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IQfeed against CQG data
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IQfeed against CQG data

  #11 (permalink)
Elite Member
Los Angeles, CA, USA
 
Futures Experience: Intermediate
Platform: NinjaTrader, IB TWS
Broker/Data: Dorman/Rithmic, Interactive Brokers
Favorite Futures: NQ, CL
 
Posts: 103 since Sep 2013
Thanks: 151 given, 86 received


nightshade View Post
How do you know which one is true as far as order flow goes

Hi nightshade,

What exactly do you mean by order flow? Does this include bid/ask data (i.e. working orders), or just filled orders? If you mean filled orders, you could download historical trades from CME's website and compare them. Not sure about ICE futures.

Lately I've been looking at NG futures on supply report release. So far thinkorswim, Interactive Brokers, and CQG all left trades out from their real time feed. I'm hoping the Rithmic data is better at capturing every single tick during those fast markets. I'm not sure I will trade during a release, but at least I would like an accurate picture of what happened during the release. Last week my stop had 62 ticks of slippage on one NG contract and I was trying to figure out how I possibly could have got filled at a price that was not showing on my broker's (IB) own chart platform.

The method I've been using to check accuracy is to video record my charts in real time during a release, then later on (minutes or hours) I reload the data on the chart and compare it to my recording. I also pull up the time and sales and check against the chart.

Hope this helps.

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  #12 (permalink)
Elite Member
canton mi
 
Futures Experience: Beginner
Platform: ninja xtrader
Favorite Futures: tf, es
 
Posts: 233 since Jan 2014
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ganamide View Post
Hi

Helped a lot but I use the/TF which is ICE

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  #13 (permalink)
Trading Apprentice
hong kong
 
Futures Experience: Intermediate
Platform: ninjatrader
Favorite Futures: stocks
 
Posts: 12 since Nov 2014
Thanks: 0 given, 2 received


There are always some off market prints which will mess up the candle stick bars , they are usually traded in "D" - Dark pools , or odd lot prints

So your program should filter out ticks which are outside of Bid and Ask

Historical data usually isn't affected as the market data providers will filter them out

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  #14 (permalink)
Elite Member
Los Angeles, CA, USA
 
Futures Experience: Intermediate
Platform: NinjaTrader, IB TWS
Broker/Data: Dorman/Rithmic, Interactive Brokers
Favorite Futures: NQ, CL
 
Posts: 103 since Sep 2013
Thanks: 151 given, 86 received


hs1130 View Post
There are always some off market prints which will mess up the candle stick bars , they are usually traded in "D" - Dark pools , or odd lot prints

So your program should filter out ticks which are outside of Bid and Ask

Historical data usually isn't affected as the market data providers will filter them out

That's interesting. Haven't thought of that before. Wouldn't D trades be invisible to all except your broker? Not sure I would want them filtered out, but I guess it makes sense if nobody else can see it. My problem with IB was charts not showing trades that actually happened on the exchange, until I reloaded the charts later. Kind of the opposite of the D trade problem.

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