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O66

Zenfire and DTN Feed Different?

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  paolfili said:
Fulcrum,

can you confirm from your experience that,considering the lag from Eurex Exchange to USA, the **SEQUENCE** of bid/ask is syncronized with the contracts_exchange data so, that the EUREX.DTN data can offer a correct cumulative delta approach?

(using i.e. The GomCD indicators for Ninja)

 

 

Thanks

 

Paolo

 

So far from over a hundred traders I know using my developed CD based trading methods in the EU and other various countries outside the US, I have not yet heard any problems reported with DTN feed (as compared to the speed of TT Fix or zenfire used for the trade execution feed). As a matter of fact, the gentlemen who have developed the TradeVec platform (based in the EU) are currently using DTN as the feed to power the charting with their very well developed CD tools. TradeVec then uses TT Fix adapter feed for the trade Execution Zone to execute trades. I have not yet heard of any feed lag problems from the TradeVec crew and all their testing with DTN, but I will ask them Monday (I trade LIVE on TradeVec myself in the same configuration with vCap Futures as my broker........ TradeVec - Algorithmic Trading Platform | vCapFutures.com ).

 

Hopefully if there is a DTN feed lag issue with some EU based customers this problem can be resolved with some combined efforts.....the TEAMwork approach usually has more leverage (Together Everyone Achieves More).

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  BlowFish said:
However despite this you where recommending it as such up until the recent CME reporting changes. It is certainly not "unusable for proper bid/ask data needs". You are assuming that everyones needs are the same as yours. Sure if you want to do cumulative work it is probably inappropriate and it would make sense to use something like DTN.IQ. However if you are a scalper using relative V@B V@A or if timeliness is of greater concern than completeness then Zen is likely a better choice. Also consider that using 'delta' as a proxy for order flow/inventory is likely to only be around 80% accurate at best anyway.

 

.....and as I have properly stated, those broker supplied feeds are just fine for the non-bid/ask tracking needs of retail trades. I think I have been crystal clear in my complaints of the broker supplied feeds only in the category of proper bid/ask tracking.

 

WOW....80%.....I will take those odds in a NY second! :)

 

I have stopped trading for the month of June and I am taking a little break until July 1st....for the month of June I had double digit monthly returns in all my various accounts, so I have no complaints with the information provided by the bid/ask differential tracking (used for trade entry determinations). Using Cumulative Delta in all my trading has had a substantial dynamic expansion of my month over month returns these past years.....it has really made the difference for me.

Edited by FulcrumTrader

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  FulcrumTrader said:
.....and as I have properly stated, those broker supplied feeds are just fine for the non-bid/ask tracking needs of retail trades. I think I have been crystal clear in my complaints of the broker supplied feeds only in the category of proper bid/ask tracking.

 

WOW....80%.....I will take those odds in a NY second! :)

 

My point is they may be fine for non cumulative bid ask work too (e.g. relative work or delta oscillators where inaccuracies become stale quickly). Anyway lets hope Zenfire make the necessary changes to get things where they were a year or so ago it's a shame there is not much real choice in the retail space.

 

Hehe I'd tale those odds too :D:D though before people get too excited I should stress I was referring to accuracy in using delta to determining direction of order flow, still a far better starting point than a whole bunch of other metrics - but still some way to go to incorporate that information into ones trading!

 

Edit: Enjoy your break btw

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  BlowFish said:
My point is they may be fine for non cumulative bid ask work too (e.g. relative work or delta oscillators where inaccuracies become stale quickly). Anyway lets hope Zenfire make the necessary changes to get things where they were a year or so ago it's a shame there is not much real choice in the retail space.

 

Hehe I'd tale those odds too :D:D though before people get too excited I should stress I was referring to accuracy in using delta to determining direction of order flow, still a far better starting point than a whole bunch of other metrics - but still some way to go to incorporate that information into ones trading!

 

Edit: Enjoy your break btw

 

Yes indeed.......it would sure be nice if these various broker supplied feed companies could do what is needed from an infrastructure stand point and get their feeds set up for proper and accurate bid/ask tracking (why do you think I keep challenging them so much.....LOL!). Also, I have heard the rumors of Tradestation revamping their entire data feed and charting to exactly enable accurate bid/ask order flow tracking (by late summer).....I really hope this is true!!! :) The more companies working to add bid/ask tracking the better imo for additional options of charting and feeds to track Cumulative Delta.

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A real simple solution for those that do not have the infrastructure to handle large ammounts of order book data would be to simply flag each trade saying @BB true/false @BA true/false. That adds a measly 2 bits of information to each trade packet, pretty trivial. Of course that is not good enough for more intricate studies (like tracking pulled orders) but would certainly be a decent compromise..

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I use market delta with DTN IQ and execute through Ninja/Zen

 

I trade news releases, today I had an issue.

Today 6/29 right after the consumer confidence number came out the iq feed and zen fire stayed the same at first but about 15 seconds after the release there was a difference of up to 2 points in the es.

 

I rely on the IQ Feed to be accurate and am confident it was but this presented a huge problem for me.

My point is if you were running MD or IRT off the zen feed and using dtn ma for back fill you would have incorrect data that would be corrected later. This is only the second time I have ever noticed a difference, the other time was on the euro.

 

I would rate IQ Feed as #1 after not only what I have read here but also a friend and I went out to lunch with some guys he works with that run a huge arb operation and they use IQ Feed also, not the much more expensive data from DTN (forgot name) and cost is not an issue at all I imagine.

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DTN/IQ does provide DOM, but it's an extra $20

 

https://www.iqfeed.net/index.cfm?displayaction=data&section=account&menu=1&signup=premiums

 

Ive used IQ for 5ish years now. I've never missed a tick - it's always up. I admit now and then I do get a very small lag (1/2 sec), but its rare and doesnt bother me for how I trade.

 

I've no experience with Zenfire or Ninja.

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  TheDude said:
DTN/IQ does provide DOM, but it's an extra $20

 

https://www.iqfeed.net/index.cfm?displayaction=data&section=account&menu=1&signup=premiums

 

Ive used IQ for 5ish years now. I've never missed a tick - it's always up. I admit now and then I do get a very small lag (1/2 sec), but its rare and doesnt bother me for how I trade.

 

I've no experience with Zenfire or Ninja.

 

Thanks for the link, I figured Zen Fire was wrong not DTN. My post was a little unclear

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im using IRT (=marketdelta) and Ninja Dom, both are feeded with Zenfire.

 

"Today 6/29 right after the consumer confidence number came out the iq feed and zen fire stayed the same at first but about 15 seconds after the release there was a difference of up to 2 points in the es."

 

I had the samething, IRT was for almost a minute 2 points behind the Ninja Dom

 

Both are based on the same feed. Not sure if IRT or Ninja is the problem but there was a big difference.

Edited by O66

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  bathrobe said:
Thanks for the link, I figured Zen Fire was wrong not DTN. My post was a little unclear

 

I am not sure that is a valid assumption. DTN prioritises completeness over timeliness, round news is when Zen might well drop packets however it is likely to have the freshest prices for those couple of seconds. Not saying that is what happened just that it may not be a safe assumption.

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  Nelly Burge said:
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Edited by TLAdmin
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  FulcrumTrader said:
Correct....that may be possible (have no idea what would cause this for EU based traders though). BTW, I know many EU and Dubai based traders using CD trading methods I have developed (with DTN as their feed for CD work), so I will have to talk with all of them Monday to see what they are detecting.

 

Hi FulcrumTrader! Any news from your EU based traders yet?

 

Btw I gote a message from Rithmic that they use TCP for order routing AND their data feed.

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  quertrader said:

Btw I gote a message from Rithmic that they use TCP for order routing AND their data feed.

 

Hmmm interesting. If that is the case then they must purposely drop ticks under certain conditions.

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Could anyone provide feedback on eSignal's data feed. DTN has proven to be unreliable when used with Neoticker to track more then 200 symbols. Although I can confirm that their data is very clean.

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Zenfire's ES data is only slightly less error ridden than Think or Swims (TD Bank owned), which is god awful. Gaps ranging from several minutes to 2 hours and 40 minutes last week alone on zenfire/ninja.

 

It's therefore little wonder that NinjaTrader has allied itself with many LaSalle St. 'bucket shops'.

 

As the Roman crowd is able to consolidate ownership of data sources from the trading floors, your data will become increasingly unreliable.

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  EsotericRule said:
Zenfire's ES data is only slightly less error ridden than Think or Swims (TD Bank owned), which is god awful. Gaps ranging from several minutes to 2 hours and 40 minutes last week alone on zenfire/ninja.

 

 

That's weird, I have only ever seen holes of a second or two, never minutes let alone hours. Having said that I don't spend that much time in front of the PC at the moment. When did the 2h 40m outtage occur and did the client show disconnected? Usually an outage of that length the forums and chat rooms would be incandescent with fury. I wonder if you are experiencing another issue as well.

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What's the most recent on this...?

 

I've abandoned NT as a possibility--I am going to go with either Investor RT or Sierra Chart, which is much faster and intuitive than NT.

 

I'm trying to decide whether to go with a TT feed from Veocity, a Rithmic feed from Optimus/Vision, or to spring for the $80 or so for a separate IQFeed.

 

After reading this thread it seems no service is perfect--the question is, is IQFeed at $80-100 a month worth it as compared to a free Rithmic feed?

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*** UPDATE ***

 

When tracking any sort of BID/ASK differential tools (Cumulative Delta candlesticks, footprint charts, GomLadder, the new "Prometheus" tool over at bigmiketrading, etc) you MUST use CLEAN DATA ! I have tracked Cumulative Delta now for 8 years and this is the current proper way to track Cumulative Delta;

 

Investor RT Pro/MarketDelta.com connected to DTN.IQ feed

 

SC connected to DTN.IQ feed

 

NT7 connected to DTN.IQ feed

 

TradeVec connected to DTN.IQ feed

 

Multicharts connected to DTN.IQ feed (YES indeed!!! I have been working with Multicharts past weeks and they are going to offer Cumulative Delta tools in the months ahead......I have already tested their initial Cumulative Delta candlesticks and I suggested they go ahead and release CD tools for public "beta" testing/feedback........YEEEEEEHAAAAAAA!!!!!)

 

 

*** I DO NOT ever recommend using continuous contracts for proper Cumulative Delta tracking or ever doing backfill data (good DTN.IQ feed thrown on top of junk broker supplied data).......DON'T do layering of data for CD tracking. Also, I have not yet found consistent BID/ASK data from Esignal, so I would not use that data at all. I also do not at all suggest using Zenfire, TT Fix, TS data, OEC data, Transact data, IB data, etc. With DTN.IQ feed you get CLEAN exceptionally reliable BID/ASK data with 30 days of historical BID/ASK data access.....this is the only feed I use for BID/ASK data at this time.

 

For additional details, there is a free webinar over at bigmiketrading this Thursday that covers all aspects of Cumulative Delta usage and data needs.

 

Hope this info helps!

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