Unfiltered Data
futures io futures trading



Unfiltered Data


Reviews of Brokers and Data Feeds

Created August 23rd 2012 by RM99
Updated July 22nd 2018 by teekay
looks_oneBig Mike with 10 posts (105 thanks)
looks_twoMethylSeasons with 5 posts (1 thanks)
looks_3Beljevina with 4 posts (7 thanks)
looks_4RM99 with 3 posts (2 thanks)
 
trending_up37,497 views
thumb_up125 thanks given
forum41 replies
attach_file4 attachments



Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

 
 
Thread Tools
 

Unfiltered Data

 
Site Administrator
Manta, Ecuador
 
Trading Experience: Advanced
Platform: My own custom solution
Favorite Futures: SPX, Emini Futures
 
Big Mike's Avatar
 
Posts: 48,211 since Jun 2009
Thanks: 30,803 given, 92,201 received


ctmvas View Post
It seems the brokers that filter data, can manipulate it as well. Anyone have an opinion about this?

I decided to try out a demo of ninja trader w/ zen-fire (mirus) and compare similar ticks to Td Ameritrade and it def. looks different.

It's going to look different, because TDA is a filtered feed as far as I am aware, while Zen Fire is unfiltered tick data.

As for "manipulation" -- this is futures, not forex. In the futures world, it's a centralized and regulated market. Brokers filter their feed in order to cut bandwidth and resource costs of delivering unfiltered data, not in order to some how game the system and make profits from "manipulation".

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member (see why)

Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal

Can you help answer these questions
from other members on futures io?
Renko charts with IB data feed?
Beginners and Introductions
Does Tradestation on windows server?
TradeStation
Follow Big MM for profit
Traders Hideout
How to detach charts and save chart position
MetaTrader
adding labels that always stay on the left on horizonal lines
ThinkOrSwim
 
Best Threads (Most Thanked)
in the last 7 days on futures io
ES futures Spoo-nalysis SP500/SPX
216 thanks
Coronavirus COVID-19
152 thanks
Recession? Depression? Bailout!
151 thanks
Is Orderflow An Outdated Concept?
121 thanks
Gold Futures (GC) main discussion
52 thanks
 
 
Big City, MA
 
Trading Experience: Intermediate
Platform: AMP Ninjatrader
Favorite Futures: ES, CL, NQ, TF
 
Posts: 79 since Nov 2010
Thanks: 3 given, 16 received

Feed that is filtered, seems to me is inaccurate and can affect traders buy sell positions.

 
 
Site Administrator
Manta, Ecuador
 
Trading Experience: Advanced
Platform: My own custom solution
Favorite Futures: SPX, Emini Futures
 
Big Mike's Avatar
 
Posts: 48,211 since Jun 2009
Thanks: 30,803 given, 92,201 received



ctmvas View Post
Feed that is filtered, seems to me is inaccurate and can affect traders buy sell positions.

You need to read post #3. "Filtered" is really the right word, not "inaccurate". But luckily for everyone, you can choose your broker and your data feed, and pick the one that you like best.

For example, I do have an IB brokerage account, but I do not use their data.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member (see why)

Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal
 
 
san francisco
 
Trading Experience: Beginner
Platform: Interactive Brokers
Favorite Futures: stocks & options
 
Maisie's Avatar
 
Posts: 146 since Dec 2011
Thanks: 99 given, 85 received

well, this is interesting. i have been scratching my head, indeed tearing my hair out trying to understand tradestation time and sales "filtered from chart" and "out of sequence" conditions. i don't know why it is impossible to get a definite explanation from the trade desk. they say it "might be" part of a "spread". that doesn't explain why the prices are obviously old however - prints at the *previous day's* price levels nowhere to be found on the matrix.

perhaps it is due to this "filtering".

Du sublime au ridicule, il n'ya qu'un pas. ~Napoleon Bonaparte
Follow me on Twitter Visit my futures io Trade Journal
 
 
Almeria / Spain
 
Trading Experience: Intermediate
Platform: NinjaTrader
Broker/Data: NinjaBrokerage/CQG
Favorite Futures: 6E, ES, CL, GC
 
jossfx's Avatar
 
Posts: 69 since Jun 2015
Thanks: 35 given, 49 received

kinetick provides historical bid/ask backfill? and real-time?

I need unfiltered data with bid/ask backfill real-time because I trade with CD. Is kinetick a good option?
I doubt between kinetick and iqfeed.

thanks

Visit my futures io Trade Journal
 
 
Site Administrator
Manta, Ecuador
 
Trading Experience: Advanced
Platform: My own custom solution
Favorite Futures: SPX, Emini Futures
 
Big Mike's Avatar
 
Posts: 48,211 since Jun 2009
Thanks: 30,803 given, 92,201 received


jossfx View Post
kinetick provides historical bid/ask backfill? and real-time?

I need unfiltered data with bid/ask backfill real-time because I trade with CD. Is kinetick a good option?
I doubt between kinetick and iqfeed.

thanks

Kinetick is just a NinjaTrader branded version of IQFeed. Yes, it offers historical bid/ask. However, NT7 doesn't support historical bid/ask, so if you want historical bid/ask backfill in NT7 then no data feed is going to help you. Instead, you need GomRecorder.

If you are not using NT, then you need IQFeed (Kinetick is NT only). With Sierra Chart as an example, there is historical bid/ask backfill with IQFeed.

Elite Members receive a discount to IQFeed. Click 'Elite Members' top of any page for all the discounts.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member (see why)

Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal
The following 3 users say Thank You to Big Mike for this post:
 
 
Legendary Market Chamois
Chicago, IL
 
Trading Experience: None
Platform: NT8,NT7,TWS
Broker/Data: InteractiveBrokers, S5T, IQFeed
Favorite Futures: The one I'm creating in the present....Index Futures mini/micro, ZF
 
Blash's Avatar
 
Posts: 2,123 since Nov 2011
Thanks: 6,616 given, 3,950 received


jossfx View Post
kinetick provides historical bid/ask backfill? and real-time?

I need unfiltered data with bid/ask backfill real-time because I trade with CD. Is kinetick a good option?
I doubt between kinetick and iqfeed.

thanks

CD on spot FX is not really going to tell you what you want anyway. There is no central exchange no way to get all the volume info to you.

On futures I use a up/down tick version of CD that works well IMHO.

Ron

...My calamity is My providence, outwardly it is fire and vengeance, but inwardly it is light and mercy...
The steed of this Valley is pain; and if there be no pain this journey will never end.
Buy Low And Sell High (read left to right or right to left....lol)
Follow me on Twitter Visit my futures io Trade Journal
 
 
Northeast US
 
Trading Experience: Advanced
Platform: Ninjatrader
Favorite Futures: ES & 6E
 
Joules360's Avatar
 
Posts: 35 since Nov 2010
Thanks: 29 given, 18 received

IB data and Range bars with Ninjatrader?


Big Mike View Post
Here is my opinion.

Filtering isn't about getting rid of bad ticks. It's about latency and completeness (accuracy).

Interactive Brokers is widely known for filtering data. It's snapshot data, meaning that they aggregate info, and send you a 'snapshot' of what it looks like every 250ms or so. This means you are not getting all the ticks, not getting all the L2 depth changes, not even getting all the volume. If you trade daily bars or even minute data, then you won't care about this. But if you are using tick based data: ie tick, range, renko, volume or other exotic bar types, then you should not be using IB for data.

On top of that, IB has big restrictions on their historical data. For this reason, my conclusion is that IB filters data simply due to lack of resources on their end, and probably because overwhelming majority of their customers are using minute based or daily based data.

IB is a combination execution + feed provider.

Next we have the Rithmic's and Zen Fire's of the world. They send every tick. They are well known in the industry as unfiltered data. They also have a reputation for being ultra low latency (fast). This is very appealing to a large amount of more 'advanced' traders that want to use tick based charting.

However, they don't have their own historical servers (some platforms provide it for their users, it varies). They also do filter some L2 depth changes. In order to be as fast as possible, and get you that tick as fast as possible, the trade off is to not send some of the L2 changes. Even most of the 'advanced' traders today are not measuring L2 changes so pretty much no one is complaining about this or cares about it.

Rithmic/Zen Fire is an execution/risk system more than it is a data feed. The focus on the feed is execution, which is also why the focus on the feed is latency. They do this extremely well. I've heard rumors for many years that Zen Fire is branching out and adding other exchanges or breadth tools soon. Maybe they will? But for now, it's really designed as execution only, although a lot of people use it for data as well and are completely happy with it, provided they also use a platform (like NinjaTrader) that gives them historical data.

Next we have the IQFeed's and Kinetick's (oem) of the world. They send every tick. They also have an extensive historical database and ticker plants. They all major exchanges. They have something like 500 breadth tickers.

IQFeed's (and Kinetick) business is data. Not execution. Since their focus is on data, they send every L2 update. They send every tick. They send everything, and they also send it in the right sequence. It is the best quality feed currently available to a retail trader, in my opinion. They do give up some latency when compared to Rithmic/Zen Fire, as there is a price to be paid for completeness.

IQFeed also provides historical bid/ask backfill. If you don't know what that is, you don't need it. Only some platforms support it, such as Sierra Chart, Investor/RT, MarketDelta. NinjaTrader 8 is supposed to support it. If you need this then IQFeed is not only an excellent choice, but pretty much the only choice.

As for TradingTechnologies TT FIX, it is an execution feed. It's focus is on execution, although many do use it for data as well.

As for which feed is right for you, only you can answer that.

Mike

Big Mike:

I trade with Range bars and I would think that even if IB data is filtered....it would still spit out the new range tick data so that it should be fairly accurate. Even if there are 10 missing ticks....one tick should still print the range value within that bar to make it accurate?

I was hoping I could use range bars with Ninjatrader and an IB feed.

Thanks.
Joules360

 
 
Site Administrator
Manta, Ecuador
 
Trading Experience: Advanced
Platform: My own custom solution
Favorite Futures: SPX, Emini Futures
 
Big Mike's Avatar
 
Posts: 48,211 since Jun 2009
Thanks: 30,803 given, 92,201 received


Joules360 View Post
Big Mike:

I trade with Range bars and I would think that even if IB data is filtered....it would still spit out the new range tick data so that it should be fairly accurate. Even if there are 10 missing ticks....one tick should still print the range value within that bar to make it accurate?

I was hoping I could use range bars with Ninjatrader and an IB feed.

Thanks.
Joules360

It's snapshot data. You are missing ticks, and also only receiving them in a "burst" fashion (every 250ms if I recall, or maybe it's every 100ms). You aren't missing just a few ticks, you are missing a bunch of them.

If you use exotic bars, like range bars or non-time based bars of any kind, you really should use a better data feed.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member (see why)

Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal
The following 2 users say Thank You to Big Mike for this post:
 
 
Northeast US
 
Trading Experience: Advanced
Platform: Ninjatrader
Favorite Futures: ES & 6E
 
Joules360's Avatar
 
Posts: 35 since Nov 2010
Thanks: 29 given, 18 received



Big Mike View Post
It's snapshot data. You are missing ticks, and also only receiving them in a "burst" fashion (every 250ms if I recall, or maybe it's every 100ms). You aren't missing just a few ticks, you are missing a bunch of them.

If you use exotic bars, like range bars or non-time based bars of any kind, you really should use a better data feed.

Mike

Mike:

I guess I will have to look at the charts side by side on the Ninjatrader/ AMP/CQG feed vs the Ninjatrader/IB feed on the range bars to see how bad they look. I just assumed that IB would at least print a high or low in a range which would print.... giving a similar looking bar...since its based on a range of a low and a high of a 15 tick range in may case.

It would just be convenient and keeping my machine lean and trim if I could package IB and Ninja using Bracket Trader to handle the details of my trade. Otherwise I will have to run AMP/CQG to fill the charts on one computer and IB on another computer to do the trades with Bracket Trader.

That actually may work out better anyway.....

Thanks,
Joules360


 



futures io Trading Community Trading Reviews and Vendors Reviews of Brokers and Data Feeds > Unfiltered Data
Thread Tools



Upcoming Webinars and Events (4:30PM ET unless noted)
 

futures io is celebrating 10-years w/ over $18,000 in prizes!

Right now
 

$250 Amazon Gift Cards with our "Thanks Contest" challenge!

Right now
 

Social Media Predictive Data for Traders w/Joe Gits @ SMA [and Lime Brokerage]

Apr 9
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Unfiltered data feeds and HFT, detecting algos with orderflow? cashinvestor Reviews of Brokers and Data Feeds 16 May 3rd, 2014 12:11 PM
Chart Bar OHLC data DOESNT match with the value in data box Koepisch NinjaTrader 4 May 12th, 2012 02:52 AM
Data Manager fails to receive data from eSignal rsbtrader TradeStation 1 April 17th, 2012 02:03 PM
IQfeed vs IB data as data provider for Multicharts arjfca Reviews of Brokers and Data Feeds 20 January 16th, 2012 10:39 AM
Best Data Provider to compliment Zen-Fire for Mkt Internals & EOD Data? waverider Reviews of Brokers and Data Feeds 16 October 14th, 2010 10:33 AM


All times are GMT -4. The time now is 04:37 AM. (this page content is cached, log in for real-time version)

Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts