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

  #1 (permalink)
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Quality of the data from replay NT7 server

Hi,

I construct an strategy on the replay data from NT7 server, but I can't find information on the source of the datas ?

It's good or bad data for backtesting ?

It's better to register data in live from IB, zenfire or other feeds ?

Thanks


Last edited by Big Mike; November 10th, 2010 at 06:32 AM. Reason: moved to data feeds
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  #2 (permalink)
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  #3 (permalink)
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amethyste View Post
Hi,

I construct an strategy on the replay data from NT7 server, but I can't find information on the source of the datas ?

It's good or bad data for backtesting ?

It's better to register data in live from IB, zenfire or other feeds ?

Thanks

Hi,

NinjaTrader's backfill comes from Zen Fire and in general can be considered "excellent". For more robust needs, IQfeed is the undisputed champion of data in the retail space.

Mike

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  #4 (permalink)
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Thanks Mike.

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amethyste View Post
Hi,

I construct an strategy on the replay data from NT7 server, but I can't find information on the source of the datas ?

It's good or bad data for backtesting ?

It's better to register data in live from IB, zenfire or other feeds ?

Thanks

BTW, I just re-read your post. Let's clarify a few things.

"Market Replay" is not used for "Backtesting" (not automated backtesting at least). The market replay data is still Zen Fire data, and is good, but it is completely separate engine and cannot be used for backtesting.

Backfill is what is used for backtesting (not replay), and comes from Zen Fire and is great quality (more or less).

So if you want to know about Market Replay, just don't confuse it with backtesting. But either way, the answer is similar.

Your last question, is it better to save data live from feeds --- definitely NOT from IB, their data is bad to say the least, but as for saving it live from IQfeed or Zen Fire, yes you can do this but it is not really "better", you likely will have holes or anomalies that have to be reconciled with the backfill server anyway when reloading the chart.

Mike

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2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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  #6 (permalink)
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Big Mike View Post
...
Your last question, is it better to save data live from feeds --- definitely NOT from IB, their data is bad to say the least, ...

What does bad data mean ? If i look at a minute chart would the same bars from different providers have different OHLC ?

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The OHLC minute data would likely be the same, its the volume data especially the volume-at-bid/ask data, and tick data, that is likely to be incomplete or poor quality on broker feeds. Interactive Brokers data feed is by all accounts is among the worst quality in these respects, and DTN IQfeed by all accounts is among the best.

Zen-fire used to have problems but the data may be of higher quality now than it was in the past since there have been some changes made to the latest edition of NT and the way it connects to Zen-fire. The quality of Zen-fire data may also depend on the broker you're getting it from and whether or not they filter (which basicly means to drop some of) the data. Its not entirely clear to me which brokers offer unfiltered (higher quality) Zen-fire data and which don't.


trendisyourfriend View Post
What does bad data mean ? If i look at a minute chart would the same bars from different providers have different OHLC ?


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  #8 (permalink)
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I think i posted in detail the differences between a few brokers in another thread titled comparison of data feeds.. why don't you check that out

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  #9 (permalink)
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Every serious trader should be saving data live, day-to-day. This is doable with NT.

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  #10 (permalink)
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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 .

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