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Volume Breakdown and Bid/Ask Difference studies
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Volume Breakdown and Bid/Ask Difference studies

  #21 (permalink)
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FulcrumTrader View Post
OK.....just wanted to let you know that Transact feed is unusable for proper BID/ASK differential work of any kind. The ONLY feed I am using at this time for all my BID/ASK differential work is DTN.IQ feed. I have tracked and used Cumulative Delta now for over 7 years and at this time all the various broker supplied feeds are all showing data losses (as compared to DTN.IQ feed which has been verified against a high end professional feed). The following feeds are all showing consistent data loss problems for BID/ASK differential uses;

OEC
Transact
Zenfire/Rithmic
TT Fix Adapter (can work, but only with very robust hardware/software)
IB (complete junk "snapshot" data)
Tradestation (timestamps are a mess, etc, etc, etc....LOL!)

I don't even use Esignal either.....have no clue why they even at times can't match DTN.IQ feed daily runs of BID/ASK data. CQG feeds is usable so that is also an option.

DTN.IQ put a lot of money into their data feed infrastructure last year ahead of the CME data output increases on October 5th, 2009. The CME data feed "per unit of time increase" changes really caused a lot of problems for all these various feeds that I have mentioned with problems. Fortunately for those dependent on clean BID/ASK differential data, DTN.IQ is working out exceptionally well as I continue to watch it like a hawk.

FulcrumTrader,

I signed-on a demo for IQFeed, to use it with SierraChart but the demo seems to be a "paid for" demo, which I don't like and therefore could not conclude their demo sign-on. There are six steps you'll go through to sign-on a demo. I don't want to pay for a demo. I'm aware of the robustness of SierraChart/IQFeed combination and intends to pursue that direction in the shortest time feasible. I currently use SierraChart ONLY for my charting.

My LIVE account with TransActFutures is on the TransActAT platform, which I only use for my order entries/placement. Have a look at this. InfinityAT platform is exactly the same as TransActAT platform, and InfinityFutures is a subsidiary of TransActFutures. You will note from this web link that SierraChart/IQFeed combination is available too. It even seems that IQFeed is indicating in this web link that InfinityAT data-feed is IQFeed; if this is the case, then the TransActAT platform gets its data-feed from IQFeed (I'll need to confirm this).

I deliberately decided to subscribe to SierraChart with the view that I can have SierraChart/IQFeed combination whenever I choose to, but still retaining the TransActAT platform for my order entries/placement. TransActFutures is not involved in my subscription with SierraChart; I can change my data-feed provider for my charting software whenever I want, although I'll need to accommodate an additional cost for the IQFeed data-feed. Infact, TransAct agreed that I can pursue this option right now. So, I'll definitely opt for SierraChart/IQFeed very soon.

Meanwhile, in the case that the SierraChart/TransAct data-feed is confirmed to be "unusable for proper BID/ASK differential work of any kind", I have other trading setups such as my Rainbow chartbook, which I can use as mentioned in my Trading Diary.

Lolu

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  #22 (permalink)
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zikonc View Post
Hi FulcrumTrader........I was wondering if you can elaborate what sort of data discrepancy you found when comparing different data feeds to DTN.IQ........are we talking black and white or shades of gray.........

Substantial black & white differences. Even recently the TradeVec crew decided to go the DTN.IQ route for powering their own Cumulative Delta volume studies, they found out how unusable broker supplied feeds were for BID/ASK differential work.

There is a very big structural difference between a DTN.IQ feed who has ticker plants with historical BID/ASK data available for your use, and a broker supplied feed that was never intended for BID/ASK differential work (and no ticker plant managing the feed as received from the exchange). In addition, DTN feed has very efficient formating of their data which is great for those into working with the data for more in depth work.

I just wanted to pass this information on to you all here so you don't take Delta based trade set ups off incomplete BID/ASK differential data intraday.

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  #23 (permalink)
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lolu View Post
FulcrumTrader,

I signed-on a demo for IQFeed, to use it with SierraChart but the demo seems to be a "paid for" demo, which I don't like and therefore could not conclude their demo sign-on. There are six steps you'll go through to sign-on a demo. I don't want to pay for a demo. I'm aware of the robustness of SierraChart/IQFeed combination and intends to pursue that direction in the shortest time feasible. I currently use SierraChart ONLY for my charting.

My LIVE account with TransActFutures is on the TransActAT platform, which I only use for my order entries/placement. Have a look at this. InfinityAT platform is exactly the same as TransActAT platform, and InfinityFutures is a subsidiary of TransActFutures. You will note from this web link that SierraChart/IQFeed combination is available too. It even seems that IQFeed is indicating in this web link that InfinityAT data-feed is IQFeed; if this is the case, then the TransActAT platform gets its data-feed from IQFeed (I'll need to confirm this).

I deliberately decided to subscribe to SierraChart with the view that I can have SierraChart/IQFeed combination whenever I choose to, but still retaining the TransActAT platform for my order entries/placement. TransActFutures is not involved in my subscription with SierraChart; I can change my data-feed provider for my charting software whenever I want, although I'll need to accommodate an additional cost for the IQFeed data-feed. Infact, TransAct agreed that I can pursue this option right now. So, I'll definitely opt for SierraChart/IQFeed very soon.

Meanwhile, in the case that the SierraChart/TransAct data-feed is confirmed to be "unusable for proper BID/ASK differential work of any kind", I have other trading setups such as my Rainbow chartbook, which I can use as mentioned in my Trading Diary.

Lolu

Yes sir, I am very familiar with Transact (Bill Zimmerman) FCM and Infinity IB using the AT platform. It makes total sense for you to use the AT platform for your order routing and then use SC with DTN.IQ feed for your charting work (and then know you have proper BID/ASK data).

BTW, an added benefit of DTN.IQ feed is the new "1 second NYSE TICK" data they have now for very close to realtime tracking of the BUY & SELL program activity in the NYSE!

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  #24 (permalink)
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FulcrumTrader View Post

There is a very big structural difference between a DTN.IQ feed who has ticker plants with historical BID/ASK data available for your use, .......

2 weeks ago i was told by DTN.IQ account rep that they do not store historical bid/ask data but they are looking into adding this field in their historical database in the near future.......I also found out that while demoing their feed they had me on some sort of simulator feed not a real feed ..... at that point I saw no reason to continue pursuing their service.......I'll try to speak with someone else just to make sure I am not making a mistake about them.......do you mind sharing your contact's info at DTN.IQ?...........

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  #25 (permalink)
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I know, it is getting off topic, but since the T4 platform is offered by SC, does someone have experience with that platform, specially because they offer a mobile/web based platform.
What about the reliability of the bid/ask data ? Haven't tested it myself, because comparing it to the TA feed doesn't make sense to me. I have the DTN feed not running right now, to compare to. (I know the quality of DTN, because I run MD and NT6.5 with that feed)

chris

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  #26 (permalink)
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zikonc View Post
2 weeks ago i was told by DTN.IQ account rep that they do not store historical bid/ask data but they are looking into adding this field in their historical database in the near future.......I also found out that while demoing their feed they had me on some sort of simulator feed not a real feed ..... at that point I saw no reason to continue pursuing their service.......I'll try to speak with someone else just to make sure I am not making a mistake about them.......do you mind sharing your contact's info at DTN.IQ?...........

WOW....you must have talked to their one and only new hire....LOL!

I personally download 4 weeks of historical BID/ASK data to my charts every morning before the cash session market open......very simple task. Also, many demos of feeds (like Zenfire for instance) are usually not the main feed but a lower tier demo feed.....I have NO IDEA why they do this, makes no good sense to me.


Contact at DTN.IQ that will set you straight............. jeff.bargmann@dtn.com (800-511-0096 ext.8271) or you can always talk to Jay Froscheiser Director, Active Trader Products and Sales (800-485-4000 ext. 2816).

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  #27 (permalink)
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I also use DTN; it rocks. There have been numerous reports of barcharts dropping data at points in time, as well as the fact that they don't supply historical bid/ask data which is a hassle if you take a vaca. DTN most definitely supplies historical bid/ask data, Fulcrum is correct, I also deal with Jeff Bargman, nice guy. Cheers.

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  #28 (permalink)
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Cool lolu, thanks man. Yeah I think I'm now settled on my at-home setup. No worries on the dll's, it's easy to build from the cpp. Did you get the pdf I sent you? Hope it was helpful; its a good springboard to get the creative juices flowing. Best -- S

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  #29 (permalink)
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opening 6E,BidASk Histo,DYVolumeBreakdown

Hello,I dont seem to be able to import these files to Ninja(6.5) .They download to "downloads' but arent showing up in the 'browse' when I go to import to NT.IS this area something that requires FileCure from msft before application or import please?

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  #30 (permalink)
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laredo78676 View Post
Hello,I dont seem to be able to import these files to Ninja(6.5) .They download to "downloads' but arent showing up in the 'browse' when I go to import to NT.IS this area something that requires FileCure from msft before application or import please?

These are SierraChart studies and NOT NinjaTrader indicators.

This thread is only dedicated to SierraChart.

Lolu

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