Open ECry Data Feed

[Guest Tresor]

Hello Brownsfan019 and other happy customers of OEC ,

 

I subscribed today for OEC. I connected OEC data feed to my MultiCharts.

 

1. I first compared data for ES between OEC and Transact and it appears OEC is more accurate than Transact (ES volume by OEC for is closer to the official ES daily volume than ES volume by Transact). This is a good news for me as I am looking for a broker that supplies reliable volume data. The only problem I have with ES is that on 9th April 2009 it did not show the last 1 minute bar. Can someone please have a look at screenshot ''ES Transact vs OEC'' and check if his / her OEC chart also lacks last 1 minute bar for that day?

 

2. Please also have a look at screenshot ''OEC FESX''. FESX is Europe's most traded future contract. The official volume of FESXM9 on 9th April 2009 was 1,056,661 contracts. Here you can chceck the details on Eurex http://www.eurexchange.com/market/statistics/market_statistics/online.html?group=IDX&busdate=20090409&symbol=FESX

 

The catch is OEC data feed reports volume of 3,040,319 contracts for that day. OEC added 1,983,658 contracts during one day Can you guys check it if your OEC data feed also gives such bad data?

 

Thanks

[momentom 10]

There seems to be a huge difference in volume readings between the data feeds. The Zenfire hourly volume readings for June ESTX50 futures for 9Apr09 is:

 

31634

92958

53213

45217

44452

25823

192561

142542

103964

134185

35400

15041

17087

17183

318

 

951578 = Total

 

Obviously, we are not all looking at the same movie. I believe it has to do how the data is sampled and transmitted, whether its raw data or whether "something" is done to it to make it more "friendly" to the data suppliers transmission requirements. Those of us who find volume important have a lot of extra due dilligence to do. At the moment, the consensus of people I speak to say esignal or CQG has the truest volume. So those who are trying to use their brokers' feed for charting/analysis have a lot of work to do before deciding on following that course.

[BlowFish 10]

This always puzzles me. There is really no excuse for 'missing' volume, all the providers get get the same feed. from the exchange. Actually this is not strictly true I believe there is a separate 'broker' feed and 'data provide'r feed, or used to be at least.

 

If things get overloaded there are two acceptable solutions and one unacceptable one (that I can think of).

 

1) Just keep sending despite things backing up. This will cause 'lag' but all data will arrive intact. I'm pretty sure this is how Esignal does it. I don't use Esignal and have not for quite a while, In the old days before multi megabit broadband Esignal would noticeably lag the actual market if things where fast.

 

2) Aggregate data. IB does this and I think this is an acceptable compromise. If the market is fast they will send all the volume information but may aggregate ticks at the same price.

 

3) Discard data. This is the unacceptable option (imho). The discarding could be intentional or un-intentional (due to 'overloading').

 

I really can't imagine that a mature product would still be bugged to the extent that it lost data in fast markets, it is much more likely to be a 'lesser of two evils' design decision. An email from the provider would clarify how they deal with fast markets and saturated links to clients.

 

It's perplexing.

[Guest Tresor]

There seems to be a huge difference in volume readings between the data feeds.

 

Hello Momentom,

 

Thanks for posting about Zenfire. Zenfire is wrong by only as little as 105,083 contracts. Open ECry is wrong by as many as 1,983,658.

 

I would love to choose Zenfire, but this data feed does not have a backfill for other programmes than Ninja.

 

For a while I thought this might have been be a problem with Multicharts, but then I created FESX chart with OEC Trader and it turned out again that OEC volume is wrong.

[momentom 10]

I'm using MC for my testing and Ninja for my trading. I can export data out of Ninja and test it against ideas in multicharts. I'm a discretionary daytrader so this works fine for me. also mc is easy to use for strategy creation - something i haven't mastered in C# ninja speak. You can also get delayed data at a reduced cost from esignal and use that for your testing if you cover a lot of markets.

[brownsfan019 17]

I have emailed OEC asking them to take a look at this thread to see what's going on. Will let you know when I hear something.

[Guest Tresor]

I have emailed OEC asking them to take a look at this thread to see what's going on. Will let you know when I hear something.

 

Hi Brownsfan019,

 

Thanks for your help. I already e-mailed them with a suggestion of what might be causing this. Please look there is a difference between total volume in Quotes and total volume on charts.

[Frank 10]

I wasn't even aware those contracts were available to trade... can we trade those brownsfan? I thought I tried to trade DAX once but it didn't work.

[brownsfan019 17]

My understanding is that pretty much anything on this list is available: http://www.openecry.com/software/available.cfm

 

Now, you might need to have something turned on in order to place trades there. Since the DAX is on the Eurex, you might not have the Eurex feed on or the account setup to trade there (commissions, margins, etc.).

 

I'd drop an email or go into chat to see if you think you'd like to trade the Dax or Stoxx.

[Guest Tresor]

BTW, what are your all-inclusive RT fees at OEC? You can PM me about this.

 

A few months ago someone wrote on elitetrader.com that OEC charged an additional fee for clients who are not US citizens. Do they still have higher rates for foreigners or it was a joke?

 

Regards

[brownsfan019 17]

Email from OEC regarding the issue:

 

I have downloaded and read 10Mb EUREX API doc and found that they actually send the total qty for a given price instead of just last traded qty. We verified this with Eurex and this is the way they decimate their market data. So the tick data added up will NOT match the total volume. It seems EUREX is the only one who does it like this, at least that we have encountered.

 

Please note: For all exchanges we use tick volumes to create all types of bars: minute, hour, even volume bars. An incorrect volume of individual ticks makes our data incorrect.

 

We have added a workaround for these Eurex contracts that display volume bars incorrectly. This is in the Q&A now and will be rolled out very soon.

 

Sorry for the confusion and thank you for bringing this to my attention.