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Rithmic Feed Issues
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Rithmic Feed Issues

  #21 (permalink)
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Big Mike View Post
I remember reading something about an "extended" historical offering via Optimus, but I do not understand this, and I remember in some other thread a user had to not use that because it was causing a lot of problems. I want to say that user was josh but I cannot remember for sure.

When it comes to historical data and Rithmic, I do not have answers. My understanding is Rithmic does not provide historical data, but no one from Rithmic has ever told me directly the actual details on this. I assumed that, like NinjaTrader, the historical data for Rithmic was not coming from Rithmic's servers but instead coming from Sierra's servers.

Yes, using Optimus, SC tick data goes back about 60 days (for ES anyway). Otherwise, for other Rithmic brokers, it is only the prior session (I have not verified this, but using the "normal" option in SC yields 1 session, whereas the "alternate server" provides 60 days through Optimus). The issue I had was that the backfill for one particular volatile market time did not match the volume (off by about 20K contracts in a minute or so) of the live Rithmic data or IQFeed. At the end of the day, this is not that big of a deal really, as otherwise it matched up. But it was a bit strange at least. I was unable to get real answers on who provides what, after asking the appropriate parties.

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  #22 (permalink)
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josh View Post
Yes, using Optimus, SC tick data goes back about 60 days (for ES anyway). Otherwise, for other Rithmic brokers, it is only the prior session (I have not verified this, but using the "normal" option in SC yields 1 session, whereas the "alternate server" provides 60 days through Optimus). The issue I had was that the backfill for one particular volatile market time did not match the volume (off by about 20K contracts in a minute or so) of the live Rithmic data or IQFeed. At the end of the day, this is not that big of a deal really, as otherwise it matched up. But it was a bit strange at least. I was unable to get real answers on who provides what, after asking the appropriate parties.

Thanks for clarifying. So on the surface it seems Rithmic does not provide historical data, which jives with my own understanding. In order to offer a value-add service, Optimus probably commissioned Sierra Chart to record data from Rithmic and offer it to Rithmic customers. This is just a hunch and I could be completely wrong, but it would at least be in line with how other platforms handle it.

As for why Josh had bad data, I have no idea. It probably was a glitch in the matrix on the server recording the data, but it is unfortunate that no one can clarify exactly what happened or why (ie: preventing future occurrences).

At the end of the day, Optimus is rated very highly, Rithmic is rated very highly, Sierra Chart is rated very highly, so you may have to just live with some of their secrets

Mike

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  #23 (permalink)
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liquidcci View Post
The Rithmic feed problem some experienced today on historical data is what I posted below from an a earlier post.


I implemented the fix in NT and it took care of my problems. Here is what I did

Close Open Charts
Ninja go to Tools > Historical Data manager> click edit tab then click on the instrument you are having issues with then drill down to September 22 for the bid, the ask, and last and delete Sept 22nd. The restart

Removed all the bad data that came in Saturday and my backtests are normal.

I would backup before you do above. Thanks to Optimus and Rithmic for the very quick response to give me a solution.
------------------------------------------------------------
Here is what Rithmic told me problem was

"This seems to be the result of saturday's globex mock trading data getting into your program. Can you remove saturday's data from it?"

The solution is to go into NT and delete the historical data on Saturday 9/22. I am going to do that after market close and will let everyone know if it fixes the issue.

Hats off to @mattz at Optimus for getting rithmic to give me a fast answer on the issue.

Interesting that Globex is doing Mock trading on Saturdays. Here is a link to why they are doing it.

http://www.cmegroup.com/globex/files/mockoverview.pdf


Update: Actually I believe the problem today was not the data from the historical servers but was tick data that was recorded on my machine. I left my charts up over the weekend and when Globex did the Mock trading session my charts recorded it. So my backtesting giving priority to the tick data caused issues. When I deleted data from Saturday 9/22 in NT as I mentioned all is now well. Just FYI I believe Globex will be doing more of these mock sessions so this is something to be aware of.

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  #24 (permalink)
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Big Mike View Post
As for why Josh had bad data, I have no idea. It probably was a glitch in the matrix on the server recording the data, but it is unfortunate that no one can clarify exactly what happened or why (ie: preventing future occurrences).

I also experienced a similar issue, except with Rithmic live prod data, in real time use, with volume being off/higher from other feeds on 1m bars, and upon later deleting/refreshing the data, it is corrected to match the others. Still testing to see if turning off the 'Simulated Trades to Match Daily Volume' setting fixed it.

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  #25 (permalink)
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Futures Operator View Post
I also experienced a similar issue, except with Rithmic live prod data, in real time use, with volume being off/higher from other feeds on 1m bars, and upon later deleting/refreshing the data, it is corrected to match the others.

You were using Sierra Chart and the "enhanced" Optimus server?

Because I've been using SC + Rithmic via Optimus, using the regular server option, and my data has always matched IQFeed to the tick any time I have checked.

Josh was specifically talking about using the "enhanced alternate server", and I was also under the impression that would only contribute to historical data results and not real time results.

I can't speak to historical results, because my Sierra Chart running Rithmic is open 24/7 on a VPS and I've never needed any historical data. I use it for a different project, my main Sierra Chart locally runs IQFeed.

Mike

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  #26 (permalink)
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Big Mike View Post
You were using Sierra Chart and the "enhanced" Optimus server?

Because I've been using SC + Rithmic via Optimus, using the regular server option, and my data has always matched IQFeed to the tick any time I have checked.

Josh was specifically talking about using the "enhanced alternate server", and I was also under the impression that would only contribute to historical data results and not real time results.

I can't speak to historical results, because my Sierra Chart running Rithmic is open 24/7 on a VPS and I've never needed any historical data. I use it for a different project, my main Sierra Chart locally runs IQFeed.

Mike

Yes, on SC, Optimus Rithmic Prod feed demo, set to alternate server. To be clear, settings attached. Here are the details of the bad volume print issue I experienced with the feed in real time:

9-13-12, CLV2 contract, 1m candle volume:
9:49am est -
SC/Rithmic: 4996
TOS: 222
IB: 222
ZF: 230
After delete/refresh data, by 1:04pm est, SC/Rithmic changed to match others at 222.

2:29pm est -
SC/Rithmic: 4830
TOS: 1436
After delete/refresh data, by 4:42pm est, SC/Rithmic changed to match TOS at 1436.

Similar to what Josh experienced, see discussion at SC board and their response: Rithmic / Optimus backfill data error - Sierra Chart

Attached Thumbnails
Rithmic Feed Issues-2012-09-24_2342_sc_server_settings_2.png  
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  #27 (permalink)
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hi all
Yesterday I had a very frequent disconnections from the server, my broker (Mirus) said to me, that he did not see any problems with servers and hinted to me that the problem is on my machine. but when I saw a lively topic in this forum - that I was sorry that my broker does not want to accept the facts, I was enraged

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  #28 (permalink)
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Jonson View Post
hi all
Yesterday I had a very frequent disconnections from the server, my broker (Mirus) said to me, that he did not see any problems with servers and hinted to me that the problem is on my machine. but when I saw a lively topic in this forum - that I was sorry that my broker does not want to accept the facts, I was enraged

Well, perhaps it's not the feed but your computer. Open up a command prompt, and execute:

ping -t Google

Then when you have a disconnect from your broker, switch over to the window and see if it is dropping any packets at that moment.

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  #29 (permalink)
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josh View Post
Yes, using Optimus, SC tick data goes back about 60 days (for ES anyway). Otherwise, for other Rithmic brokers, it is only the prior session (I have not verified this, but using the "normal" option in SC yields 1 session, whereas the "alternate server" provides 60 days through Optimus). The issue I had was that the backfill for one particular volatile market time did not match the volume (off by about 20K contracts in a minute or so) of the live Rithmic data or IQFeed. At the end of the day, this is not that big of a deal really, as otherwise it matched up. But it was a bit strange at least. I was unable to get real answers on who provides what, after asking the appropriate parties.

This would be a big selling point if this is also available for MultiCharts. Does anyone know that?

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  #30 (permalink)
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Futures Operator View Post
Yes, on SC, Optimus Rithmic Prod feed demo, set to alternate server. To be clear, settings attached. Here are the details of the bad volume print issue I experienced with the feed in real time:

9-13-12, CLV2 contract, 1m candle volume:
9:49am est -
SC/Rithmic: 4996
TOS: 222
IB: 222
ZF: 230
After delete/refresh data, by 1:04pm est, SC/Rithmic changed to match others at 222.

2:29pm est -
SC/Rithmic: 4830
TOS: 1436
After delete/refresh data, by 4:42pm est, SC/Rithmic changed to match TOS at 1436.

Similar to what Josh experienced, see discussion at SC board and their response: Rithmic / Optimus backfill data error - Sierra Chart

Happening again right now:
-----------------------------------
9-27-12
clx2
1m candle vol:

8:30am - sc 2129, tos 1067
8:31am - sc 2029, tos 1037
------------------------------------

Would be interested to hear what other people on Rithmic and other feeds are getting.

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