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Zenfire RT & Historical Discrepancies?
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Zenfire RT & Historical Discrepancies?

  #1 (permalink)
Elite Member
Philadelphia, PA
 
Futures Experience: Advanced
Platform: Multicharts, Ninja Trader
Broker/Data: Mirus/ZF
Favorite Futures: CL
 
9baller's Avatar
 
Posts: 27 since Jan 2012
Thanks: 8 given, 12 received

Zenfire RT & Historical Discrepancies?

I am in the process of switching from TS to MC....using Zenfire broker to run MC...
after weeks of getting TS code to replicate in MC I am finally ready to can TS but now I am
noticing that when running both platforms simulataneously to check for accurracy in my code...
I see that indicator values/paintbar gets slightly skewed after 10-15 minutes in MC....

after refreshing MC charts...the historical data changes to correlate with TS charts....
when refereshing TS charts there is no change....

I have the rt history matching box unchecked in MC....seemed worse when checked

broker says this in MC historical server problem....not Zenfire....

MC says says this is Zenfire problem...different RT and historical data....

anybody have same problem...how to resolve....

IQ feed?


Thanks....9baller

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  #2 (permalink)
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  #3 (permalink)
Elite Member
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Futures Experience: Beginner
Platform: thinkorswim
Broker/Data: TD Ameritrade
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Not exactly on-topic, but the last I've touched Zen-Fire, I found out that their problems will never be fixed, because they've stopped all development on Zen-Fire. I don't actually know why - maybe their lead developer (Matt Griswold?) moved to a different company and they didn't have things set up for business continuity.

A side effect of this is that Zen-Fire is riddled with bullet holes and bugs: there's a huge security vulnerability that I'm not going to describe in public, the C++ examples don't compile, there's no proper API call to query for particular instrument(s), the documentation is incomplete. So MC/NT/Sierra etc. all contain the same security vulnerabilities thanks to Zen-Fire.

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  #4 (permalink)
 Vendor: www.iqfeed.net 
Omaha NE
 
Futures Experience: Intermediate
Platform: IQFeed compatible
Favorite Futures: ES
 
Robert Carrillo's Avatar
 
Posts: 271 since Jun 2012
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Hi 9baller,

It's been discussed many times here, but ZF is designed for order execution, not charting. ZF market data is delivered via UDP which doesn’t guarantee delivery of data packets. It’s fast but incomplete (by definition) which leads to inaccurate historical data (ZF uses TCP protocol for order excecution to ensure accuracy). IQFeed uses TCP delivery protocol, which guarantees you see every trade the exchanges produce and IQFeed historical servers are a carbon copy of the streaming feed so both match.

If you’d like more info on UDP (ZF) and TCP (IQFeed) data delivery protocols, see:

TCP and UDP Ports Explained

Please read through the paragraph entitled: The two Internet workhorses: UDP and TCP

Robert

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  #5 (permalink)
Market Wizard
Las Vegas, NV
 
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Robert Carrillo View Post
Hi 9baller,

If you’d like more info on UDP (ZF) and TCP (IQFeed) data delivery protocols, see:

TCP and UDP Ports Explained

Please read through the paragraph entitled: The two Internet workhorses: UDP and TCP

Robert



@Robert Carrillo,

Thanks. Your explanation and the link clarify a lot of things.

So, if one is using just a DOM for trade execution (order flow type trades) UDP (ZF) delivery is OK. But for chart analysis and trading from charts TCP (IQFeed) is preferred. Correct?

Also, can you provide a list of futures brokers supporting IQFeed?

Thanks.


Last edited by aligator; June 26th, 2013 at 12:48 PM.
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  #6 (permalink)
 Vendor: www.iqfeed.net 
Omaha NE
 
Futures Experience: Intermediate
Platform: IQFeed compatible
Favorite Futures: ES
 
Robert Carrillo's Avatar
 
Posts: 271 since Jun 2012
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aligator View Post
@Robert Carrillo,

Thanks. Your explanation and the link clarify a lot of things.

So, if one is using just a DOM for trade execution (order flow type trades) UDP (ZF) delivery is OK. But for chart analysis and trading from charts TCP (IQFeed) is preferred. Correct?

Also, can you provide a list of futures brokers supporting IQFeed?

Thanks.

aligator,

I can't think of any good reason to use UDP data when trading, given a choice, since the data is by definition incomplete, and sometimes out of sequence.

A TCP market feed into a trade-capable software (like MC, SC, NT, IRT, MD, etc) which supports your broker's TCP order execution is the only way to guarantee accuracy and reliability from start to finish.

Robert

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  #7 (permalink)
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Look here:

https://futures.io/brokers-data-feeds/22585-unfiltered-data.html

The primary difference here is simple: Zen Fire is a brokerage execution feed first and foremost. IQFeed is a data feed first and foremost. Different priorities, features, etc.

Mike

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  #8 (permalink)
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signed up for IQ feed on Tuesday....

running 3 feeds (TS IQ ZF) in same workspace....

ZF & TS historical data same....
ZF & TS & IQ Real time Minute data same....

IQ feed tick data differs from ZF & TS....

IQ feed on tick chart does not seem to calculate DMI Indicator correctly....
this throws off paint bar...giving false signals....twice today....yesterday as well

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  #9 (permalink)
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You can see a detailed/extensive comparison here:

https://futures.io/elite-circle/3873-analysis-comparison-different-data-feeds-platforms-bid-ask-studies.html

I don't know what "throws off paint bar" means, but it seems unlikely IQFeed is the culprit based on my experience. There is an AMA thread here you can ask questions to IQFeed's rep on futures.io (formerly BMT) @Robert Carrillo:

https://futures.io/brokers-data-feeds/25853-dtn-iqfeeds-robert-carrillo-global-a...ing-ask-me-anything.html

In the end, the products are simply different - you'll have to decide what features you need and make your choice.

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.
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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.

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  #10 (permalink)
 Vendor: www.iqfeed.net 
Omaha NE
 
Futures Experience: Intermediate
Platform: IQFeed compatible
Favorite Futures: ES
 
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Posts: 271 since Jun 2012
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9baller View Post
signed up for IQ feed on Tuesday....

running 3 feeds (TS IQ ZF) in same workspace....

ZF & TS historical data same....
ZF & TS & IQ Real time Minute data same....

IQ feed tick data differs from ZF & TS....

IQ feed on tick chart does not seem to calculate DMI Indicator correctly....
this throws off paint bar...giving false signals....twice today....yesterday as well

9baller,

First, you are comparing 3 different quotes. TS (@CL) is a Globex continuous contract (July 2013 front month). ZF (CLQ3) is Aug 2013, and IQFeed (+CLQ13) is the combined quote for Pit & Globex Aug 2013, not Globex. The proper IQFeed symbol for Crude Globex is QCL# (continuous).

Change that first, and also the TS quote to Aug 2013 instead of July.

IQFeed Support would have seen that right away.

Once you have the correct symbols, please try again and advise.

Robert

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