Site Administrator Swing Trader Data Scientist & DevOps
Manta, Ecuador
Experience: Advanced
Platform: My own custom solution
Trading: Emini Futures
Posts: 49,785 since Jun 2009
Thanks: 32,313 given,
97,573
received
Hey guys, @SierraChart will be joining us again, along with friends from Velocity Futures, to give a more advanced review of their platform and show off some of the more advanced capabilities, as well as answer all of your questions.
The webinar will be Thursday Sept 15th @ 4:30PM Eastern US.
For those in the webinar with all the Cumulative Delta questions -------> ONLY use DTN.IQ feed for your SC for ANY Cumulative Delta tools you are using. Broker supplied data feeds are to be used for your order routing....NOT for tracking the Delta (broker supplied data feeds are not workable for reliable Delta tracking).
There is at least one caveat to your proclamation: CTS data is pristine. That is, it is equally accurate to that of IQFeed. Sierra Chart doesn't hesitate to recommend CTS data for CDV studies as well. Sadly, CTS's Eurex connection is an exception to the rule. IQFeed certainly has them beat in the Eurex realm.
I wil try here to do an analysis and comparation on different data feeds and platforms to perfom studies involving bid/ask data, like comulative bid/ask difference or delta bars and footprint like.
Tested against Bloomberg feed, DTN.IQ feed is the only one that matches for BID/ASK daily runs of data. I have tracked Cumulative Delta for over 8 years now and have been involved with over 100 Cumulative Delta based traders who have also done their own due diligence. To this point, we can't find a fully reliable broker supplied data feed to trade the various futures markets (to include Eurex) which matches the reliability of DTN.IQ feed (for BID/ASK data specifically).
We also get up to 30 days of clean historical BID/ASK data with DTN.IQ feed which is crucial for tracking ongoing open interest. All the reasons why I highlight the fact traders must realize tracking Delta needs a proper feed (to have fully accurate Cumulative Delta plots).
regarding your Posts from yesterday link 4 and link 8, i canīt believe what you say
but iīm not sure.
Are you agree with me, that bid/ask data be calculated/based on Times&Sales-data and
the CumDelta was the Result from matching these bid/ask-data like
(sell-order-volume at bid minus buy-order-volume at ask) right ?
If that true, that means, Ninjatrader/Zen Fire Datafeed (new Serverīs) if i watch the T&S Window, that these Dataīs are not working acurrate useable for bid/ask-data
because of your 8-year-old experience for CumDelta-Tracking only useable DTN IQ-feed?
Having said that in sum the very fast new ZenFire datafeed 64bit is OK for PriceAktion
printing on Chartsbut for bid/ask-data for trading with any CumDelta Indicators
it was not useable !
So, what i can do now ? use DTN IQ-feed for CumDelta tracking and for my PriceCharts ZenFire
is good enough ?
I wil try here to do an analysis and comparation on different data feeds and platforms to perfom studies involving bid/ask data, like comulative bid/ask difference or delta bars and footprint like.