account minimum is 1K.

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  #9 (permalink)
 jrobertburgoyne 
New York, NY, USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Broker: InteractiveBrokers, Kinetick
Trading: ES, CL
Posts: 21 since Mar 2017
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Moondialman,

I have used ThinkOrSwim (TOS) for many years but three years ago I found NT and have been using NT7 and now NT8 since then. I purchased the $1k perpetual license for NT to use with Interactive Brokers (IB).

TOS gives good market data for no fees or minimal fees, but you can't trade futures with NT and TOS (unless that has changed).

IB gives market data for minimal cost with a $10k account. IB data is not optimal but it works fine with NT.

However, IB lacks various market indicators that you might eventually want, and since I've become accustomed to those indicators from TOS, I felt like the IB data was insufficient, so I explored Kinetick.

I now pay Kinetick ~$110/month, and Kinetick has most of the indicators I wanted. My goal is to eventually write NT code that can mostly run by itself, and Kinetick + NT8 + IB seems like it can do what's needed to get me to that level. For example, during the recent high volatility days, Kinetick + NT8 worked fine, whereas TOS was sluggish on a few occasions.

Some of my friends work in an institutional environment, and they are also being squeezed for $$$ for quotes from their vendors.

Hopefully this is useful, and let me know if I wasn't clear enough or omitted something you were looking for.

--
Robert

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  #10 (permalink)
 iantg 
charlotte nc
 
Experience: Advanced
Platform: My Own System
Broker: Optimus
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David,

I don't use any 3rd party analysis tools with NT. I built my own data analysis models via SQL and I extract my own raw data from NT itself then run it through my own personal grinder. Tools like MATLAB have an appeal because they have a lot of canned functionality and have some fair statistical analysis tools that are easy to stand up without having to code too much yourself... That being said, you have to know what type of metrics, KPI's, and data points are really worth measuring and understanding in the first place. This part is really key, because a lot of traders will overspend, or over invest their time crunching the wrong kind of stats... looking for correlations in things that don't matter or running endless Monte Carlos. What exactly are you looking to measure, and do you have some specific ideas yet, or are you just getting started? I have a journal on here where I get into the statistical analysis side of Auto-trading a bit, it might give you a few ideas.



Ian




Moondialman View Post
Hi Ian,

That's really interesting. I saw that link for expressing an interest, and I didn't use it only because years ago I purchased a lifetime multi-broker license for my NT 6.5 code, which does still seem to load correctly with NT8 thankfully. However, I might give that link a go to see what happens.

Phillips prices seem much better than Dorman, I shall investigate. Pretty sure I ended up using Dorman all those years ago after my original testing phase, and they weren't bad then, however $10 / month including Level II seems much more like it.

That backtesting information is REALLY interesting stuff. This is quite a subtle difference that I wouldn't have spotted (I suspect) for some time, many many thanks for sharing that. It will be important as my aim was for an algo to drive my trades.

Although this is slightly off the original topic, I'd wanted to work with MATLAB and NT when doing testing. Have you trodden that path already and if so did you find MATLAB useful? I noticed from the NT notes there is interoperatbility between the two, but not as much as I might have expected.

Best wishes,

David.


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
Visit my NexusFi Trade Journal Reply With Quote
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