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Bookmap xRay
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Bookmap xRay

  #111 (permalink)
Elite Member
london
 
Futures Experience: Advanced
Platform: multicharts,ninja,Bookmap
Broker/Data: IB IQ,OEC
Favorite Futures: fdax fgbl
 
Posts: 57 since Jan 2011
Thanks: 8 given, 20 received

Hi Bruce

The example given is for OEC data not CQG.

I am currently comparing them.

I am seeing frequent incidents of trade and Bid/Offer timing mismatch with OEC.

I assume you mean that some vendors expicitly state whether the trade occurred at bid or offer within the feed, if so which data providers give this.

In the example all trades occurred on the bid so I would have read the seller as the aggressor for the trades shown and hence expected red dots. The buyer will have had his order resting in the queue waiting to be filled.

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  #112 (permalink)
Elite Member
London
 
Futures Experience: Advanced
Platform: NT, CQG, TT, S5, Rithmic
Favorite Futures: All
 
Posts: 77 since Jan 2017
Thanks: 5 given, 54 received

@johnl,

Correct, some vendors provide aggressor's side exactly as it's provided by exchanges (1), some don't (2), and some provide it in an indirect way (3). I can't describe here each one of the vendors, but with OEC it's case #3: the trade event message includes trade price, size, but not trade aggressor flag as provided by exchange. However, the same trade message contains the BBO at the time of the trade, and this is how Bookmap determines the aggressor side. Please note that in cases #1, and #3 Bookmap relies on the provided information, and doesn't attempt to determine the aggressor side based on quotes stream because the quotes data stream may be out of sync with trades stream.

Again, you can send us a feed file with an example of wrong aggressor side, and we will investigate to make sure that it's not a bug in Bookmap.

Regards,
Sergey

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  #113 (permalink)
Elite Member
london
 
Futures Experience: Advanced
Platform: multicharts,ninja,Bookmap
Broker/Data: IB IQ,OEC
Favorite Futures: fdax fgbl
 
Posts: 57 since Jan 2011
Thanks: 8 given, 20 received


Sergey

Thanks for that information. It helps in understanding why the anomalies might occur.

Rithmic and OEC both seem to have some issues.

From my testing so far CQG appears to be more consistent.

I will send an ES OEC example today.



Bookmap View Post
@johnl,

Correct, some vendors provide aggressor's side exactly as it's provided by exchanges (1), some don't (2), and some provide it in an indirect way (3). I can't describe here each one of the vendors, but with OEC it's case #3: the trade event message includes trade price, size, but not trade aggressor flag as provided by exchange. However, the same trade message contains the BBO at the time of the trade, and this is how Bookmap determines the aggressor side. Please note that in cases #1, and #3 Bookmap relies on the provided information, and doesn't attempt to determine the aggressor side based on quotes stream because the quotes data stream may be out of sync with trades stream.

Again, you can send us a feed file with an example of wrong aggressor side, and we will investigate to make sure that it's not a bug in Bookmap.

Regards,
Sergey


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  #114 (permalink)
Elite Member
Canada
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: CL
 
Posts: 5 since Apr 2015
Thanks: 58 given, 4 received

Great job on the V6 enhancements.
Is it possible to have the option to remove the "time" column on the T&S
It takes quite a bit of space and can't be shrunken down.
Just want to maximise space.
Thank you

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  #115 (permalink)
Elite Member
London
 
Futures Experience: Advanced
Platform: NT, CQG, TT, S5, Rithmic
Favorite Futures: All
 
Posts: 77 since Jan 2017
Thanks: 5 given, 54 received


Jesal View Post
Great job on the V6 enhancements.
Is it possible to have the option to remove the "time" column on the T&S
It takes quite a bit of space and can't be shrunken down.
Just want to maximise space.
Thank you

Hi Jesal,

Thanks for the kind words! It's not possible to remove the Time column. However, you can click on the link icon in the upper left of the Time&Sales window and pop it out into a separate window.

regards,

Bruce
Bookmap Support

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  #116 (permalink)
Elite Member
London
 
Futures Experience: Advanced
Platform: NT, CQG, TT, S5, Rithmic
Favorite Futures: All
 
Posts: 77 since Jan 2017
Thanks: 5 given, 54 received


Bookmap View Post
Hi Jesal,

Thanks for the kind words! It's not possible to remove the Time column. However, you can click on the link icon in the upper left of the Time&Sales window and pop it out into a separate window.

regards,

Bruce
Bookmap Support

@Jesal,
In addition to that, we plan to allow custom formatting of timestamp, for example to display only minutes and seconds. This will also free more space.

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  #117 (permalink)
Elite Member
Christchurch, New Zealand
 
Futures Experience: Beginner
Platform: SC
Broker/Data: IB, BC, Dx Feed
Favorite Futures: US Equities
 
Neo1's Avatar
 
Posts: 415 since Jul 2014
Thanks: 467 given, 461 received


Bookmap View Post
@Neo1, the data source is called dxFeed, by devexperts. It's non-aggregated full depth raw streaming data, order-by-order. Bookmap performs the consolidation of the data from different exchanges. The cost of the data subscription will be less or about the cost of other data sources that provide top of book only.

Hows' the progress with the equities package?

"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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  #118 (permalink)
Elite Member
London
 
Futures Experience: Advanced
Platform: NT, CQG, TT, S5, Rithmic
Favorite Futures: All
 
Posts: 77 since Jan 2017
Thanks: 5 given, 54 received


Neo1 View Post
Hows' the progress with the equities package?

Hi Neo1,

Bookmap with the equities package will be released later in May 2017. Keep an eye out for it!

regards,

Bruce
Bookmap Support

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The following 2 users say Thank You to Bookmap for this post:
 
  #119 (permalink)
Elite Member
london
 
Futures Experience: Advanced
Platform: multicharts,ninja,Bookmap
Broker/Data: IB IQ,OEC
Favorite Futures: fdax fgbl
 
Posts: 57 since Jan 2011
Thanks: 8 given, 20 received

Rather than have to drag and use use the +- keys to isolate a particular are it would be very helpful if it were to be possible to select an area to isolate.

For instance to examine just the activity within a defined move such as the the highlighted area below

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

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  #120 (permalink)
Elite Member
London
 
Futures Experience: Advanced
Platform: NT, CQG, TT, S5, Rithmic
Favorite Futures: All
 
Posts: 77 since Jan 2017
Thanks: 5 given, 54 received



johnl View Post
Rather than have to drag and use use the +- keys to isolate a particular are it would be very helpful if it were to be possible to select an area to isolate.

For instance to examine just the activity within a defined move such as the the highlighted area below

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

johnl,

Added to our list, we'll review this as part of the UX improvements that are planed in the near future

Thanks for the suggestion

Zack

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