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

  #41 (permalink)
Trading for Fun
Germany
 
Futures Experience: Intermediate
Platform: SierraChart
Broker/Data: Velocity/TT
Favorite Futures: 6E,6B,YM
 
Posts: 54 since Jul 2009
Thanks: 6 given, 30 received

HI

does anybody with SC here has a chance to compare the TT-fix data/OEC data with DTN on bid x ask number bars ? For me TT an OEC and TA too, are quite different on the numbers and delta inside the range bar. They are showing a very different picture on who is entering/exiting the market at every level. But I rely on the information to determine a valid entry/exit.
thanks

Contract is 6EM0 and 6 point range bar

Attached Thumbnails
Volume Breakdown and Bid/Ask Difference studies-tt-6em0.png   Volume Breakdown and Bid/Ask Difference studies-oec-6em0.png  

Last edited by chrislb; May 13th, 2010 at 10:48 AM. Reason: Added contract name
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  #42 (permalink)
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chrislb View Post
HI

does anybody with SC here has a chance to compare the TT-fix data/OEC data with DTN on bid x ask number bars ? For me TT an OEC and TA too, are quite different on the numbers and delta inside the range bar. They are showing a very different picture on who is entering/exiting the market at every level. But I rely on the information to determine a valid entry/exit.
thanks

Contract is 6EM0 and 6 point range bar

chris,

Do you have TT-fix with SC now ? Is TA referring to TransAct ?

I only have SC/TransAct experience and the TransAct side is making me to consider switching to NT7/Zen-Fire/DTN-IQFeed. My orders don't go through on TransAct on some of my live trading sessions and that has had a negative effect on my experience with TransAct; and TransAct says it is the volatility nature of 6E that is responsible.

Lolu

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  #43 (permalink)
Trading for Fun
Germany
 
Futures Experience: Intermediate
Platform: SierraChart
Broker/Data: Velocity/TT
Favorite Futures: 6E,6B,YM
 
Posts: 54 since Jul 2009
Thanks: 6 given, 30 received


lolu

yes, TT-fix data feed with SC is working now through Velocity for me. I asked for a test feed, which should be the same as live, as I was told. Trading will be added soon, but I have to test that too.
I am just not sure how accurate the bid x ask data is, because TransAct and OEC looks very different to TT. But I don't want to subscribe to DTN, just to compare how close TT is to DTN.
I compared Zenfire/TT/DTN last year with NT 6.5, and they all where different, but not as much as OEC as you can see on my two charts.

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  #44 (permalink)
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chrislb View Post
lolu

yes, TT-fix data feed with SC is working now through Velocity for me. I asked for a test feed, which should be the same as live, as I was told. Trading will be added soon, but I have to test that too.
I am just not sure how accurate the bid x ask data is, because TransAct and OEC looks very different to TT. But I don't want to subscribe to DTN, just to compare how close TT is to DTN.
I compared Zenfire/TT/DTN last year with NT 6.5, and they all where different, but not as much as OEC as you can see on my two charts.

I'll want to request for a test feed too from Velocity. How do I go about it ? Are you aware of the Velocity's fees/charges for the TT-fix for SC. If I want to sign-on for a live account with Velocity using SC, is TT-fix all I need to subscribe to and use to trade on SC ?

Lolu

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  #45 (permalink)
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lolu View Post
Are you aware of the Velocity's fees/charges for the TT-fix for SC


TT-Fix 6E

Level 1: 0-2499 per side
$2.26 USD rt $4.52 USD

Check the homepage. I think it is one with the best information for commission /margin I know. I have an account and just asked for a TT-Fix test and filled the trade settings in SC.
The only thing is you have to set the server adress in SC to the host.port address from TT like
Quoting 
xx.xx.xx.119:10502

Form SC
Quoting 
Trading is not supported yet, but it is planned. It probably won't be supported for another couple weeks though.

chris

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  #46 (permalink)
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chrislb View Post

TT-Fix 6E

Level 1: 0-2499 per side
$2.26 USD rt $4.52 USD

Check the homepage. I think it is one with the best information for commission /margin I know. I have an account and just asked for a TT-Fix test and filled the trade settings in SC.
The only thing is you have to set the server adress in SC to the host.port address from TT like Form SC chris

So, how do you place and execute your trade orders now, since you cannot trade using SC ?

Lolu

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  #47 (permalink)
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Platform: SierraChart
Broker/Data: Velocity/TT
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Posts: 54 since Jul 2009
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As I mentioned before: Till I am CP I am on sim. So that would hopefully coincide with the trading feature.

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  #48 (permalink)
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chrislb View Post
HI

does anybody with SC here has a chance to compare the TT-fix data/OEC data with DTN on bid x ask number bars ? For me TT an OEC and TA too, are quite different on the numbers and delta inside the range bar. They are showing a very different picture on who is entering/exiting the market at every level. But I rely on the information to determine a valid entry/exit.
thanks

Contract is 6EM0 and 6 point range bar


Hi chrislb, what i see here is that u don't use the real delta bars, (here is how to get delta bars), btw I think SC historical backfil is not so accurate cos it does not provide time and sales with bid ask volume, and think this is the prob, OEC is not accurate too.
What I would to know is fi TT-fix provides historical bid ask and if yes does SC able to pass this to calculate Delta bars? I do not undertand this point if SC can only provide real bid ask volume in real time. If this is true is a big problem, cos we would be at the same point of NT that is run it always to store bid ask value.

Luke.

Take your Pips, go out and Live.
Luke.
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  #49 (permalink)
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chrislb View Post
lolu

yes, TT-fix data feed with SC is working now through Velocity for me. I asked for a test feed, which should be the same as live, as I was told. Trading will be added soon, but I have to test that too.
I am just not sure how accurate the bid x ask data is, because TransAct and OEC looks very different to TT. But I don't want to subscribe to DTN, just to compare how close TT is to DTN.
I compared Zenfire/TT/DTN last year with NT 6.5, and they all where different, but not as much as OEC as you can see on my two charts.

Chris -- hello again. I have not been following all the talk about the new services, but I can tell you that I use DTN and haven't found anything better. I think the Fulcrum dude said something similar. If you want to pick a time, chart type I'll post my DTN output and you can post yours to compare if that helps. However, I test everything I use, and I've looked at Steenbarger's charts and replicated his output with my DTN feed (he is using Mkt Delta, but not sure of the feed -- just that it's pro-grade I'm sure). I use DTN and IB to execute, though I have not linked Sierra & IB (I just look for signals and enter them directly into IB TWS). When I have time I'll try direct linkage. IB seems quite good with their commission schedule. If you're averse to using them I'd like to know why, as there seems to be some debate re: IB. Let me know if I can help. Cheers, -- S

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  #50 (permalink)
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Platform: Investor RT Pro, NT 7.0
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One more time just to be exceptionally clear, if you are are going to attempt ANY type of BID/ASK differential work (Cumulative Delta, GomCD, GomLadder, OrderFlowAnalytics software, Volume Breakdown tools in Inv RT or MarketDelta, etc) you MUST use a proper data feed such as DTN.IQ feed. You will never in present form get ANY broker supplied data feed to provide you with "clean" BID/ASK data. Many of the broker supplied data feeds (Rithmic, Zenfire, TT Fix, Transact, OEC, etc) can't even send you all the trades in exact sequence let alone provide a tick factory verified and properly formated BID/ASK data flow.......so imo, stop wasting your time trying to get broker supplied data feeds to do BID/ASK differential work.

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