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Data Feed for Options on Futures
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Data Feed for Options on Futures

  #1 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
Forum Reputation: Legendary

Data Feed for Options on Futures

I am trying to find a real time data provider that can do accurate charts and/or data tables on options on futures.

I was at DTN ProphetX. A lot of incorrect data.

I am now at eSignal. Was OK, then at the start of this month they made changes to their software and the data is incorrect and they haven't been able to fix it yet.

I know not many here trade options on futures, but can you check if your data provider has charts on options on futures?

For example ES Dec 800 puts.

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  #2 (permalink)
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  #3 (permalink)
Membership Revoked
Szczecin
 
Futures Experience: Intermediate
Platform: Ninja, writing own now
 
Posts: 212 since Mar 2010
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ron99 View Post
I am trying to find a real time data provider that can do accurate charts and/or data tables on options on futures.

I was at DTN ProphetX. A lot of incorrect data.

I am now at eSignal. Was OK, then at the start of this month they made changes to their software and the data is incorrect and they haven't been able to fix it yet.

I know not many here trade options on futures, but can you check if your data provider has charts on options on futures?

For example ES Dec 800 puts.

Nanex has full option feeds including all level 2. Tehy also handle all published indices (cme group has quite some) and synthetics (spreads) What problems do you ahve with options data for futures? I get their CME group feed and it has about 240.000 symbols at the moment.

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  #4 (permalink)
Membership Revoked
Switzerland
 
Futures Experience: Advanced
Platform: Firetip
Favorite Futures: Bonds, Commodities, Indexes
 
Delta_Panther's Avatar
 
Posts: 112 since Aug 2009
Thanks: 172 given, 65 received

Hope I understood your question the right way.

There is a software called Opvue6 and they are specialized for options data for options on shares and futures.

The option software by it self offers all you need to plan or test more complicated option strategies.

They are quit expensive and if you not care about any money for data feed, they will do the job.

The other problem with them:

They want to sell every few months an update on there software and this really can get on your nerves. They even cut your data to push you to buy the update which happen when they changed from OpVue5 to OpVue6.

So, if you do not care about paying money for option data feed and being pushed to buy always stupid updates, this one is great and if you care, then OpVue6 is not to choose.

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  #5 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,717 since Jul 2011
Thanks: 792 given, 4,759 received
Forum Reputation: Legendary


NetTecture View Post
What problems do you have with options data for futures?

For eSignal, their bids and asks are wrong. If a bid or ask trades, and there isn't a bid or ask under the traded bid or ask, then eSignal leaves the traded bid or ask on the screen. It is a phantom bid or ask.

For their daily ES option charts they use the last trade of the session instead of the settlement price. They don't have Time & Sales on options. Their Delta is wrong.

DTN PhophetX was just as bad.

CQG is a pain in the butt to work with. They are expensive.

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  #6 (permalink)
Membership Revoked
Szczecin
 
Futures Experience: Intermediate
Platform: Ninja, writing own now
 
Posts: 212 since Mar 2010
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ron99 View Post
For eSignal, their bids and asks are wrong. If a bid or ask trades, and there isn't a bid or ask under the traded bid or ask, then eSignal leaves the traded bid or ask on the screen. It is a phantom bid or ask.

For their daily ES option charts they use the last trade of the session instead of the settlement price. They don't have Time & Sales on options. Their Delta is wrong.

DTN PhophetX was just as bad.

CQG is a pain in the butt to work with. They are expensive.

well, I am happy so far with Nanex, but i pay aruond 770 USD per month for the full data feed (500 to Nanex, the rest to the exchagne). Plus dealing with the data is a lot - I get between 1.5 and 3 gigabyte of tape (highly compressed) per day, hundreds of millions of updates. But they also handle corrections (cancels etc.) which are published as they are propagated and they also provide for every trade the excahgne serial, so you can correalte the tick and your own order (which in a lower level API also has access to the excahgne trade sequence number for the fills).

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  #7 (permalink)
Elite Member
Cucamonga, CA
 
Futures Experience: Beginner
Platform: NinjaTrader
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kalalex's Avatar
 
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So if I want simple price chart for a few futures instrument such as ES, CL

what would be the best route to take?

I just need previous day's high & low and intraday realtime price charts.

I tried to do this with NT7 with new instrument setup (imposed) for symbols on options with no success.

I'll try DTN tech support on Monday but no high hopes either.

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  #8 (permalink)
Elite Member
Sydney Australia
 
Futures Experience: Advanced
Platform: SierraCharts, NT
Favorite Futures: ES,TF,CL, SPI,
 
Posts: 78 since Nov 2010
Thanks: 6 given, 23 received


NetTecture View Post
well, I am happy so far with Nanex, but i pay aruond 770 USD per month for the full data feed (500 to Nanex, the rest to the exchagne). Plus dealing with the data is a lot - I get between 1.5 and 3 gigabyte of tape (highly compressed) per day, hundreds of millions of updates. But they also handle corrections (cancels etc.) which are published as they are propagated and they also provide for every trade the excahgne serial, so you can correalte the tick and your own order (which in a lower level API also has access to the excahgne trade sequence number for the fills).

so do you folow this using Ninja at the moment, while developing your own platform?
I did not think that NT would be capable of being so precise and work would in a high traffic environment? i guess that is a function of nanex data feed??
Does this fee cover all exchanges?
Thank for your time.

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  #9 (permalink)
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Szczecin
 
Futures Experience: Intermediate
Platform: Ninja, writing own now
 
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dlatbm View Post
so do you folow this using Ninja at the moment, while developing your own platform?
I did not think that NT would be capable of being so precise and work would in a high traffic environment? i guess that is a function of nanex data feed??
Does this fee cover all exchanges?
Thank for your time.

Yes, ninja - while working my ass off Mostly for money (I o IT consulting and... well, was very busy last year).

The fee is compelte CME and includes exchange - goes up to 810 or so next yar with raised exchange fees, Nanex itself tgets 500 USD.

NT is siply not able to handle options sensibly - they are stream oriented and handle single instruments. I doubt they can run more than 50 or 100 instruments. For options you need a data feed that can handle tens of thousands of instruments, and a software than can also deal with the relationsships between them (here is ESxx, get me all march options, then all april options, then deltas). NT just "does not do options".

THAT said - dealing with the data throughput is a pain. I was working this weekend on my NxCore parser (translating it into my own object streams) and got it about 3 times faster The alst thing I now have to do is handle bid/ask updates properly - NxCore has a "snapshot" approach, i need to transalte it to delta updates.

Then next week I am back to writing my storage infrastr5ucture - server is finally in place and stable Just as note - I got some stats and sometimes NxCore pushes nearly 2 million updates through the system. That is - per minute Dealing with this amount of information requires a little more than a little "ok, here is a hard disc" approach.

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  #10 (permalink)
Elite Member
Sydney Australia
 
Futures Experience: Advanced
Platform: SierraCharts, NT
Favorite Futures: ES,TF,CL, SPI,
 
Posts: 78 since Nov 2010
Thanks: 6 given, 23 received



NetTecture View Post
Yes, ninja - while working my ass off Mostly for money (I o IT consulting and... well, was very busy last year).

The fee is compelte CME and includes exchange - goes up to 810 or so next yar with raised exchange fees, Nanex itself tgets 500 USD.

NT is siply not able to handle options sensibly - they are stream oriented and handle single instruments. I doubt they can run more than 50 or 100 instruments. For options you need a data feed that can handle tens of thousands of instruments, and a software than can also deal with the relationsships between them (here is ESxx, get me all march options, then all april options, then deltas). NT just "does not do options".

THAT said - dealing with the data throughput is a pain. I was working this weekend on my NxCore parser (translating it into my own object streams) and got it about 3 times faster The alst thing I now have to do is handle bid/ask updates properly - NxCore has a "snapshot" approach, i need to transalte it to delta updates.

Then next week I am back to writing my storage infrastr5ucture - server is finally in place and stable Just as note - I got some stats and sometimes NxCore pushes nearly 2 million updates through the system. That is - per minute Dealing with this amount of information requires a little more than a little "ok, here is a hard disc" approach.

Well done!!
So what is the NxCore protocol - FIX?
If yes you should talk to SierraCharts, or simply try it, as they do handle FIX and its speed is just incredible. Not sure if SC will handle NxCore's FIX but FIX should be FIX.
is there enough volume in these options? Are they liquid as I briefly looked through IB and there was not much in open interests (outside trading hours).

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