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

  #21 (permalink)
Elite Member
UK
 
Futures Experience: Intermediate
Platform: Ninja
Broker/Data: Mirus/Zen
Favorite Futures: Futures - bonds, currencies, index
 
Posts: 288 since Oct 2010
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You're comparing slightly different things. Level 1 will just tell you the new bid/ask and volume. Level 2 will do bid/ask insert/remove/update. I'm not sure why you see more in level 1. You'd need to pull a section out of each and compare.

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  #22 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
Hartford, CT. USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: AMP/CQG, Kinetick
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Xeno View Post
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


Is this replay or live???

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  #23 (permalink)
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This was live. ZF told me "it's the internet" which I didn't buy. So when the replay file was available, I checked and they were missing there too.

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  #24 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
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Xeno View Post
This was live. ZF told me "it's the internet" which I didn't buy. So when the replay file was available, I checked and they were missing there too.


If this is true and zenfire matched replay, then this was not a fair test. Unless NT has just updated replay, the zenfire feed for the test may have been conducted with the zenfire crap feed, not the newer better feed.

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  #25 (permalink)
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I was connected to the newer feed when I did the live compare. I see your point about the replay feed, but whichever feed replay uses, it can't really be coincidence that the same four were missing from my new feed and whichever one replay used.


Last edited by Xeno; November 18th, 2010 at 07:28 PM.
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