Forex Bad on Tradestation

[Tasuki 10]

Hello folks,

Yet another warning about problems with Tradestation, this time having to do with Forex. Apparently there are two problems, both very serious:

1) people who have compared the quality of the Forex data between Tradestation and eSignal have found that TS Forex data is very poor quality

Here is a quote from a friend who did the research:

 

"Tradetsation uses GAIN Capital (who also run forex.com) for their FX feed/execution. They use a polled feed and therefore only provide a small window as to what FX trades exist. Don't believe me? Try comparing your high/low for the day or a spike high/low against a trader friend that has an aggregated feed like eSignal's paid feed. I am regularly seeing a 2-12 tick (yes 12 ticks!) difference. Now think about what this means to a pitchfork if the A, B or C pivot is 10 ticks from reality. 30-60 bars from now the difference may be 50 ticks."

 

2) Trade execution is very poor with GAIN Capital. These jokers will:

a) give you a bad fill

b) take the other side of the trade and screw you.

 

As always, caveat emptor.

Tasuki

 

p.s. addendum: GAIN uses a "polled" feed, meaning that they display only a fraction of the market. They "poll" it, taking samples at discrete intervals, which misses all the ticks in between their sampling times. The reason for this is obvious--if you only take samples of the data, it requires much less bandwidth, saving GAIN alot of money. The opposite of this would be an "aggregated" feed, which is comprised of data from multiple market makers. That's what you get with eSignal, apparently.

Edited December 4, 2009 by Tasuki

[BlowFish 10]

Not sure the problem is that its 'polled'. (though what do I know!!) Spot FX data is based on changes in bid/ask there is no actual trade data. The fact that Esignal get feeds from several networks mean they get a richer set of bid ask data and certainly many more 'ticks'. (remember a tick is a change in bid or ask not a trade). It's like comparing prices on Nasdaq to prices on a single Nas ECN. They will be close but unless the single ECN is currently best bid and best ask they will be different prices.

 

I think Gain are a 'bookie' type broker? (not sure to be honest) They can further manipulate the prices quoted as they are the counter party to your bet.

 

One thing for sure is FX is a bit of minefield

[Guest baywolf]

Have you looked in to the CME FX futures products instead?

 

FX Products Homepage

 

Since this is done via ECN style exchange, there will be more transparency (I.e., book level + trades). I believe since this is done via CME, it is centralized so you don't need to aggregate multiple FX feeds in search for liquidity or best bid/offer.

 

Not sure about the futures data feed quality from TradeStation though. I think they use RJ O'Brien. I'd stay away from GAIN.

[Tasuki 10]

Have you looked in to the CME FX futures products instead?

 

FX Products Homepage

 

Since this is done via ECN style exchange, there will be more transparency (I.e., book level + trades). I believe since this is done via CME, it is centralized so you don't need to aggregate multiple FX feeds in search for liquidity or best bid/offer.

 

Not sure about the futures data feed quality from TradeStation though. I think they use RJ O'Brien. I'd stay away from GAIN.

 

baywolf,

Have you looked at the volume on those futures products? It's abysmal.

Tasuki

[robertm 10]

I use eSignals FX on demand product. It works the same as full blown eSignal but has a limited broker choice, this doesn't worry me as I use it to get around my brokers unstable charting platform & restrictions in how it displays indicators. I execute via my brokers platform still. It's much cheaper than the full version FX feed unless you need to look at more than one source of FX data at a time.

 

The issue with the broad/raw FX feed that eSig delivers is that it has too many outliers and doesn't resemble most brokers actual high/lows. Good for sturdy backtesting though.

 

I've been trading way too long, I automatically capitalise the S in eSignal now

[Tasuki 10]

robertm,

The business of outliers is always a tricky one. I had a friend once who took the raw data from the exchanges and massaged it with some fancy software programming in order to parse out the big traders from the small traders. As part of the process, he had to clean up the raw data he purchased, and it said that it was very difficult to do because apparently there are ALOT of bad ticks, I mean really bad ticks, and it takes a massive amount of work to figure out what algorthims will clear away the bad stuff and leave only the correct trades. I'm surprised to hear that eSig's data has lots of outliers. Is this true for all their data, or only the "broad/raw FX feed"? Don't they have a polished up version of the data that they also sell?

Tasuki

[robertm 10]

robertm,

The business of outliers is always a tricky one. I had a friend once who took the raw data from the exchanges and massaged it with some fancy software programming in order to parse out the big traders from the small traders. As part of the process, he had to clean up the raw data he purchased, and it said that it was very difficult to do because apparently there are ALOT of bad ticks, I mean really bad ticks, and it takes a massive amount of work to figure out what algorthims will clear away the bad stuff and leave only the correct trades. I'm surprised to hear that eSig's data has lots of outliers. Is this true for all their data, or only the "broad/raw FX feed"? Don't they have a polished up version of the data that they also sell?

Tasuki

 

eSig offer contributor (broker) feeds, or you can opt for the A0 spot feed. I can't find a good link on it anywhere but the contributors that make up the A0 spot feed tend to give higher highs & lows (long wicks) making the data difficult to work with on shorter time frames. These prices don't reflect the prices your broker will give you, thus you use your brokers contributing feed to fine tune/trade a system as that's what will effect your entry, stops, targets etc.

 

The advantage of eSig is your charts will look the same, your indicators will look the same, only the data source has changed if you change brokers for some reason.

 

I don't care what my broker did to the data before it came to me, all I need is consistency between charting and execution :-)

[daedalus 10]

baywolf,

Have you looked at the volume on those futures products? It's abysmal.

Tasuki

 

6e/6b/6j, etc all are very liquid and actively traded.

 

I switched over to futures from spot a couple months ago and will never go back. The additional order types you can use, a 1 tick spread all the time, and the fact that I don't have to pay the spread twice unlike with fixed spread spot fx.