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Which data Feed is most like ThinkOrSwim's


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Which data Feed is most like ThinkOrSwim's

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  #1 (permalink)
 HealthWealthTrade 
San Diego
 
Experience: Advanced
Platform: NinjaTrader, ThinkorSwim
Trading: ES S&P 500
 
Posts: 16 since Jan 2015
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Hello all, i was wondering which data feed would most be like TD Ameritrade's ThinkOrSwim if you were to use NinjaTrader brokerage with some data feed that they offer to you...Trading the /es of course.



Summary:

Which data feed is most like ThinkOrSwim's using NinjaTrader!

trading the e mini s & p 500 futures contracts the /es



Thanks!
-HealthWealthTrade

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 bobwest 
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HealthWealthTrade View Post
Hello all, i was wondering which data feed would most be like TD Ameritrade's ThinkOrSwim if you were to use NinjaTrader brokerage with some data feed that they offer to you...Trading the /es of course.



Summary:

Which data feed is most like ThinkOrSwim's using NinjaTrader!

trading the e mini s & p 500 futures contracts the /es



Thanks!
-HealthWealthTrade

Can you explain what you mean by most like ThinkOrSwim? In what sense?

Prices for ES, or anything else, are what they are. If they are accurate, different data sources should all show the same prices because the data comes from the exchange. I am not aware of TOS data being particularly different or any better -- although their tick data, at least in the past, was filtered, meaning you didn't get all of the ticks that actually happened, which is worse, not better. Their time-based data was OK and I'm sure it is now. But not particularly exceptional.

There are sometimes some differences between data sources, actually, in terms of how well they scrub their historical data of reporting errors, for example, but TOS is not known for this, either way.

So can you clarify what about TOS data you are looking for? I'm sure someone who is familiar with NT can help if you can specify what you you are after.

Bob.

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  #3 (permalink)
 HealthWealthTrade 
San Diego
 
Experience: Advanced
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Trading: ES S&P 500
 
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I'm mostly looking for an answer on Tick based data.

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 hedgeplay 
Austin Texas / US
 
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HealthWealthTrade View Post
I'm mostly looking for an answer on Tick based data.

A few quick thoughts...

Foundational Assumptions to mull through:

- Tick Data is dirty and needs to be cleaned or our charts would have occasionally crazy big spikes, data jumps, missing ticks etc.

- In the absence of a well accepted international standard for tick data from exchanges, generally speaking, each data provider uses different rules to cleanse the raw tick data and for other reasons as well will delivery slightly different tick data. Even Second, Minute and Hour data from the same data provider may not show the exact same max highs and lows bars that have the exact same millisecond timestamp as you will see on that vendor's tick data.

- "Will the Real TimeStamp please stand up." Some vendors print different millisecond time stamps for the same transaction. Some send timestamp for different stages of the transaction. For example I saw a good paper once by Rithmic that mentioned nine or more transaction stage time stamps they track...

- Some vendors like IBKR and TDA and others sometimes summarize and filter data to remove burst data loads from pipelines they send out.. and pipelines on your poor client.

- Therefore, I recommend we look at the data we receive as being no better than 98-99.9% accurate [/B]but in that form is a good general representation of market action that has taken place. As long as our strategies are built with expectations of slightly "loose tolerances" around the data we should be fine with the data available.



==================

" Which data feed is most like ThinkOrSwim's .. tick data"

This strikes me as a low bar, easy to meet

You mention NinjaTrader. A NT8 Multivendor license will let you connect to the TD Ameritrade API for data and also IB's data but I do not recommend either as a good primary source of data.


==================


Now to more directly answer your question.

So which data feed is best for me to use with Ninjatrader?

My personal current understanding ...

If you are trading Stocks the best data feed is KINETICK https://kinetick.com/

If you are trading Futures ..
- Rithmic might be fastest and offers more Level 2 depth
- CQG Continuum through the Ninjatrader brokerage is pretty good and the "non-professionals" option is not expensive.
- KINETICK is not cheap and at least some of the data is provided through DTN LLC (who owns IQFeed) which seems to do data tick plant work in Nebraska which raises questions for me about possibly a greater level of data delay than we see from Rithmic and CQG.



A few more links you might find of value

Another related thread here at FIO





A related thread at the NinjaTrader forum https://ninjatrader.com/support/forum/forum/ninjatrader-8/platform-technical-support-aa/100269-what-data-feed-vendor-do-you-use/page2

Link to NinjaTrader data providers. Note this list includes legacy providers where you can no longer initiate relationships with for NinjaTrader https://ninjatrader.com/support/helpGuides/nt8/?data_by_provider.htm




==================



An aside to the broader community.

I am hoping someone with strong KINETICK experience can help us better understand how KINETICK currently compares to Rithmic and CQG in terms of completeness, data delay and general quality.


I was trying to simulate routing from my Chicago VPS to IQFeed TDA IPs and mentioned "Denver IPs" that actually showed stronger registration details as being in Nebraska (so in Denver or really were in Nebraska data center with private 'direct connection" to Denver.

Trace routes for the IQFeed and KINETICK Nebraska (possibly Denver IPs) showed routing from downtown Chicago VPS going from Chicago to Dulles or Chantilly areas in Virginia then to Seattle and then to Nebraska... which would make a 6000 mile round trip before Chicago exchange tick data is delivered to my Chicago VPS.

I would love here feedback from anyone who has done relatively recent comparison of these vendors or can help me better understand the true routing for KINETICK for futures and stocks.

I am hoping to learn KINETICK Futures exchange data does not leave the broader Chicago area (Ohio is ok, etc). and KINETICK's New Your NYSE and NASDAQ tick data does not route through a wide round trip to Nebraska before being sent back to a just a few miles away from the exchanges generating the data.



HedgePlay

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  #5 (permalink)
 HealthWealthTrade 
San Diego
 
Experience: Advanced
Platform: NinjaTrader, ThinkorSwim
Trading: ES S&P 500
 
Posts: 16 since Jan 2015
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TBH I've tried Kinetick for myself and found that the peaks in the data were missing. Making it way harder to make money for me as a lot of my money was made off those peaks.

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