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Need Level II and Level I realtime or historical data
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Need Level II and Level I realtime or historical data

  #1 (permalink)
Trading Apprentice
Portland, Oregon
 
Futures Experience: Beginner
Platform: Ninjatrader
 
Posts: 27 since Jan 2010
Thanks: 3 given, 2 received

Need Level II and Level I realtime or historical data

Hello everyone, I am new here, just joined the forum about 15 minutes ago. So far, it looks like a good place. I respect the contributions to the Haiti relief effort.

I am looking for a data feed. It could be NASDAQ, Futures, NYSE, etc, any open book market that publishes realtime volume, price, bids and asks. So I guess that's level I and level II data. I have a Ninjatrader demo account with Zenfire, but I am disappointed that I could not connect directly to Zenfire using their published API. After spending most of last weekend working on this, I stumbled upon another user's post on the Zen-Fire forums. I learned: "The demo / development account doesn't give real market data." (I can't post the link to this since I only have 0 posts, but google "Data from Market data detailed Zen-Fire Forum" to see the reference or PM me.

I am still not completely sure what that means, but I am looking for unfiltered level I and Level II data that is time stamped by the exchange (not timestamped by local system time on the receiving computer).

At this point, I am looking for something cost efficient. I want an honest real-time feed, but I don't plan to trade anything yet. I am new to trading and although I have some ideas, I want to test them out on computer before trading with real money. I could setup an account and I have a few thousand to place in an account, but I would prefer not having to pay $100+ / month for inactivity fees, maintenance, or any other excuse to take money. I understand these guys need to pay for their exchange connections and infrastructure, but what can I do to get accurate level I and level II data?

I guess what I am really looking for here is historical data, but Level I + Level II is not available yet for retail. Of course it's available, but costs over $100k...I don't need that much history, probably a month or so would really help. Reason I was working on the Zenfire API was because I was planning to start my own database.

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  #2 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,237 since Jun 2009
Thanks: 29,350 given, 83,145 received

Zen Fire is futures data only. I state this because "usually" when someone refers to Level I and Level II, they are thinking stock's.

Zen Fire's historical data is maintained by NinjaTrader servers. Zen Fire does not maintain historical data directly. You can find 5 years of historical ES data in the VIP section.

Having not used a demo account I can't speak to that, but I have a hard time believing the demo account is not real time. Wouldn't be much of a demo. Which broker did you secure the demo through? Try Mirus Futures or Amp Futures.

Zen Fire is one of the best data feeds out there for futures. I would rank eSignal as second best.

Mike

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  #3 (permalink)
Trading Apprentice
Portland, Oregon
 
Futures Experience: Beginner
Platform: Ninjatrader
 
Posts: 27 since Jan 2010
Thanks: 3 given, 2 received


Hey Mike, thanks for the quick reply. My terminology was probably wrong. I associated level 1 with time and sales and level 2 with DOM or bid and ask data. I am interested in bid and ask because I want to analyze whether past trades were happening at the bid vs. ask and also see how trading affected the bid / ask spread. Somewhat related to market delta, but not quite. I am basically looking for a verbatim archive of the Zen-Fire feed from the past including all full book data - DOM and time and sales info. Does the historical data in the VIP section also include bid / ask? Furthermore, is there any way I can extract this market replay data into a raw text format? I ultimately want to get it into RapidMiner.

Thanks for your help!


Big Mike View Post
Zen Fire is futures data only. I state this because "usually" when someone refers to Level I and Level II, they are thinking stock's.

Zen Fire's historical data is maintained by NinjaTrader servers. Zen Fire does not maintain historical data directly. You can find 5 years of historical ES data in the VIP section.

Having not used a demo account I can't speak to that, but I have a hard time believing the demo account is not real time. Wouldn't be much of a demo. Which broker did you secure the demo through? Try Mirus Futures or Amp Futures.

Zen Fire is one of the best data feeds out there for futures. I would rank eSignal as second best.

Mike


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  #4 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,237 since Jun 2009
Thanks: 29,350 given, 83,145 received

Gotcha.

NT 6.5 does not support historical bid/ask. NT7 does. They upgraded their historical servers and engine API to allow for this.

As for obtaining historical bid/ask in a flat file, I have no recommendations. The historical tick data in the VIP section is tick-by-tick, in other words the "last", no bid/ask.

Market Replay, even in 6.5, does contain bid/ask if you've recorded it as such. The market replay data for ES and CL I've provided in the Downloads section for the last few months should be a .nt2 file, which means it contains the Level II (bid/ask) data you're looking for.

As for exporting this .nt2 data out to a flat file for other purposes, it's been tried to no success that I am aware of, and NT will not provide the format of the file.

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.

Reply With Quote
 
  #5 (permalink)
Trading Apprentice
Portland, Oregon
 
Futures Experience: Beginner
Platform: Ninjatrader
 
Posts: 27 since Jan 2010
Thanks: 3 given, 2 received

My guess is that they probably do this for copyright reasons. It's a pity, market data *should* be freely available, at least at the end of day, just like a weather report. And from what I have heard, NT does not provide direct access to the tick data, even historical tick data, otherwise, it should not be too hard to write a .dll to dump the data to a flat file.

Oh well, I appreciate your help and will stick around / contribute on the forum.


Big Mike View Post
Gotcha.

NT 6.5 does not support historical bid/ask. NT7 does. They upgraded their historical servers and engine API to allow for this.

As for obtaining historical bid/ask in a flat file, I have no recommendations. The historical tick data in the VIP section is tick-by-tick, in other words the "last", no bid/ask.

Market Replay, even in 6.5, does contain bid/ask if you've recorded it as such. The market replay data for ES and CL I've provided in the Downloads section for the last few months should be a .nt2 file, which means it contains the Level II (bid/ask) data you're looking for.

As for exporting this .nt2 data out to a flat file for other purposes, it's been tried to no success that I am aware of, and NT will not provide the format of the file.

Mike


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  #6 (permalink)
Elite Member
west chester
 
Futures Experience: Intermediate
Platform: NT
 
Posts: 48 since Oct 2009
Thanks: 1 given, 52 received

using realstats level II

ok, in my never ending search for another confirmation tool i have begun looking at level ii data, zenfire 10 levels. i loaded the jt realstats and dom bands. what i have not been able to do is figure out how it should influence my setups/entries.

anyone who can point me in the right direction will be put on my wall of invaluable references.

thanks

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