justlurkin

I know you are fuming right now with tradestation, but whatever you do, hang on to them until you are 110% up and running and confident on your new platform. You don't want to waste months only to find out you have to start over, been there twice now. In the end it will be their loss anyway. Heck hang on to them any way as a back up and run your miimum required trades. Also note that many platforms such as RightEdge, WealthLab, Ninja (even NeoTicker I think) are all supporting C#. Its an easy langage with tons of free support all over the net. If you have to learn a new language, this is the one, IMHO, the simplest.

IB is good for their Universal Account only. Don't even waste your time considering them as a datafeed. Ok, maybe thats harsh but here's why: Their feed is sampled/throttled so you will not get tick data. Their feed is reasonably fast in a fast market but if you are trying to build tick or volume bars, they will not be accurate (depending on the application). More importantly even their volume data is not accurate. For example, with every tick (sampled) their is volume data, but what about the volume for the missed ticks? That shows up as another event (Volume update event or something). Now depending on your platform, it may use that data and arbitrarily apply it to the last bar or discard it. Either way, the volume has no price data attached and you get incorrect bars. If you try to use market statistics for example, VWAP will be out of whack and unreliable. The fix for this intraday is to never do a backfill, annoying at best. Also historical updates take way too long. IB's fees are reasonable, and access to products and markets is great, thats about it. For free data, OpenTick data is accurate, but it seems slow in fast markets. I believe they are restructuring and will be allowing new subscribers soon. Good way to get Ninja tested out with OT for free. For Live, I hear ZenFire is a super fast feed due to the compression it uses but I will be trying them out a little later myself. DTN is also another feed I have in the back of my mind for stocks and other products. I guess Tradestation is where it is because it offers a one stop shop - Platform, real time data, historical data and execution. You will have to handle these separately. Here are some options I want to look into myself 1. IB as broker, Ninja as Platform, DTNIQ as feed - Handles stocks, futures 2. Mirus broker, Ninja, ZenFire - Handles futures 3. IB, Ninja - Handles Futures, stocks (if tick level data is not too important) Option 1 is ideal since you can us DTN as primary feed and IB feed as secondary. Again, not sure exactly what your system requirements are and how far back you want to backtest etc, so just some suggestions that I am considering myself. Jus remember, I learned about IB's data feed the long and hard way. No need to repeat that journey!

wave, Neoticker is by far an awesome product with respect to features and the ability to mix and match multiple time frames, bar formats, and products all on the same chart, BUT: I have a decent background in programming and whoa, coding in Neoticker was completely confusing. Finally when I got to the coding stage and tried some systems, I realized I had some data feed issues (with IB) that coud be corrected in Neoticker. I quickly asked a question on the forum and was told that most users have a professional feed and most users are "professionals". After a month, I gave up. Although the product is great, coding is not intuitive. I moved on to RightEdge because it gave the ability to program in C#. After a year of mucking around, th product is still in its infancy but if you are a good programmer (really good) you can do anything with that software (although not out of the box). That means you can right plugins for any datafeed / broker etc. Having said that, I recently switched to NinjaTrader and here is what I have found: In less than a week, I had all my years worth of indicators in RightEdge transferred over. It is extremely simple to write custom indicators in NT6. It also supports C# (which I learned on the fly). If you are motivated enough, you can write your own datafeed and broker interface fairly simply but they support many out of the box, IB is one of them. Their chart trader feature is invaluable asis their trade management feature. So far the CONS for this platform is the baility to access/ view multiple products on the same chart. Specifically being able to trigger off of market internals to enter/exit YM for example. However, this is coming I am told. Bottom line, I think NT is worth a look, its free to play/sim with until you want to go live, and they tend to respond quickly enough to their forums. hope this helps...

Can you post a screenshot... Is this Skew different from (VWAP - PVP) / SD ? More beneficial? thanks

Does anyone have the source code for Volume ratio or even a detailed description on its calculation as it is used here? I'd like to be able to follow along. thanks

ztrader Can you PM your version as well. I particularly interested in YM. I've downloaded the xls file posted here but it doesn't quite make sense to me, column P specifically. Also it seems the formula Bid-Low / Low simply measures distance away from the daily low. A weak signal reading of 1 would trip if bid = low (or in the case of YM, Trade = Low). I'm definitely missing something. Your version with YM would help a lot. thanks

Not sure if understand. Exactly what do you see on that chart that shows price chop midday?

ws, Were you able to get this working accurately since the last post? thanks

:o - didn't noticed the date of the original post!

Can't access the video either...

And a quick question: How is VWAP calculated on Forex data in your example? edit - Oh, never mind as I see the question has already been asked and I missed the entire page. thanks

Starting to make sense now. Whats odd is that although most charting platforms may not support these symbols, I don't see quotes in TWS either! I'll have to verify during market hours and see if I can at least get any field populated. Luckily I am already an OpenTick subscriber so I am able to download historical UpDnVol for now. thanks

Thanks OAC. I found an old post dated back in December where you had mentioned that Opentick supports $UVOL and $DVOL so I tried a quick download and it worked, for history that is. I will run some tests to see its usefulness and take it from there. Whats that you say, a whole dollar! lol. I hope I get some good results with this. If you have any other internals supported by Opentick that's worth mentioning, I could use all the help I can get. thanks

Crap. Guess too good to be true. Was chopped too many times today, this would have probably helped. Thanks for the reply. IB TWS does accept VOL-NYSE@NYSE as a symbol input. It also has a description available, but no quotes on it and no way to specify UP or DN. http://www.interactivebrokers.co.uk/contract_info/index.php?action=Details&site=IB&conid=33887599&detlev=2&sess=1211924460

Anyone know what the IB symbology is for these internals?

Assuming OpenTick is good enough for your needs (not sure if you can get 2 years data, but 1 year should be fine, depending on product), you can download NinjaTrader 6. It is free to back test and simulate and they support OpenTick...

thrunner, thanks for the response. I will see if I can post some charts for analysis. At the moment, all my data ends up being backfilled for some reason or another. I will try to collect live, save it then backfill it to show the differences for the same symbol. Zen-fire sounds good and will look into it as soon as my system comes closer to completion. One point I would make between ES and ES continuous contract is that ES would be live ticks as they come in (ignoring backfilling for now) from the exchange whereas #ES would be created, massaged, and mucked with at the data provider. My guess would be #ES would end up with higher volume than ES simply because the data provider has the ability to aggregate volume as they wish. With constant volume updates throughout the day (playing catch up with the market) #ES would probably include this volume. Similar problem to the one I'm experiencing except that my symbol is YM compared to YM or #YM compared to #YM. Will try to post some pics...

Jerry, Here is the problem as I see it and currently a deadlock for me. I've posted on another thread but haven't had a response just yet. Depending on how the source code for real time data is implemented for various feeds this might differ. IB feed is sampled data and continuously updates volume to catch up with the ticks. Same with OpenTick. The bottom line means the bands will differ drastically based on backfilled data (which should be total volume accounted for) vs data that was accumulated throughout the day (sampled ticks and their respective sizes). Additionally, since IB data is sampled, price bars may also differ in a backfill compared to what was accumulated live, but this would only have a minor impact on VWAP. As for SD, the volume change would have a drastic impact. Consider 2 numbers with the same average but with different highs and lows (same average, completely different SD). At the moment I am stuck, it seems that OpenTick feed for YM (streaming) is accurate, but backfill mucks it all up. Depending on implementation, IB feed can/cannot be good for accuracy. Do they use Volume updates as volume or is volume derived from and accumulated from every tick sent? If using volume updates then you have a situation where you have increased the weighting but have incorrectly attributed that weighting to the current bar! (remember a voume update means more volume but at what prices??) This is my understanding so far....:crap:

I've been running into a lot of headaches with datafeeds and also am looking for something reliable and cheap. Recently, I noticed that IB real time data looks different than the same data backfilled from IB, i.e. Price bars are different. Understanding that IB live data is sampled, I switched to OpenTick. I had done at that time a quick test to verify that OT live data was identical to the same data backfilled and sure enough the price bars "seemed" to be identical, so I switched. BUT, I started writing a decent system that used volume as an input and oddly it worked like a charm in forward tests (live) but as soon as I backfilled my data at the end of the day my indicators were all in the wrong places. All trades now were losses! It would seem that the volume data changed quite considerably. So my question is, is there any data feed out there that is identical Live and backfilled (with of course a few exceptions like tick cleanup)? Its almost impossible to write a system using Historical data knowing that Live is different and vice versa, anyone else in the same boat? :crap:

Spyro, don't know your platform but check with them first. The @ symbol is part of OT API but your platform may/may not support it. Also note that Yahoo includes extended hours volume in their quotes. You may or may not want this so just make sure you are comparing apples to apples between broker feeds.

Thanks Jerry, downloaded and viewed, looks good.

Yes, OpenTick does have less volume because it reports from individual exchanges. If not specified it reverts to some default (not recommended even on their site). In order to get all data across all exchanges that the product is traded you need to specify Exchange = @. Essentially, a request for MSFT would end up looking like this @MSFT. Check out their forums and exchanges page for more info. Also note as the @ symbol works in real time data, it is not supported for Historical backfills for the time being. IB data is sampled data but you should get most/all volume, but probably not all ticks as they are aggregated. Their historical backfill is slow, but it is a one time hassle. It all depends on what your needs are. You do get what you pay for (until OT fixes their end). BTW, is there a way to request continuous contracts thru IB?

Thanks James. Jerry, I think you'll need to re-upload the last 2 videos using file share. It will give you a link to cut and paste here so we can download them.

For what its worth, both files are exactly 16384KB in size. It would seem that there may be a limit where the excess is truncated on the site somehow. The attachment link shows larger than this size. Exactly 0xFFFFFF is highly unlikely for both files.

Understood. Will wait for an update from James. Thanks.