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HSI (Hang Seng Index Futures) Data Feed Comparison
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HSI (Hang Seng Index Futures) Data Feed Comparison

  #1 (permalink)
Elite Member
Australia
 
Futures Experience: Intermediate
Platform: Sierra Chart
Broker/Data: CQG
Favorite Futures: CL
 
Posts: 29 since Oct 2014
Thanks: 5 given, 23 received

HSI (Hang Seng Index Futures) Data Feed Comparison

This is just a quick summary of three data feeds I have tried for HSI and my thoughts and experiences with them. So far I have tried three and am waiting on a fourth in a few months time when Sierra Chart are likely going to offer one.

I am based in Australia and this is important for the route of the data, and likely for others in this region.

Esignal;

Negatives
- Cost - US$190 per month
- Missing ticks and prices. I can’t see how this feed is unfiltered. I assumed it was but I seriously don’t think it is.
- Historical data is terrible with bad ticks going 100 points. Multiple ones of them making loading intraday historical charts pretty much impossible
- No level 2 data.
- Data is routed to one of two servers based on the load. This info is straight from Esignal support. Those servers are based on either the West or East Coast USA. This means that if you are getting this feed from Asia Pacific Region it has to go from Hong Kong, to either East or West Coast USA and back to your place. This created around a 300ms latency for me, however this could change at random “depending on the load!”
- Support is terrible. As one of many examples I have experienced, on Monday unbeknownst to me HKFE was shut due to a typhoon warning. I had no data and had no idea why so called support. Got a VM so called sales who sent a message to support. They got back to me two days later asking if I was still having issues. This is not isolated. I have never been able to reach then on the phone (straight to VM always) and email support takes at least 24 hours to respond and most of the time 2 days.
Positives
- Don’t need a broker account. Just sign up for the feed.

Interactive Brokers

Negatives
- I’m not going to bash IB data feed here as it is what it is and they don’t pretend it is anything else. It is filtered 100ms bursts so anything less than 5min data is not great. And forget about tick or exotic bars, time and sales data etc.

Positives
- The actual speed of the data is great. They have servers in Hong Kong and there is minimal latency to Australia. Pretty much a straight line here or anywhere else you are. You just miss a whole bunch of ticks but this gets made up with their true bar thing which redraws the barafter the fact if they miss anything so you get accurate data in the end.
- Support – never had to use them. Heaps of good documentation and pretty straight forward.
- Cheap, well sort of. You need $10k to open the brokerage account but then HKFE is only HK$24 per month which is like US$4.
- As an aside to this thread they are by far the cheapest commission and best execution broker for HSI in my opinion. If you day trade HSI I can’t see how you could justify the percentage of profit paying commissions any other place.

CQG
Negatives
- The only issue with CQG is that there is no broker that has anywhere near the commission prices that IB offer. I got CQG through Macquarie Futures who I would recommend for customer service. They are fantastic. You need $10k for the account and away you go.

Positives
- Cost (data only) around US$30 per month. You pay for it with the trade route fee and then some really.
- CQG support is fantastic. I send an email and get something back within 10 mins. Often faster. Never needed to call them.
- Data quality is unparalleled. They have servers in Hong Kong so data comes straight to me and the data quality in terms of speed and accuracy is second to none of these. I couldn't believe what I was seeing in terms of speed and quality after IB and Esignal.

Couple of things to consider;

- If you want the real deal data go with CQG out of these three. I am anticipating Sierra Chart will be on a level playing field with them also but this is yet to be confirmed.
- I will update this thread in a few months when I trial the Sierra Chart data. I am looking forward to this.
- I also plan to post a video showing the feeds side by side. I hope to anyway.
- I had to move to Sierra Chart thanks to Ninjatrader locking their software to outside feeds “which are not
complimentary to their brokerage service.” This has been a blessing in disguise. I love Sierra Chart. It’s faster, more stable, way more flexible than NT. If you use NT I would seriously recommend looking at Sierra Chart as an alternative platform for above reasons and also that they are broker independent.

Hope this can be of assistance to anyone.

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Hong Kong
 
Futures Experience: Intermediate
Platform: NinjaTrader, TWS
Broker/Data: IB/Kinetick
Favorite Futures: ES
 
Posts: 233 since Jan 2012
Thanks: 130 given, 306 received


Hi Sam,

Thanks for your info on HSI. Ref eSignal, I was gathering prices earlier this week for HS Futures level 1 and 2, and copied below message here (from Singapore office). You noted no level 2, is that something to do with your location? I am in Hong Kong.

Interested in your Sierra Chart option as I am locked into Ninja for now, but can see a separate platform for HSI only would be feasible with Sierra Chart given the low costs.

Best regards,
Richard

Below is the fees as per your requirement:
One time activation fee - USD 25
eSignal Signature - USD 145/month
Hong Kong Futures Exchange Level 1 - USD 4/month
Premium add-on Equities/Future fee - USD 125/month
Hong Kong Futures Exchange Level 2 - USD 8/month
Market Depth Subscription - USD 25/month

Richard
Hong Kong
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  #4 (permalink)
Elite Member
Singapore
 
Futures Experience: Intermediate
Platform: Ninjatrader meta trader
Favorite Futures: oil
 
Posts: 13 since Aug 2012
Thanks: 55 given, 2 received

Hi Sam

Thanks for your very helpful post.

I am looking to trade Hang Seng futures

I am looking for a HSI datafeed to Ninjatrader - You mentioned that CQG cannot feed to Ninjatrader due to Ninjatrader policy. For those like me who are grandfathered with AMP Ninjatrader/CQG datafeed, do you know whether I could purchase the CQG HSI future data feed and connect to AMP Ninjatrader. It seems to me that AMP does not have the HSI symbol so I may have to look to CQG directly for datafeed

Your current use of Sierra chart with CQG HSI futures feeds - Is your total cost for CQG HSI datafeed just US$30?

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  #5 (permalink)
Trading Apprentice
berlin germany
 
Futures Experience: Beginner
Platform: Ninjatrader
Favorite Futures: ES VIX
 
Posts: 24 since Jul 2016
Thanks: 12 given, 3 received

for those interested in HKFE, read the following SC announcement.

https://www.sierrachart.com/SupportBoard.php?ThreadID=21778#post_last

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  #6 (permalink)
Trading Apprentice
berlin germany
 
Futures Experience: Beginner
Platform: Ninjatrader
Favorite Futures: ES VIX
 
Posts: 24 since Jul 2016
Thanks: 12 given, 3 received


RichardHK View Post
Hi Sam,
... I am in Hong Kong.

...

Richard, since you mentioned you are in Hong Kong, I am a bit curious why didn't you use a local broker? As far as I know, some local brokers offer free real time data feed as long as you open an account. Could you share why you still need a paid subscription?

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  #7 (permalink)
Elite Member
chennai, tamilnadu, India
 
Futures Experience: Intermediate
Platform: Sierra Chart
Broker/Data: Interactive Brokers, Sierra Chart Data Feed
Favorite Futures: CL, NQ
 
Posts: 8 since Apr 2015
Thanks: 9 given, 7 received

Hang Seng futures data is already available in SierraChart for Activation

Hang Seng futures data is already available in SierraChart for Activation

https://www.sierrachart.com/usercp.php?page=ExchangeDataFeedFeatures#SetBroker

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  #8 (permalink)
Elite Member
Hong Kong
 
Futures Experience: Intermediate
Platform: NinjaTrader, TWS
Broker/Data: IB/Kinetick
Favorite Futures: ES
 
Posts: 233 since Jan 2012
Thanks: 130 given, 306 received


code View Post
Richard, since you mentioned you are in Hong Kong, I am a bit curious why didn't you use a local broker? As far as I know, some local brokers offer free real time data feed as long as you open an account. Could you share why you still need a paid subscription?

Hi there.

Reason I do not use a local broker is that I use NinjaTrader with the Jigsaw order flow tools that needs unfiltered tick data. So using Kinetick for US CME data, with no access to HKFE yet. Been chasing NT but not holding my breath as we say.

The Sierra Chart with CQG looks like a possible solution, but will likely need to use the upcoming standalone Jigsaw DOM off the CQG data, but will need to test.

I can trade HSI Ok with IB's data feed, but as noted above, the snapshot data is not good enough for order flow. Attached is a short video showing what HSI looks like on IB data. Terrible. I have added callouts on video to show where large orders come in, but nothing appears on DOM often, so no use at all. But then do not even know what these 'large orders' mean, as if real it shows very aggressive hidden limit orders at work.

The Jigsaw tape at left is all trades, and ignore the bottom of 3 power meters which is linked to another tape that does not show anything different. The Jigsaw reconstruction does not work.

PS. Just read the Sierra release info and off to sign up.

Richard
Hong Kong
Attached Files
Jigsaw-HSI-and-IB-Data.mp4 (32.21 MB, 36 views)

Last edited by RichardHK; September 2nd, 2016 at 07:47 AM.
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  #9 (permalink)
Trading Apprentice
berlin germany
 
Futures Experience: Beginner
Platform: Ninjatrader
Favorite Futures: ES VIX
 
Posts: 24 since Jul 2016
Thanks: 12 given, 3 received


RichardHK View Post


Hi there.

Reason I do not use a local broker is that I use NinjaTrader with the Jigsaw order flow tools that needs unfiltered tick data. So using Kinetick for US CME data, with no access to HKFE yet. Been chasing NT but not holding my breath as we say.

The Sierra Chart with CQG looks like a possible solution, but will likely need to use the upcoming standalone Jigsaw DOM off the CQG data, but will need to test.

I can trade HSI Ok with IB's data feed, but as noted above, the snapshot data is not good enough for order flow. Attached is a short video showing what HSI looks like on IB data. Terrible. I have added callouts on video to show where large orders come in, but nothing appears on DOM often, so no use at all. But then do not even know what these 'large orders' mean, as if real it shows very aggressive hidden limit orders at work.

The Jigsaw tape at left is all trades, and ignore the bottom of 3 power meters which is linked to another tape that does not show anything different. The Jigsaw reconstruction does not work.

PS. Just read the Sierra release info and off to sign up.

Thanks Rich! I see. I hope to see your comments on SC after using it. The SC price $12.75/month is quite reasonable.

Hong Kong Futures Exchange: Price 5.25 USD/month.
Symbols: HKFE
Hong Kong Futures Exchange with Market Depth: Price 12.75 USD/month.
Symbols: HKFE

BTW, do you need Level II to drive the JigSaw?

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  #10 (permalink)
Elite Member
Hong Kong
 
Futures Experience: Intermediate
Platform: NinjaTrader, TWS
Broker/Data: IB/Kinetick
Favorite Futures: ES
 
Posts: 233 since Jan 2012
Thanks: 130 given, 306 received



code View Post
... ...BTW, do you need Level II to drive the JigSaw?

Thanks for your info.

I just signed up for Sierra but need to sort a broker out, and with Jigsaw it seems best to go with S5 although will review more.

Yes, do need level 2 with market depth and keen to see how good it is. My IB only shows 5 levels, and Kinetick 10.

Richard

Update: Stage5 cannot supply the HKFE symbols so no luck there. Plus, as I am in Hong Kong there are special conditions. Waiting to hear latest from Sierra Chart and fingers crossed I can use my IB account which will simplify things.

Richard
Hong Kong

Last edited by RichardHK; September 2nd, 2016 at 11:32 AM.
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