Rithmic vs Denali - Market Depth Difference

February 6th, 2023, 03:16 PM

creamyyy

So this isn't strictly to do with market depth, but I've discovered a major discrepancy between the two data feeds today which has me questioning which one is correct.

This is the CL open today 3rd February 2023 from approx. 8AM - 10AM central time.

Left is Motivewave running Rithmic non-aggregated data. Right is SC + Denali.
The bottom of both platforms is the cumulative delta. SC is using the cumulative delta - trades indicator.

As you can see, Motivewave/Rithmic is showing positive delta on the way up, SC/Denali is showing negative delta.
When I check the footprints on both on a random bar, the bids and asks and delta totals all add up on both.
When I compare the two feeds over the past few days, at a cursory glance, they're pretty much the same.

The fact that both are showing pretty much opposites of each other has me scratching my head.

Anyone else care to check and chime in?

SCR-20230204-1p7

FWIW, this is what my system calculated. Deltas in this view reset at session open (5 PM central). This is for the CLH3 contract.
CD (Trade Count)

CD (Trade Volume)

Bid/Ask Delta (Trade Count)

Bid/Ask Delta (Trade Volume)

February 6th, 2023, 03:44 PM

artemiso

I'm not familiar with "cumulative delta" but gave it a shot.

It should be negative. Values below differ because your start time and mine were different (I used exactly 08:00 CT, I think your cumulative sum started around 09:00+). I tried 00:00 UTC and got a similar negative curve in any case.

Python script below in case you want to try.

Code

import databento as db

import pandas as pd
import matplotlib.pyplot as plt

plt.style.use('ggplot')


client = db.Historical(key='YOUR_API_KEY')

data = client.timeseries.stream(dataset='GLBX.MDP3',
                                schema='trades',
                                stype_in='smart',       # use smart lead month symbol
                                symbols=['CL.v.0'],     # lead month CL by volume
                                start='2023-02-03',
                                end='2023-02-04')

# Convert to dataframe with UNIX timestamps and display prices
df = data.to_df(pretty_ts=False, pretty_px=True)

# Convert UNIX timestamps to US Central Time
df.index = pd.to_datetime(df.index).tz_localize('UTC').tz_convert('America/Chicago')

df['signed_vol'] = df['side'].apply(lambda s: 1 if s == 'B' else -1) * df['size']
df = df.between_time('08:00', '10:00')
df['cumulative_delta'] = df['signed_vol'].cumsum()

plt.plot(df['cumulative_delta'])
plt.xlabel('Time (Chicago)')
plt.ylabel('cumusum(signed_vol)')
plt.show()

Hi @artemiso, just wanted point out that the implementation you shared will skew more to the negative since implied matches (side='N') will count as negative.

I modified the lambda as follows (I am not good with python so hopefully I got this right):

Code

df['signed_vol'] = df['side'].apply(lambda s: 1 if s == 'B' else (-1 if s == 'A' else 0)) * df['size']

And this is what the resulting graph looks like:

and the original was this:

February 8th, 2023, 11:28 AM

Hulk

Hi @artemiso, just wanted point out that the implementation you shared will skew more to the negative since implied matches (side='N') will count as negative.

I modified the lambda as follows (I am not good with python so hopefully I got this right):

Code

df['signed_vol'] = df['side'].apply(lambda s: 1 if s == 'B' else (-1 if s == 'A' else 0)) * df['size']

And this is what the resulting graph looks like:

and the original was this:

Oh good catch, thank you!

February 13th, 2023, 03:35 PM

creamyyy

So this isn't strictly to do with market depth, but I've discovered a major discrepancy between the two data feeds today which has me questioning which one is correct.

This is the CL open today 3rd February 2023 from approx. 8AM - 10AM central time.

Left is Motivewave running Rithmic non-aggregated data. Right is SC + Denali.
The bottom of both platforms is the cumulative delta. SC is using the cumulative delta - trades indicator.

As you can see, Motivewave/Rithmic is showing positive delta on the way up, SC/Denali is showing negative delta.
When I check the footprints on both on a random bar, the bids and asks and delta totals all add up on both.
When I compare the two feeds over the past few days, at a cursory glance, they're pretty much the same.

The fact that both are showing pretty much opposites of each other has me scratching my head.

Anyone else care to check and chime in?

SCR-20230204-1p7

If it helps, NinjaTrader is closer to matching your SC + Denali screenshot. In my attached screenshot, this is using NinjaTrader brokerage data that is included with my account and the Order Flow Cumulative Delta Indicator.

SpeculatorSeth · February 16th, 2023, 12:37 PM

creamyyy

So this isn't strictly to do with market depth, but I've discovered a major discrepancy between the two data feeds today which has me questioning which one is correct.

This is the CL open today 3rd February 2023 from approx. 8AM - 10AM central time.

Left is Motivewave running Rithmic non-aggregated data. Right is SC + Denali.
The bottom of both platforms is the cumulative delta. SC is using the cumulative delta - trades indicator.

As you can see, Motivewave/Rithmic is showing positive delta on the way up, SC/Denali is showing negative delta.
When I check the footprints on both on a random bar, the bids and asks and delta totals all add up on both.
When I compare the two feeds over the past few days, at a cursory glance, they're pretty much the same.

The fact that both are showing pretty much opposites of each other has me scratching my head.

Anyone else care to check and chime in?

SCR-20230204-1p7

SierraCharts has 3 different versions of cumulative delta. Most platforms just do CumulativeDelta by volume, but you're looking at trades. Kind of odd that they're going in opposite directions though. It suggests that there's more orders getting filled one way, but the orders being filled on the other side are bigger.

Rithmic vs Denali - Market Depth Difference

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Rithmic vs Denali - Market Depth Difference