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Rithmic vs Denali - Market Depth Difference


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Rithmic vs Denali - Market Depth Difference

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  #1 (permalink)
 lndshrk 
Albuquerque New Mexico
 
Experience: Beginner
Platform: Tradestation
Trading: ES
 
Posts: 5 since Feb 2014
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I've recently returned to using Jigsaw for my execution and immediately noticed that the depth of market on the Rithmic data feed is significantly lower (usually 30%) than on the Sierra Denali Feed. I was also able to compare Rithmic to CTS, and Rithmic again had a smaller depth of market pool.

I'm confident that the difference between the two will not have an impact on my executions, but I am intellectually curious as to why there is a such a discrepancy between the two.
Any ideas as to why the Rithmic depth of market is lower than Denali?


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 artemiso 
New York, NY
 
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My best guess is that Rithmic must be using a pure MBO parser of MDP 3.0 so they are excluding implied depth from their book. This probably explains why it is strongly biased downwards from depths on the other feeds.

On the other hand Sierra and CTS probably using the (MBO +) MBP part of MDP 3.0 to aggregate the direct and implied depth.

The occasional times when Rithmic depth is higher are probably explained by packet loss (I recall at least one of these feeds uses UDP) or feed delay of either two feeds you're comparing between.

I usually use Rithmic's approach but there are situations where the other approach is useful

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 SBtrader82 
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Rovigo (ITALY)
 
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This is very strange, I did this comparison months ago and it was exactly the same.... are you sure you are comparing the same products? maybe you are just comparing micros vs minis, it looks very strange to me.

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 lndshrk 
Albuquerque New Mexico
 
Experience: Beginner
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Posts: 5 since Feb 2014
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I did double check and both are on the ESH22 contract - I even double checked the Chart Settings in Sierra to confirm that "Trade and Current Quote Symbol" does not have the micro contract listed.

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