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Bookmap xRay

  #71 (permalink)
 NGtrader 
Burnaby, BC Canada
 
Experience: Advanced
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Bookmap View Post
@amoeba, we plan to provide for Bookmap users an ability to develop adapters for their own real-time data sources and trading services. I can't give the exact timing now, but probably it will be ready during next 3 months.
Also, Bookmap's connectivity to US equities with full depth market data will be available during next 2 months.

Hey that's great to hear. I've been a subscriber to Kinetic Level 2 data for Nasdaq and NYSE and it doesn't look so great on BM at the moment. Individual stocks don't look great and on the SPY it's very shallow.

Looking forward to the improvements!

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  #72 (permalink)
 
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 Bookmap  Bookmap is an official Site Sponsor
 
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NGtrader View Post
Hey that's great to hear. I've been a subscriber to Kinetic Level 2 data for Nasdaq and NYSE and it doesn't look so great on BM at the moment. Individual stocks don't look great and on the SPY it's very shallow.

Looking forward to the improvements!

@NGtrader, indeed, this is not how full depth look in those instruments. It's a problem with market data, and also Bookmap for NinjaTrader is not intended to handle equities data from multiple exchanges. Also, note that Level 2 sometimes means just BBO, but from different exchanges. At least with SPY this is the case. I'll send soon screenshots with real full depth data.

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  #73 (permalink)
 
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@NGtrader, here are several screenshots. It's a development environment, therefore the data is delayed by 15 min. Please note that some of those images were created using special Bookmap filters which are also available for futures:
- Vertical smoothing of the heatmap. This is useful when number of price levels (price range) is so large that it exceeds or about the vertical resolution of the monitor. For example, when displaying 1000 price levels. It doesn't create a lag.
- Removing small sizes from the heatmap by using black cut-off. This was used to demonstrate those "diagonal" patterns in GOOG.

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  #74 (permalink)
 
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 Neo1 
Christchurch, New Zealand
 
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NGtrader View Post
Hey that's great to hear. I've been a subscriber to Kinetic Level 2 data for Nasdaq and NYSE and it doesn't look so great on BM at the moment. Individual stocks don't look great and on the SPY it's very shallow.

Looking forward to the improvements!

Kinetic level 2 data for NASDAQ and NYSE is no good. It's only top of book data from each MM. You need the consolidated top of book, like what IB offer.

"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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  #75 (permalink)
 
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 Neo1 
Christchurch, New Zealand
 
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Bookmap View Post
@NGtrader, here are several screenshots. It's a development environment, therefore the data is delayed by 15 min. Please note that some of those images were created using special Bookmap filters which are also available for futures:
- Vertical smoothing of the heatmap. This is useful when number of price levels (price range) is so large that it exceeds or about the vertical resolution of the monitor. For example, when displaying 1000 price levels. It doesn't create a lag.
- Removing small sizes from the heatmap by using black cut-off. This was used to demonstrate those "diagonal" patterns in GOOG.


What is the data source?

This should function with IB via TWS, and needs to pull data from each exchange. It needs to replicate the DOM in TWS.

"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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  #76 (permalink)
 NGtrader 
Burnaby, BC Canada
 
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Neo1 View Post
Kinetic level 2 data for NASDAQ and NYSE is no good. It's only top of book data from each MM. You need the consolidated top of book, like what IB offer.

Not sure about IB, I know the data they provide is not real tick data, so not good for things like Jigsaw DOM. A friend of mine has IB account but she uses another data provider for her Jigsaw.

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  #77 (permalink)
 
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 Neo1 
Christchurch, New Zealand
 
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NGtrader View Post
Not sure about IB, I know the data they provide is not real tick data, so not good for things like Jigsaw DOM. A friend of mine has IB account but she uses another data provider for her Jigsaw.

I'm talking about the order book, not the reported trades.

IB is the only provider currently supported by Bookmap that offers level 2 data worth looking at, they report the consolidated book from each exchange/ ECN( NASDAQ TotalView, NYSE OpenBook + data from some other exchanges eg BATs, BEX etc)

Kinneck/ IQ feed level 2 is not real level 2( I think they call it Nasdaq open view, it's basically level 2 for kids) This is the top of book quote from each Exchange/ ECN- it also doesn't include any data from the NYSE openbook, where some Nasdaq volume will trade on. This means the majority of the depth will often be missing.

Eg using Kinneck/ IQ feed : At the top of book on the bid at 99.98, there could be 5000 units based on the top quote from each exchange . However there could be 10000s underneath in the queue at 99.98, however, you would never know because you're only seeing the bids from the top of the book. IB will show the 5000 + the 10000s.

"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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  #78 (permalink)
 
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Neo1 View Post
What is the data source?

This should function with IB via TWS, and needs to pull data from each exchange. It needs to replicate the DOM in TWS.

@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.

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  #79 (permalink)
 
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 Neo1 
Christchurch, New Zealand
 
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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.

This is sounding alot better now.

I assume DX feed will also report the FINRA ATS/ Non-ATS dark pool trades? If so , can you please consider displaying these trades aswell? This would also be a good marketing tool for any bookmap equities product.

"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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  #80 (permalink)
 NGtrader 
Burnaby, BC Canada
 
Experience: Advanced
Platform: Ninjatrader
Broker: Ironbeam, Kinetick
Trading: ES, CL, RTY
Posts: 233 since Apr 2014
Thanks Given: 758
Thanks Received: 201



Neo1 View Post
I'm talking about the order book, not the reported trades.

IB is the only provider currently supported by Bookmap that offers level 2 data worth looking at, they report the consolidated book from each exchange/ ECN( NASDAQ TotalView, NYSE OpenBook + data from some other exchanges eg BATs, BEX etc)

Kinneck/ IQ feed level 2 is not real level 2( I think they call it Nasdaq open view, it's basically level 2 for kids) This is the top of book quote from each Exchange/ ECN- it also doesn't include any data from the NYSE openbook, where some Nasdaq volume will trade on. This means the majority of the depth will often be missing.

Eg using Kinneck/ IQ feed : At the top of book on the bid at 99.98, there could be 5000 units based on the top quote from each exchange . However there could be 10000s underneath in the queue at 99.98, however, you would never know because you're only seeing the bids from the top of the book. IB will show the 5000 + the 10000s.

Great, thanks for explaining Neo1.

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