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software with milliseconds and L2 in data format
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software with milliseconds and L2 in data format

  #1 (permalink)
Trading Apprentice
New York, NY/USA
 
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software with milliseconds and L2 in data format

I would like to be able to answer questions with simulation/backtesting like if my latency from tick to trade is 30ms vs 10ms or 1ms what will my results be.

(1) Ninjatrader does not have milliseconds in the format. They are working on this. While they have parameter for millisecond delay I believe that only applies to live paper trading - and even if it did not ninjatrader would have to guess the millisecond of the replayed data at this point (eg if there are 100 L2 ticks within a second assume each was 10ms)

(2) AMIBROKER 5.5 now has milliseconds available in the data format. They don't support L2 data it appears

(3) Tradelink (open source) does not support milliseconds

(4) Multicharts 8 beta. They have milliseconds but:
"New keywords allow to level 2 data (DOM data) from PowerLanguage. Now your strategies can reference Depth of Market values for calculations in real-time (not applicable for backtesting as L2 data is not stored in the database)."

(5) Openquant apparently has L2. Not sure about ms

I should probably ask about microseconds since being inside Aurora is not as expensive as I assumed but I read that rithmic has milliseconds not microseconds. The only data I have heard that offers microseconds is I think openbookultra from the nyse

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  #3 (permalink)
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bidask201 View Post
I would like to be able to answer questions with simulation/backtesting like if my latency from tick to trade is 30ms vs 10ms or 1ms what will my results be.

(1) Ninjatrader does not have milliseconds in the format. They are working on this. While they have parameter for millisecond delay I believe that only applies to live paper trading - and even if it did not ninjatrader would have to guess the millisecond of the replayed data at this point (eg if there are 100 L2 ticks within a second assume each was 10ms)

(2) AMIBROKER 5.5 now has milliseconds available in the data format. They don't support L2 data it appears

(3) Tradelink (open source) does not support milliseconds

(4) Multicharts 8 beta. They have milliseconds but:
"New keywords allow to level 2 data (DOM data) from PowerLanguage. Now your strategies can reference Depth of Market values for calculations in real-time (not applicable for backtesting as L2 data is not stored in the database)."

(5) Openquant apparently has L2. Not sure about ms

I should probably ask about microseconds since being inside Aurora is not as expensive as I assumed but I read that rithmic has milliseconds not microseconds. The only data I have heard that offers microseconds is I think openbookultra from the nyse


Milliseconds are important for correctly synchronizing different data series. Without proper synchronisation you cannot correctly calculate spreads and it is impossible to model intermarket relationships.

I agree that this is one of the weaknesses of NinjaTrader, as multi-timeframe series will not be displayed correctly on historical data, as the required information, that is time stamps in milliseconds is not available.

For backtesting a single series it is less important.

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