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Ninjatrader US equity feed
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Ninjatrader US equity feed

  #1 (permalink)
Elite Member
Surrey, UK
 
Futures Experience: Intermediate
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Ninjatrader US equity feed

Hi,
I'm looking to get real time US equity data into Ninjatrader. I was considering Kinetick (which partner with DTN IQ) but the problem is that they don't do L2 NYSE data which is very surprising to me.

The only other alternative I can think of is Esignal but they are damned expensive!!!

Does anyone know of any other data provider that supplies US equities?

Thanks,
iq

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  #2 (permalink)
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I was wondering if I could use Kinetick as a primary data feed for realtime and historical data but use IB as a secondary feed for L2 data. Would this work?

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  #3 (permalink)
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Omer עומר / Israel י
 
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iq200 View Post
I was wondering if I could use Kinetick as a primary data feed for realtime and historical data but use IB as a secondary feed for L2 data. Would this work?

two data sources at the same time, that does not work
while you can open them, ninjatrader will not use them both
and for sure you will not be able to merge L1 and L2 from two providers,

UNLESS you do this outside NT and then feed it into NT as a single source
but this is heavy lifting

why would you not take all from IB (L1 & L2 ) ? is there a reason ?

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  #4 (permalink)
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Futures Experience: Intermediate
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rleplae View Post
two data sources at the same time, that does not work
while you can open them, ninjatrader will not use them both
and for sure you will not be able to merge L1 and L2 from two providers,

UNLESS you do this outside NT and then feed it into NT as a single source
but this is heavy lifting

why would you not take all from IB (L1 & L2 ) ? is there a reason ?

Thanks for your reply rleplae. There are two reasons.

First, I'm migrating an EL indicator that I wrote for Tradesatation which generates support and resistance levels. This uses several years of data from the daily time frame at least a year for other lower time frames. I don't think that I would get this much data from IB from what I have read.

In addition I had heard that the data quality from IB is not good.

Therefore I was looking for a decent supplier. I thought Kinetick would have all this but the lack of complete Level 2 data has screwed my plan!

Creating an external engine to merge the data is too much hassle. I'd rather get a feed from Esignal which although rather expensive does have all the features I need.

Thanks,
iq

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  #5 (permalink)
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Omer עומר / Israel י
 
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iq200 View Post
Thanks for your reply rleplae. There are two reasons.

First, I'm migrating an EL indicator that I wrote for Tradesatation which generates support and resistance levels. This uses several years of data from the daily time frame at least a year for other lower time frames. I don't think that I would get this much data from IB from what I have read.

In addition I had heard that the data quality from IB is not good.

Therefore I was looking for a decent supplier. I thought Kinetick would have all this but the lack of complete Level 2 data has screwed my plan!

Creating an external engine to merge the data is too much hassle. I'd rather get a feed from Esignal which although rather expensive does have all the features I need.

Thanks,
iq

I'm using IQfeed and i have a developer license.
This means I can download date with NinjaTrader but also with my own modules.

I do download date from IQfeed, slice and dice it and feed it back into NT as it would come from iqfeed
NT does not see it comes from my own server, it looks binary like it comes from IQfeed

Your question does not sound complicated to the level that you will need that sophistication, as IQfeed
might give you just L1 & L2 out of the box. I'm talking about stuff IQfeed is unable to provide..

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  #6 (permalink)
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rleplae View Post
I'm using IQfeed and i have a developer license.
This means I can download date with NinjaTrader but also with my own modules.

I do download date from IQfeed, slice and dice it and feed it back into NT as it would come from iqfeed
NT does not see it comes from my own server, it looks binary like it comes from IQfeed

Your question does not sound complicated to the level that you will need that sophistication, as IQfeed
might give you just L1 & L2 out of the box. I'm talking about stuff IQfeed is unable to provide..

Hi rleplae,
Thanks for the suggestions and letting me look outside the box lol .... Sounds like interesting ideas.

In terms of logistics did you have to write a Ninjatrader adapter/dll or was it something else? Do you have any info on how to go about doing this?I'd very much appreciate if you could pass on any info/links that you can I'm a bit of a newbie on Ninjatrader & its architecture, although I do know C#.

With regards to IQFeed, I had a look at the IQFeed data field structure. I'll give them a call on Monday and discuss with them. How much is the developer license ? They don't seem to have the pricing on the site.

Regards,
iq

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  #7 (permalink)
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iq200 View Post
Thanks for your reply rleplae. There are two reasons.

First, I'm migrating an EL indicator that I wrote for Tradesatation which generates support and resistance levels. This uses several years of data from the daily time frame at least a year for other lower time frames. I don't think that I would get this much data from IB from what I have read.

In addition I had heard that the data quality from IB is not good.

Therefore I was looking for a decent supplier. I thought Kinetick would have all this but the lack of complete Level 2 data has screwed my plan!

Creating an external engine to merge the data is too much hassle. I'd rather get a feed from Esignal which although rather expensive does have all the features I need.

Thanks,
iq

If you are only looking at data from a daily time frame, then why do you need complete level 2? IB is generally fine for anything that doesn't require accurate tick level data.

Also, NT doesn't support complete Nasdaq level 2 from IB or from Esignal. At least NT7 didn't.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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  #8 (permalink)
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Neo1 View Post
If you are only looking at data from a daily time frame, then why do you need complete level 2? IB is generally fine for anything that doesn't require accurate tick level data.

Also, NT doesn't support complete Nasdaq level 2 from IB or from Esignal. At least NT7 didn't.

As I mentioned, I am using the daily (several years) and lower timeframes (around a year of 60min, 30 min, and 15 min) to generate support and resistance levels. I then then use these to trade on a 1 minute timeframe using level 2. TBH I only need enough market depth beyond the inside bid/ask to show the distribution of orders and not necessarily the 'complete' L2.

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  #9 (permalink)
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iq200 View Post
As I mentioned, I am using the daily (several years) and lower timeframes (around a year of 60min, 30 min, and 15 min) to generate support and resistance levels. I then then use these to trade on a 1 minute timeframe using level 2. TBH I only need enough market depth beyond the inside bid/ask to show the distribution of orders and not necessarily the 'complete' L2.

IB data should be sufficient. Back test your strategy on IB data vs IQ feed data and examine the correlation.

How many levels beyond the inside bid/ask do you require? NT will only show level 2 per exchange, so even the inside bid/ask could be fragmented( from memory it is)

Try it out for yourself. Configure full market depth in TWS for the likes of AAPL( or for a ticker you'll be using), and then try and replicate it in NT.

Don't waste your time with Esignal, I've been there, done that.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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  #10 (permalink)
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iq200 View Post
Hi rleplae,
Thanks for the suggestions and letting me look outside the box lol .... Sounds like interesting ideas.

In terms of logistics did you have to write a Ninjatrader adapter/dll or was it something else? Do you have any info on how to go about doing this?I'd very much appreciate if you could pass on any info/links that you can I'm a bit of a newbie on Ninjatrader & its architecture, although I do know C#.

With regards to IQFeed, I had a look at the IQFeed data field structure. I'll give them a call on Monday and discuss with them. How much is the developer license ? They don't seem to have the pricing on the site.

Regards,
iq

I didn't touch the internals of NT, from an NT perspective, it just talks to my module, as if it would be talking to an existing data provider and emulate the same protocol.

Depends what is your load of data, as you could inject little data into the ATI interface, for heavy lifting the built-in data connectors are the way to go. You can make a FIX data server or you can emulate IQfeed or Rithmic.

The IQfeed developer license is +/- 375$ per year

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