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Does NT7 have actual tick data or averaged data on Continumn
All right, I was studying Volume Profile video from FT71 and he made the statement that it is important to get the right data, non-averaged--that Trade Station for instance gives data that is averaged over time and not the raw data...also that one should use DTNMA data (not sure what that is yet)... my question is, Does NT7 with Continumn give the accurate tick data or am I getting "averaged data" and not knowing it.
Thanks
wonton
Can you help answer these questions from other members on NexusFi?
Any data supported by Ninja Trader platform should be fine according Rancho Deniro . So Continuum will be no problem, CQG very popular for market profiling. Maybe someone more in the know will enlighten you more. Just google DTMNA data.
NinjaTrader Version 7.0.1000.29 Production Release - July 1, 2015
Fixed
4969
General
0.0000005 tick size has been added allowing Ninja Trader to support the recent 6J tick size change
Actually, the issue is a data feed question, not a Ninja question. Continuum is CQG data, which is fine. I would expect that most separate data feeds (by which I mean, not broker feeds) will also be fine. But, for example, the IB (Interactive Brokers) feed, which is a broker-supplied feed, is notoriously not. FT was probably refering to DTN IQFeed, a data feed provider. There are many others.
The issue is whether you get the data as provided by the exchange, or whether the provider "bundles" the tick stream data into chunks and sends that to you, so you don't have the true detail. It should be OK for pure time-based bars (minute, hour, etc.) but not for tick or volume bars.
Just to complicate matters, the CME is in the process of totally changing how it reports trades. This is also sometimes called "bundling," but it is not the same thing. You can look at this thread, and perhaps get a little more perplexed :
Update: There wasn't any data feed problem in the end. The different tick charts have to do with the migration to the new MDP 3.0 data protocol, which bundles trades and therefore shows a different tick count and behaviour than it did before. The …
I have not kept up with what CQG is currently doing as far as the change to the new protocol. Eventually (soon) everyone will be on it, but I saw that IQFeed, a major feed, says it has worked out how to dis-assemble the data into (almost) the old format. You'll have to make up your own mind about whether that is good or bad, sorry. See that thread for more info.
But to your question, CQG Continuum gives you the trades as supplied by the exchange.
:
See that thread for more info.