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Quality of the data from replay NT7 server
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Quality of the data from replay NT7 server

  #11 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
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amethyste View Post
I work on the replay data from NT7 and I find strange issue!

When I count the number of BID/ASK data in MarketData (L1 without trades) and MarketDepth(L2 at level 0) I find more (15%) data in L1 than L2 !!

The data are not in the same order !

----

I want construct the L2 with trades and verify if the data from the market replay are poor or good .

Hi, amethyste,

NT is still using the CRAP ZenFire feed to record the replay data.

Also, level 2 is only about supply. Level 1 records supply plus transaction updates.

Just a guess, I reserve the right to be wrong!!!

RJay

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  #12 (permalink)
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RJay View Post
Hi, amethyste,

NT is still using the CRAP ZenFire feed to record the replay data.
..............................

RJay

Now that they changed the connection to the rigth server Zen-Fire data is good, and I guess the last weeks of replay data should be the same.
Don't think I got what @amethyste said.

Take your Pips, go out and Live.
Luke.
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  #13 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
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LukeGeniol View Post
Now that they changed the connection to the rigth server Zen-Fire data is good, and I guess the last weeks of replay data should be the same.
Don't think I got what @amethyste said.


Market replay Data - NinjaTrader Support Forum

Posts #10 & #11.

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  #14 (permalink)
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Market replay using Zenfire data


RJay View Post
NT is still using the CRAP ZenFire feed to record the replay data.

]Market replay Data - NinjaTrader Support Forum

Posts #10 & #11.

RJay,

So if the replay data from Zenfire is not acceptable for your purposes, do you recommend recording live data using a different datafeed?

What types of problems are you seeing with Zenfire that make it unreliable for market replay with NT7?

Marqui

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  #15 (permalink)
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Marqui View Post
RJay,

So if the replay data from Zenfire is not acceptable for your purposes, do you recommend recording live data using a different datafeed?

What types of problems are you seeing with Zenfire that make it unreliable for market replay with NT7?

Marqui

Marqui,

I am making good use of this new to NT7 feature.

I use market replay for hot volume indicator development. It reduces the testing time significantly.

NT is looking into switching over to the better ZenFire feed at some point.

What NT is currently providing is good enough for me for now. I always final test stuff with a live feed anyway.

Recording live feed is an option, but not necessary for me.

The old feed does not update the price and volume of contracts waiting at bid and at ask as often as the new feed.

This results in incorrect assignment of transacted orders when determining whether it was a sell order or a buy order.

If you are not splitting the volume by bid and ask, The old feed should be just fine.

RJay

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  #16 (permalink)
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Thanks RJay,

I understand where you are coming from now. I jumped to the conclusion that the ZenFire feed was not suitable, when it is only the replay data from the OLD server that has limited usability for your offline testing. The live feed itself is fine.

FYI, I do not split the bid and ask volume so it is not an issue in my trading. I already have enough of those!

Marqui

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  #17 (permalink)
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I agree with rjay... I did some testing... and I was really excited about rithmic.. but you have to understand that its not rithmic or your broker supplying the replay data, its ninja...
So your still better off with a quality feed like dtn or even kinetick...

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  #18 (permalink)
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I count the number of data from MarketData (without last, only bid.ask) and MarketDataDepth (only best bid.ask - position 0)

The 2010-11-16 with FDAX-2010-12

L1 - MarketData => 724,634 price changes
L2 - MarketDataDepth => 693,212 price changes

there are not the same number of datas and I can't cross the two stream because there are not in the same order !!

What's the good stream ?

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  #19 (permalink)
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A few comments. If all you want is bid/ask/trades - level 1 will do fine for you. The reason level 1 has more records is that it includes trades.

The replay files are seperate for levels 1 + 2. On replay they are synced to the nearest second, so doing analysis of them both will get messy. I believe it's on the Ninja wish list to sync intra second.

Lastly, the Zen Fire data is very good on the whole, but I have observed DTN IQFeed to be better. Here's a recent example below for 6E 12-10. These are trades as they came in live (and a record of whether they were at the bid or ask) The missing ticks are also missing from the replay file on Ninja's servers, which proves my internet connection didn't miss them. (Of course, maybe they're extra trades in IQFeed - if someone wants to check....)


All times GMT
>>>>>
>>>>>
>>>>> Zen Fire
>>>>>
>>>>> 12/11/2010 18:35:39 BID 1.3687 vol = 1
>>>>> 12/11/2010 18:35:42 BID 1.3687 vol = 2
>>>>> 12/11/2010 18:35:46 ASK 1.3688 vol = 1
>>>>> 12/11/2010 18:35:53 BID 1.3687 vol = 1
>>>>> 12/11/2010 18:35:53 BID 1.3687 vol = 1
>>>>>
>>>>> iqfeed
>>>>>
>>>>> 12/11/2010 18:35:39 BID 1.3687 vol = 1
>>>>> 12/11/2010 18:35:42 BID 1.3687 vol = 2
>>>>> 12/11/2010 18:35:42 BID 1.3687 vol = 2
>>>>> 12/11/2010 18:35:42 BID 1.3687 vol = 1
>>>>> 12/11/2010 18:35:42 BID 1.3687 vol = 1
>>>>> 12/11/2010 18:35:42 BID 1.3687 vol = 1
>>>>> 12/11/2010 18:35:46 ASK 1.3688 vol = 1
>>>>> 12/11/2010 18:35:53 BID 1.3687 vol = 1
>>>>> 12/11/2010 18:35:53 BID 1.3687 vol = 1

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  #20 (permalink)
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Thanks xeno, I think record DTN feed !

In my sample I compare
Best bid/ask from L2 and L1 without trades, normally the same stream.

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