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Volume Breakdown and Bid/Ask Difference studies


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Volume Breakdown and Bid/Ask Difference studies

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  #1 (permalink)
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This is a chartbook showing the Volume Breakdown (VB) study and the Bid and Ask Difference (BAD) study in the lower panels. The Bid and Ask volume are the numbers on each bar. I use these studies in all my Chartbook/Studies Collection (see my Trading Diary thread).

I'm unable to attach the VB and BAD studies because the futures.io (formerly BMT) Upload process rejects the file types. The file types are with DLL and CPP extensions (e. g. BidAskHistogram.dll, BidAskHistogram.cpp). SierraChart has a tool to build the DLL from CPP. So, if futures.io (formerly BMT) Upload process will allow at least CPP file type, SierraChart futures.io (formerly BMT) forum members can build the DLL. Sometimes, it is only the DLL study that are available, so, if DLL types are not allowed by the futures.io (formerly BMT) Upload process, forum members may not be able to have the DLLs. Mike should be in the position to resolve this.

Lolu

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I've allowed the .cpp (C++) extension, you can upload it now. Am skeptical on allowing DLL's, can be very dangerous to blindly run code you cannot view the source of.

Mike

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  #4 (permalink)
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Mike, thanks for your extremely prompt action to allow the CPP file types in the Upload process.

I have now attached the Volume Breakdown and the Bid/Ask Difference studies.

Lolu

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  #5 (permalink)
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Hi lolu

this is an alternative to show volume breakdown. It is just the standard bid volume / ask volume study. If the cumulative volume breakdown, I added for comparison, shows more information depends on what you like.

chris

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chrislb View Post
Hi lolu

this is an alternative to show volume breakdown. It is just the standard bid volume / ask volume study. If the cumulative volume breakdown, I added for comparison, shows more information depends on what you like.

chris

chris,

I notice that you have the Volume Breakdown Chart and Ladder (Volume By Price) studies in your setup. Is the Volume Breakdown Chart the same as the DY Volume Breakdown Chart, which I already have; in any case, could you post the Ladder and Volume Breakdown Chart studies (in cpp format), and your 6E 6rng chartbook shown in your post 5.

Lolu

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  #7 (permalink)
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lolu View Post
Is the Volume Breakdown Chart the same as the DY Volume Breakdown Chart Lolu

Yes.

I post my 6E chartbook, which should contain the whole stuff, as far as I know.

I agree with you on the amount of the indicators (as you mentioned on the other thread), I want to have on my chart. But I haven't decided finally , which one gives me the best reference to the overall picture I use, and shows the developing end of a valid pullback.
So for the time being, there are more on my charts, then I want to have some time.

chris

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Big Mike View Post
I've allowed the .cpp (C++) extension, you can upload it now. Am skeptical on allowing DLL's, can be very dangerous to blindly run code you cannot view the source of.

Mike

SC user can always compile cpp file into DLL file took about 3 clicks to do it.

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  #9 (permalink)
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cory View Post
SC user can always compile cpp file into DLL file took about 3 clicks to do it.

Yeah, but some studies are ONLY available in DLL file type. I agree with Mike, that DLLs are dangerous species. We'll make do with the CPP file type.

Lolu

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chrislb View Post
Yes.

I post my 6E chartbook, which should contain the whole stuff, as far as I know.

I agree with you on the amount of the indicators (as you mentioned on the other thread), I want to have on my chart. But I haven't decided finally , which one gives me the best reference to the overall picture I use, and shows the developing end of a valid pullback.
So for the time being, there are more on my charts, then I want to have some time.

chris

chris,

I got this message on SC when I opened the 6e.cht you posted.

Is there a new upgrade for SC that is required to load the chartbook ? I have version 580/package 5 (which is the highest pack) of SC subscription.

Lolu

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  #11 (permalink)
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I use version 589. So you should download new prerelease version.
I also updated my chartbook, because not shure if it was saved.

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  #12 (permalink)
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chrislb View Post
I use version 589. So you should download new prerelease version.
I also updated my chartbook, because not shure if it was saved.

Is 589 not still in Beta ? SC calls beta, pre-release, I want to believe.

Lolu

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Thanks Chris & Lolu for the re-directs. I'm in same boat as Chris in deciding on an optimal Sierra layout (hopefully that will replicate my previous office platform) and it's a bit of a pain, esp. as on Sierra forum there's little consistancy on terminology ('cumulative bid-ask' means the net of a period's Ask-Bid Volume -- what I had heretofore called 'Delta' -- and at other times means the day's running total of this number). Anyway, here's another possible layout I'm trying to implement (if you like numbers) as it saves screen space. Let me know if you have any ideas. I'll ask Admin, but probably will have to use Workbook. Cheers. Oh yeah, Chris in your screenshot -- I think it was post 5 -- are the white bars meant to track the range of the period's AskVol-BidVol? They look symmetrical. Thanks.

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Just curious.....what feed are you all using with your SC charting for BID/ASK differential work?


TIA!

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lolu View Post
Is 589 not still in Beta ? SC calls beta, pre-release, I want to believe.

I always use the latest version, and except one time, when they had overwritten the sierra.cfg file, I never had problems.


Quoting 
Oh yeah, Chris in your screenshot -- I think it was post 5 -- are the white bars meant to track the range of the period's AskVol-BidVol? They look symmetrical. Thanks.

The white lines are ask/bid volume overlayed by delta with the "BidVolume vs. AskVolume" study. They are not symmetrical, it just might look like, but as you know the delta compared to the ask/bid volume is small, so it is a matter of scale.


Quoting 
Just curious.....what feed are you all using with your SC charting for BID/ASK differential work?

For the time being I have to use TA feed, which after comparing to MD at the EL blog, is pretty close, but it seems to me, the demo feed is aggregated. But I hope that I can use the TT feed in the near future, SC promised to implement it hopefully in April.

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chrislb View Post
I always use the latest version, and except one time, when they had overwritten the sierra.cfg file, I never had problems.

chris,

I'm on a LIVE account with TransAct, so I'll want to stick to version 580 until SC pronounces 589 stable.

Does version 589 have a process of saving chartbooks to version 580 (or lower) format ? If Yes, could you do this to the 6e.cht and re-post it.

Lolu

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FulcrumTrader View Post
Just curious.....what feed are you all using with your SC charting for BID/ASK differential work?


TIA!

See post #1 of My Trading Diary.

TransAct has three modes of accounts, viz, Demo Mode, Simulated Live, and Live Mode. The Simulated Live and Live Mode have the same data-feed server(s). I have a Live account and was also setup for the Simulated Live account (for SIM-trading) both on only one account. The Demo Mode may have a different data-feed server(s). All the servers could be in the same Data Center, but the server(s) for the Live modes would be given a higher priority in service delivery.

Lolu

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lolu View Post
chris,

I'm on a LIVE account with TransAct, so I'll want to stick to version 580 until SC pronounces 589 stable.
Lolu

You can add another instance of SC by creating a copy of the SC folder, then you update, and start SC from there. So you can test the new version independent from your live version. Check on the SC support board.

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lolu View Post
See post #1 of My Trading Diary.

TransAct has three modes of accounts, viz, Demo Mode, Simulated Live, and Live Mode. The Simulated Live and Live Mode have the same data-feed server(s). I have a Live account and was also setup for the Simulated Live account (for SIM-trading) both on only one account. The Demo Mode may have a different data-feed server(s). All the servers could be in the same Data Center, but the server(s) for the Live modes would be given a higher priority in service delivery.

Lolu

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.

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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.........

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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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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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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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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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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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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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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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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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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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Hi chris.. thank you for your contribution.... I am thinking moving away from ninja soon, but im am hooked to Gom volume ladder, specially the COT that displays on the top and bottom of the bar.... I don't know anything about programming, but do you think it would be possible to import that to sierra charts(the COT). Also, is there a Vwap study on sierra charts.
If i can use my indicators on sierra, ill move in a flash. I constantly have problems with it. Im just addicted to the Gom indicators.
Thanks

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the coin hunter
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yes on wvap, since SC already stores b/a data all you have to do is supplying them with the COT calculation and ask them to program it in, depending on the work complexity they will ask for a fee most of time 50 bucks or less.

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is the vwap indicator native to the application, or do i have to buy it. Is it possible for you to upload the file if its not?
Thanks
btw, who do i supply the COT information to?

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Michael

all charts and indicators here and in the other SC thread are done without extra programming, they are all included. If you invest some work, you get pretty close to MD with the volume/delta stuff. And as cory mentioned, no hassle with historical bid/ask data. You only need to purchase SC package No.5. And because you can do it on a monthly basis after the test, there is no risk. I never look back to NT.

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Michael.H View Post
is the vwap indicator native to the application, or do i have to buy it. Is it possible for you to upload the file if its not?
Thanks
btw, who do i supply the COT information to?

- here is the code

- just post the COT calculation at support forum asking admin to program it and how much it costs. If it looks interesting enough somebody will do it for free.

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Hello,
This is my first post, I use volume analisys for trading on NT with Gom indicators.
This thread pushed me to try SC cos of the pros. of backfill it provides, and the low cost.
So I compared the 2 platform, NT with Zen-Fire as data feed and SC with OEC data feed and SC historical backfill. I found differences and discrepancies in the calculation of delta bars and in the footprint chart too.
I compared GomCD with VolumeBreakdown on Market Delta, and they are the same, so I assume that GomCD calculation is correct, and I compare the Zen-Fire volume at price with that provides from CME and the are the same, so I assume that Zen-Fire provides the right volume data, and may the bid ask quote too.
Don't know if delta bars calculation on SC is correct and may the OEC data and/or SC backfill are not correct.
Now to understand if SC works good and if Zen-Fire provides the rigth data should be using both with the same datafeed like DTN iqfeed as Fulcumtrader and othors told that are the best and may the only reliable.
However, as simplicity of use and, as analysis and graphical view, NT is much higher.
Lubo.
I attach some charts of 6E of monday 26 April, my Time zone is GMT + 1 (now GTM+2 cos light saving), if FulcumTrader could provide the same chart with Investor RT and DTN we can try to compare the different chart and data feed.
Thanks.
Luke.

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luke, can you upload the chart book, I want to see if I get the same result, my data feed is also OEC.

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cory View Post
luke, can you upload the chart book, I want to see if I get the same result, my data feed is also OEC.

Sure. this is.

Luke.

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mine is dif from yours, so we have 3 diff charts.

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mine is dif from yours, so we have 3 diff charts.

No it's the same, download my picture and u will see that the delta bars are the same, I think the difference from 0 line is caused by the different TimeZone.

Luke.

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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

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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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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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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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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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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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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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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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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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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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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

smak,
maybe you could post a 6EMO.scid file from DTN feed as zip for just a couple of days. Intraday data storage time unit should be set to 1 tick. Thanks for your help. This would show me, how far off TT-fix is compared to DTN.
Thanks for your help.
chris

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i think that this has been done to death...
Basically, if you use time charts only(not tick,volume...etc.) AND/OR DONT use bid/ask study's, zenfire, tt, transact... they all work. If you use anyone of the above(time independent charts and/or bid ask data), and you want accurate data, you have to use DTN, CQG, or if you can afford it, a bloomberg terminal.
Thats it. There's nothing thats good enough. its either accurate or its not. I really don't get why there's a post about data feed differences every week.
BTW... barcharts is worse than most broker feeds( im mentioning this bc their a paid data feed service).


If you can't afford DTN, then IMO you need to raise more capital before you can think about trading.

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i've talked to fulcrum, he's done extensive study about this, and even zondor checked the data on millisecond time stamp, and compared dtn to zen and they both verified that zenfire is Not accurate.
Hell my broker TOLD me that zenfire is filtered, the broker at transact told me their feed is filtered, the broker at tt told me they filter their data. i mean what else is there...lol

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Michael.H View Post
i've talked to fulcrum, he's done extensive study about this, and even zondor checked the data on millisecond time stamp, and compared dtn to zen and they both verified that zenfire is Not accurate.
Hell my broker TOLD me that zenfire is filtered, the broker at transact told me their feed is filtered, the broker at tt told me they filter their data. i mean what else is there...lol

Michael,

Yeah, IT IS EITHER ACCURATE OR IT IS NOT, for Bid/Ask studies.

My IQFeed setup has been completed today Monday, May 17, and it is looking very interesting with NT7/GOMVolumeLadderTB (this is going to reflect in my Diary thread which has been OFF for one and half weeks now). I'm also testing IQFeed with SierraChart for Bid/Ask, and Volume Breakdown studies; whichever wins my race (SC/IQFeed or NT7/IQFeed/GOMVolumeLadderTB), will be it for me (for charting ONLY).

Lolu

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you talking about comparing ninja and sierra with iq feed?

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Michael.H View Post
you talking about comparing ninja and sierra with iq feed?

Yes. What's your view ? See the attached NT/IQFeed/GOMVolumeLadderTB chart. I'll get and post Sierra/IQFeed snapshot too later today.

Lolu

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Quoting 
If you can't afford DTN, then IMO you need to raise more capital before you can think about trading.

Well, I didn't asked you for any comment, I ask smak for some help. Why do you think, you have to tell me what to do? If you would read my posts, you would know, that I used DTN and compared it to all the other retail feeds and know about bidxask data differences. Are all the traders, who don't use DTN for delta work are dumb? What is your relation to DTN ?
But anyhow, if the level of ET forum is taking over here, this will be my last post.
Thanks

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chrislb View Post
Are all the traders, who don't use DTN for delta work are dumb? What is your relation to DTN ?
But anyhow, if the level of ET forum is taking over here, this will be my last post.
Thanks

Any traders that attempt to use broker supplied feeds for BID/ASK differential work are not necessarily dump, they just don't have the background and data feed testing information of a 10 year plus quant/data feed specialist who builds data infrastructure for Hedge Funds (BTW, Hedge Funds even laugh at DTN.IQ feed....they only use Bloomberg or better).

If you can't get what you want from a broker supplied data feed that is free then do not get mad at the reality of the situation. This has nothing to do with people trying to promote DTN feed, this is just the reality of MANY doing a lot of testing and a very obvious conclusion has already been extensively proven. This forum is being used at this exact moment to try and HELP other traders to not have to waste their time with issues already proven out. Spend your time on your method or psychology and actually trust traders trying to save those a lot of time driving down a long dark road that ends in a DEAD END! We have been there and done that, so our previous experience with this issue should be used to your advantage to move on to more important issues in your trading!

One last time.......DO NOT try and use broker supplied data feeds for BID/ASK differential work!

If I ever find a broker supplied data feed that works in the future I will be more than happy to let you know right away!!! I have spent over 7 years tracking and trading with Cumulative Delta, so if there is ANYONE who stays in tune with infrastructure available for BID/ASK differential work it is me.

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If bid / ask volume data is not the only thing you look at in order to make your trading decisions, then you may find, as others have, that you can indeed get the information that you need from broker supplied data. The data is not perfect no matter where it comes from. And here's the key: You don't need perfect bid/ask volume data to make successful trading decisions.

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im not trying to slam you.. sometimes people will try to find a workaround when it doesn't exist... the sierra chart you have looks pretty clean to me, it actually looks like you ported the bid ask ladder to sierra pretty nicely. I would say in terms of charting, sierra is more stable, but ninja is less clunky. Also, sierra will do backfill, and ninja doesn't. Thats a big one... im on ninja right now, and im about to dump it once again... i love gomi's indicators, but i just can't handle the random crashes anymore... its TOO buggy.

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thanks fulcrum.... i don't work for dtn. im just trying to help. if you don't want to use them, thats fine.

Freedom trade, i disagree with you. if you've seen the comparisons ive done with dtn and zenfire, you wouldn't say that. i've seen zen drop a couple of thousand cars worth of volume sometimes on the ym(thats alot for that contract).... that'll def impact your trading decision.
Good luck

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chrislb.... i said that bc i know people that are paper trading right now, and they don't want to pay for anything, which is understandable.. but its mainly bc they have very little capital.. less than 15k.. in which in my opinion, is not big enough to trade futures. i never said anyone that uses anything besides dtn for delta is dumb, i said its not accurate. im trying to help them so they don't lose money. I don't have time to argue with anyone , i don't know you or was giving you my opinion. I see people like gomi doing all this work, and i use his indicators.. im trying to pay it forward.


But for the last time zen doesn't give proper bid ask data. if you don't care about bid ask, then zen is fine..

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FWIW, I think it's important to remember that in order to make money trading you don't need anything but dumb luck. Anyone can press a button on a computer and find themselves in a winning trade, even in a BIG winning trade.

The complexity comes from trying to do this on a consistent basis.

If you aren't a chef but decide to invite some friends and family over for a nice dinner, you may find that you've prepared an excellent meal and are the envy of your guests. Then you decide to do it again, only to find next time the meal sucks and should be fed to the dogs (if they'll even take it).

What changed?

I think another way to look at this is that you want to use the best ingredients possible when you are making this meal. If you have poor ingredients, you will be hampered by what you can accomplish. Then, your only going to be considered a master chef after having prepared the meal, and others like it, thousands of times. It's about consistency and experience.

What does this mean?

I think it means you can very easily make money with Zen Fire. I think you can make money with a 10-minute delayed trial feed. The question is can you do it consistently? That can only be answered by you. Perhaps you don't need bid/ask data, or don't even care about dropped volume. If in the chefs kitchen there is the choice between two tomato's, it isn't really important to decide which tomato is selected if tomato isn't going to be used in the meal.

Zen Fire can be perfectly acceptable and in fact a fantastic feed for many many traders. It has its advantages over even IQFeed (reduced latency, and better integration with NT). But if you need the tomato in your meal (the bid/ask volume), then your better off with IQFeed. If you need the tomato but can't afford to buy it, then the meal you prepare isn't going to taste the same, and all the money you spent on the other ingredients may be viewed as a "waste" because the meal didn't turn out very good because a key ingredient was missing.

Mike

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  #64 (permalink)
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Also let me add, here is a capture of IQFeed vs. Zen Fire. This measures how many updates have been received from each feed. Both are for the same instrument, and both were started at the exact same time. You can see the SUBSTANTIAL difference in these raw numbers.





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  #65 (permalink)
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Hi Michael,
We disagree then. And good luck to you as well.



Michael.H View Post
thanks fulcrum.... i don't work for dtn. im just trying to help. if you don't want to use them, thats fine.

Freedom trade, i disagree with you. if you've seen the comparisons ive done with dtn and zenfire, you wouldn't say that. i've seen zen drop a couple of thousand cars worth of volume sometimes on the ym(thats alot for that contract).... that'll def impact your trading decision.
Good luck


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Might be worth pointing out a couple of random things.

If you are doing any sort of cumulative work then a fairly complete feed is pretty much mandatory. This is where Fulcrum is coming from. If you are simply looking at delta shifts around S/R you might get away with 'less'.

Unless you need to process changes in best bid best ask that occurred in between trade prints (tracking pulled limit orders for example) you don't need a full tick stream for the order book provided it is accurate when a trade arrives. Coalescing order book ticks is acceptable for some applications.

Zen uses UDP as a transmission protocol which does not have sequencing or re transmission. People will get better (or worse) results depending on their infrastructure.

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  #67 (permalink)
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chrislb View Post
smak,
maybe you could post a 6EMO.scid file from DTN feed as zip for just a couple of days. Intraday data storage time unit should be set to 1 tick. Thanks for your help. This would show me, how far off TT-fix is compared to DTN.
Thanks for your help.
chris

when I get a chance Chris. I can send you the files, these markets are crazy and there's tons of opps right now. I have to agree with Fulcrum et al., that the best use of time is in practicing skills, not comparing feeds. If you know you have the best ingredients then you can get on with things, and it's hard enough getting your skills down pat, if that's even ever possible! But I'll help you as you like when I have some time if you still wish it. Cheers.

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  #68 (permalink)
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So, just to get things straight for me:

You are saying, that all retail traders using T&S in any form (tape reading, bid x ask studys, etc.) without using DTN or some high end data feed, are basing there trading on false assumptions ? And is DTN compared to the feed the bots are using accurate to a high degree ?
I used DTN for more then a year with MD and Investor/RT and I am not convinced that DTN is accurate enough to compete on this with the pros. I switched from MD to RT, because if bid x ask date is not 100% correct, volume at price is more important.
So I would like to see a comparison of bid x ask data from DTN to the most reliable feed, what ever feed this is.

It is getting off topic, so maybe this should be moved to another thread

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  #69 (permalink)
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Hi Mike/Guys,

Where is E-Signal in this regard? Is it acceptable for delta analysis purposes?

Regards,

Bondi9999
(9 hrs a day, 9 days a fortnight, 9 months a year, 9 years in 10)

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  #70 (permalink)
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chrislb View Post
So, just to get things straight for me:

You are saying, that all retail traders using T&S in any form (tape reading, bid x ask studys, etc.) without using DTN or some high end data feed, are basing there trading on false assumptions ? And is DTN compared to the feed the bots are using accurate to a high degree ?
I used DTN for more then a year with MD and Investor/RT and I am not convinced that DTN is accurate enough to compete on this with the pros. I switched from MD to RT, because if bid x ask date is not 100% correct, volume at price is more important.
So I would like to see a comparison of bid x ask data from DTN to the most reliable feed, what ever feed this is.

It is getting off topic, so maybe this should be moved to another thread

I am saying that ANY BID/ASK differential work you attempt (SPECIFICALLY, using Cumulative Delta, GomCD, GomLadder, orderflowanalytics.com software, marketdelta.com, etc) MUST use a proven data feed or you will get tainted data......sorry to say.

If you are only going to track price and regular volume then use any data feed you wish.......I am SPECIFICALLY talking about those traders that are working with BID/ASK differential tools in their charting for the need to use DTN.IQ feed (or a feed like CQG, Bloomberg, etc). We have found some testing even showing Esignal with problematic data at times ONLY for tracking BID/ASK data though......hope this helps.

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chrislb View Post
I used DTN for more then a year with MD and Investor/RT and I am not convinced that DTN is accurate enough to compete on this with the pros.

BTW, DTN matches a $2000 month feed when tested consistantly......I am totally convinced DTN.IQ is exceptional for BID/ASK differential work (and I keep testing DTN on a continuing basis.....I have to, because I rely on BID/ASK differential for all of my trading).

Also, the TradeVec group found out first had the situation with BID/ASK differential datafeeds, and they have now also set up DTN.IQ feed to power their charting for those who use their new Cumulative Delta studies.

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  #72 (permalink)
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FulcrumTrader View Post
BTW, DTN matches a $2000 month feed when tested consistantly......I am totally convinced DTN.IQ is exceptional for BID/ASK differential work (and I keep testing DTN on a continuing basis.....I have to, because I rely on BID/ASK differential for all of my trading).

Also, the TradeVec group found out first had the situation with BID/ASK differential datafeeds, and they have now also set up DTN.IQ feed to power their charting for those who use their new Cumulative Delta studies.


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  #73 (permalink)
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Dragon View Post

Not even close, it amazes me how this issue just continues to get challenged over and over on several trading forums. I would love to not have to keep explaining the feed issue month after month to those who keep trying to prove that broker supplied data feeds are usable for BID/ASK differential work. So if this is a dead horse issue for you, then move on or at least add something that is constructive and positive......Thanks!

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  #74 (permalink)
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FulcrumTrader View Post
Not even close, it amazes me how this issue just continues to get challenged over and over on several trading forums. I would love to not have to keep explaining the feed issue month after month to those who keep trying to prove that broker supplied data feeds are usable for BID/ASK differential work. So if this is a dead horse issue for you, then move on or at least add something that is constructive and positive......Thanks!

Why don't you come with some charts from differnt feeds to show us the differences, instead of repeat always the same things? This should be called constructive, and not only words, (why should we trust your words?).
I have post some charts here with a request for you that you had totally ingnored.
If u don't want to explain the feed issue (i never saw compared work in your posts, only words) don't do this.
Why if someone does not want to spend money (even if it had) for feeds, it can not try to find something free that maybe could work?

With all respect this is my view.

LukeG.

P.s. I think we understood that DTN.IQfeed are the best and value for money.

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  #75 (permalink)
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Move this to a different thread ?


Quoting 
Why don't you come with some charts from differnt feeds to show us the differences, instead of repeat always the same things?

I haven't seen any comparison so far either, it must be a problem. So since nobody wants to post charts from different feeds, I decided to test DTN again and compare it to TT/TA/CT4 when I am back in two weeks with SierraChart.
By the way, does anybody thought about the fact, that if most of the small traders trade on wrong data in T&S, that this is the same as trading with fib numbers ? Self fulfilling prophecy ? And if close to 70% of trades are algo/hft trading, do they care about bidxask data ?

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chrislb View Post
Move this to a different thread ?



I haven't seen any comparison so far either, it must be a problem. So since nobody wants to post charts from different feeds, I decided to test DTN again and compare it to TT/TA/CT4 when I am back in two weeks with SierraChart.
By the way, does anybody thought about the fact, that if most of the small traders trade on wrong data in T&S, that this is the same as trading with fib numbers ? Self fulfilling prophecy ? And if close to 70% of trades are algo/hft trading, do they care about bidxask data ?

look about 10 posts back , Big mike showed the difference. I hate when people jump in the middle of a conversation without atleast reading two pages prior of converstaion.

Or the difference is maybe we are busy actually trading and dont have the time to load a irregular feed just to prove to someone we don't know that it doesn't work. It was asked what feed works best for bid/ask differential work and the answeres that matter are from those who actual do this kind of analysis. Trust me I would not pay for dtn when I also have zenfire if i didnt have to. it is not a populatrity contest.

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FulcrumTrader View Post
Not even close, it amazes me how this issue just continues to get challenged over and over on several trading forums. I would love to not have to keep explaining the feed issue month after month to those who keep trying to prove that broker supplied data feeds are usable for BID/ASK differential work. So if this is a dead horse issue for you, then move on or at least add something that is constructive and positive......Thanks!

I am just now reading your post here. Maybe I should have posted something along with the dead horse icon . I thought I was doing you a favor in letting others know that you had posted about this before so you didn't have to continue to sound like a broken record. That's all... Mike has posted about it too. A lot of people ask about it and the conclusion keeps coming back to DTN IQ being the best... Soo..yeah. Didn't intend for you to take it that way.

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timmyb View Post
look about 10 posts back , Big mike showed the difference. I hate when people jump in the middle of a conversation without atleast reading two pages prior of converstaion.

Or the difference is maybe we are busy actually trading and dont have the time to load a irregular feed just to prove to someone we don't know that it doesn't work. It was asked what feed works best for bid/ask differential work and the answeres that matter are from those who actual do this kind of analysis. Trust me I would not pay for dtn when I also have zenfire if i didnt have to. it is not a populatrity contest.

Btw I will do this comparation, on the next few days I will test these feeds ZEN-FIRE, TT, DTN-IQfeed, SC backfil, using these platforms NT,SC,MD, and maybe if someone is interested and ask me I could post the results here, otherwise i will not waste my time for others.

Luke.

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Luke.
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LukeGeniol View Post
Btw I will do this comparation, on the next few days I will test these feeds ZEN-FIRE, TT, DTN-IQfeed, SC backfil, using these platforms NT,SC,MD, and maybe if someone is interested and ask me I could post the results here, otherwise i will not waste my time for others.

Luke.


Due to the time and resouces it takes me, I decided to open a new thread on the Elite section.

Luke.

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  #80 (permalink)
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fulcrum trader, i understand your frustration... you've done your part, so has big mike, i've made a few posts too. There's plenty of proof about this, if he wants to use a broker feed, let him do it.
We're just trying to spare people the time from testing out different feeds to reach the same conclusion..

btw, if there was a quality feed i could use without paying for it, i would be the first to mention it here. There's no reason i would pay for something when i can get it for free( with the exception being ninjatrader, bc i can't seem to get it to work right :argh-ninjatrader


It sucks when you have these great indicators and can't get it to work because of crappy software. Hopefully, if ninja trader really puts in an effort, they might finally get ninja 7 final version out by early 2015....(date not tentative)

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lolu View Post
chris,

I got this message on SC when I opened the 6e.cht you posted.

Is there a new upgrade for SC that is required to load the chartbook ? I have version 580/package 5 (which is the highest pack) of SC subscription.

Lolu

Just open SC, go to the Help menu, and click either "Download Current Version" or "Download PreRelease" and you should be good to go. I typically go with the prerelease versions, they tend to be stable.

jsyd

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smak451 View Post
Thanks Chris & Lolu for the re-directs. I'm in same boat as Chris in deciding on an optimal Sierra layout (hopefully that will replicate my previous office platform) and it's a bit of a pain, esp. as on Sierra forum there's little consistancy on terminology ('cumulative bid-ask' means the net of a period's Ask-Bid Volume -- what I had heretofore called 'Delta' -- and at other times means the day's running total of this number). Anyway, here's another possible layout I'm trying to implement (if you like numbers) as it saves screen space. Let me know if you have any ideas. I'll ask Admin, but probably will have to use Workbook. Cheers. Oh yeah, Chris in your screenshot -- I think it was post 5 -- are the white bars meant to track the range of the period's AskVol-BidVol? They look symmetrical. Thanks.

smak451 hello.
I would like to figure out how to have your same configuration for my graphics on SC.
if it is not a problem for you help me?

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  #83 (permalink)
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FulcrumTrader View Post
I am saying that ANY BID/ASK differential work you attempt (SPECIFICALLY, using Cumulative Delta, GomCD, GomLadder, orderflowanalytics.com software, marketdelta.com, etc) MUST use a proven data feed or you will get tainted data......sorry to say.

If you are only going to track price and regular volume then use any data feed you wish.......I am SPECIFICALLY talking about those traders that are working with BID/ASK differential tools in their charting for the need to use DTN.IQ feed (or a feed like CQG, Bloomberg, etc). We have found some testing even showing Esignal with problematic data at times ONLY for tracking BID/ASK data though......hope this helps.

Hi FT, this thread is somewhat old but maybe this can rejuvenate it - Do you have any thoughts on the SC data feed and it's Bid/Ask integrity vs. DTN.IQ feed? I currently use SC data, in conjunction with a broker feed for execution (OEC) - the integration via SC is great but recently some of the T&S data seems to be a bit patchy (from Eurex Bund). I am ready to consider a switch to DTN.IQ (the price difference is irrelevant to me) but I will forgo the SC integration (using a single instance of the software).

If you have no experience of SC data I'll re-post on the SC Data feed thread (this does not seem to address the Bid/Ask issues).

Thanks Jimmy

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