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Basic datafeed questions
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Basic datafeed questions

  #1 (permalink)
Elite Member
Italy
 
Futures Experience: Advanced
Platform: Ninja
Favorite Futures: ES, Currency futures, forex
 
Posts: 12 since Sep 2010
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Basic datafeed questions

Hi,

I'm developing a strategy on DAX on Ninja with ZenFire feed. If I change the broker with one that support Trading technology feed may I have different result? So if yes, different brokers with different trading engines have different feeds even from the same exchange?
If I need to backtest my strategy in the past 2 years, may I use the ZenFire datafeed or is best to use IQfeed or some other commercial datafeed?
If I'll start live trading with my strategy, the strategy will use ZenFire feed to make decision, and if ZenFire is not reliable 100% maybe I don't get good result, will be possible to run the startegy on IQFeed and trading on ZenFire?

Sorry for these questions, but I'm confused about all this details...

Thank you!

ForexBoom

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  #2 (permalink)
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  #3 (permalink)
Elite Member
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forexboom View Post
Hi,

I'm developing a strategy on DAX on Ninja with ZenFire feed. If I change the broker with one that support Trading technology feed may I have different result? So if yes, different brokers with different trading engines have different feeds even from the same exchange?
If I need to backtest my strategy in the past 2 years, may I use the ZenFire datafeed or is best to use IQfeed or some other commercial datafeed?
If I'll start live trading with my strategy, the strategy will use ZenFire feed to make decision, and if ZenFire is not reliable 100% maybe I don't get good result, will be possible to run the startegy on IQFeed and trading on ZenFire?

Sorry for these questions, but I'm confused about all this details...

Thank you!

ForexBoom


EUREX provides all trade and order data time-stamped in millisecond resolution, so if you get tick data from EUREX directly or a quality data provider such as DTN/IQ, there should not be much of a difference. If you want to know, however, you will need to test it. I am interested in the result of the test.

Some data providers filter or condense data, in this case the outcome may be slightly different.

However, no backtest with historical data, can take into account the delay caused by data transfer and order submission, unless you use stop or market-if-touched orders, which are held on the exchange to enter your positions.

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  #4 (permalink)
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Pt Vala
 
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forexboom View Post
If I change the broker with one that support Trading technology feed may I have different result? So if yes, different brokers with different trading engines have different feeds even from the same exchange?

Yes, absolutely.
You have to expect different data from different sources.

To add even more complexity it may happen that the internal structure of a data stream changes at some point in time (in the last 2 years my data stream was changed twice in a major way).


forexboom View Post
If I need to backtest my strategy in the past 2 years, may I use the ZenFire datafeed or is best to use IQfeed or some other commercial datafeed?

Any datafeed may suit your purpose.
An expensive feed may be worse in some aspects than a feed that you can get for free.
(For example most people like to bash IB feed. If you know how to handle it it can very useful.)

Also when developping a strategy keep in mind how much the feed costs.
Many people start trading real money too early because they want to get in the feed costs.



forexboom View Post
If I'll start live trading with my strategy, the strategy will use ZenFire feed to make decision, and if ZenFire is not reliable 100% maybe I don't get good result, will be possible to run the startegy on IQFeed and trading on ZenFire?

It may work or perhaps not.
Depends completely on your strategy and how it works together with the environment.
Can't answer this generally.

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