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Data feed comparison - tick data
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Data feed comparison - tick data

  #1 (permalink)
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Data feed comparison - tick data

Recently people were talking about data feed comparisons with regards to tick data. We know for instance that IB filters tick data and sends it in bursts. We also know for instance that TT does the same.

So just strictly speaking "real-time" data, not taking into consideration backfilling, I would like to do a comparison of tick data.

I can compare just IQfeed and Zen Fire, but am hoping someone with barchart will step up too, and maybe others.

Here is CL 04-10 89-tick via IQfeed from 7am to 1:30pm central time. There are 988 89-tick bars (MultiCharts labels them easily).

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Well I was going to show the same chart with Zen Fire data, but I am having problems getting it to load. Maybe someone else with MC or NT7 can report how many bars they have with Zen Fire data during the same period.

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  #3 (permalink)
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Hi Mike......I am using NT6.5 and based on Zen-Fire data I get 989 bars......perhaps one of us started/ended with an extra bar in our summation

my first bar is:
Date=2010/03/15=Time=05:00:22=Open=80.7800=High=80.7900=Low=80.7200=Close=80.7300=VOL=119

my last bar is:
Date=2010/03/15=Time=11:30:00=Open=79.7800=High=79.7900=Low=79.7700=Close=79.7800=VOL=166

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I have 107,346 ticks from rithmic on CL 04-10 3/15

That is more than 988*89 = 87,932

I know there may be more than 89 ticks in a bar sometimes, but that still seems like a pretty big discrepancy to me..

here are my first and last ticks
20100315 000241;80.75;1
...
20100315 235836;79.7;1


I did a comparison once between IB and rithmic on CL and it was laughable how many fewer ticks IB had. Although on some of my older strategies they worked better on IB data with fewer ticks during news releases, so thats not always a bad thing.

IB forex feed is not bad though, due to decentralized nature of forex market the order flow is not as rapid as futures markets so the tick aggregation does not really affect it. Hence why I only trade spot FX through IB now and do futures through Mirus.

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sefstrat,

Looks like you compared all day, not the same session as Big Mike. What do you see if you narrow it down to the same session?

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  #6 (permalink)
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Good call, I missed the part where he mentioned 7:30-1:30.. that makes sense then =)



aslan View Post
sefstrat,

Looks like you compared all day, not the same session as Big Mike. What do you see if you narrow it down to the same session?


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  #7 (permalink)
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Take a look at this.

This is a side-by-side comparison of just the incoming data requests for Zen Fire vs. IQfeed, using the MultiCharts QuoteManager. Changes could include a new tick, last, or bid/ask/depth changes.

Look at Zen vs IQfeed. IQfeed has far more changes.

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Mike

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