Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

AgeKay

Data Feed with API for Order Book Analysis

Recommended Posts

I do wonder if you really are familiar with these tools (to be honest it doesn't sound like it)? Your "waiting 10-20 years" comment is nonsense, R is open source so it's all available now and guess what? ... if you use a licensed copy of Matlab MathWorks will provide details of algorithms and even chunks of source code.

 

As I asked before I am interested in what you are using Matlab / R for?

 

I'm not waiting 10-20 years per se to trade....from what i know right now it will take 10-20 years to use these AMAZING tools properly to AUGMENT my "intelligence" and add algo EV to my discretionary EV ..A decade to show someone like Ditmar "whats up"...fuck "AI"..even though the concept of augmented intelligence would be the same acronym...

I will admit that if there is utility at all in a moving average model, i believe there is more utility in a hidden markov model, more EV, just because of how absurd simple models are compared to modern markets...As if the entire field of time series analysis died 40 years ago.. Of course there is the pit of "i have a phd in x, not many people understand x, x is somewhat correlated to markets, leverage x model...load the gravy train.."

Fuck them, I want to exploit them too.

My argument for matlab R is really much simpler though..Rentech is hardly in the business of burning cash..Rentech employs Leonard E. Baum...

Baum

If you trade ES for a period of time, bet your ass a part of villain is Leonard E. Baum trading ideas, massively capitalized trading ideas....

basically, nothing is stopping me from upgrading my stick in a machine gun fight beyond my own lazyness and lack of hard work...

As if market profile is a good weapon against an information theory god, backed by the best hedge fund ever...

As if we are so dumbass we can't think of something better than 20 yo market profile bullshit..its just lazy.

Share this post


Link to post
Share on other sites

I have a few ideas for things I'd like to do and I am debating between trying to write a ninjatrader indicator or using the zenfire API directly. Blowfish - how is it going with the zen-fire API?

 

I think they have a java version, i plan to try that. I'm a java guy, good at OO but not very familiar with C#. I got a bit discouraged reading the posts about the zenfire API and think maybe the limitations of a ninjatrader indicator would make it easier & faster. At least for prototyping ideas.

Share this post


Link to post
Share on other sites

cunparis,

 

I developed some things with the Zenfire API for a while when I was especially interested in the trade intensity stuff. In the end I decided it wasn't worth all the extra work (and I didn't get into charting etc). I found I could do everything needed via NT (gomi's work helped too).

 

(fwiw)

Share this post


Link to post
Share on other sites
I have a few ideas for things I'd like to do and I am debating between trying to write a ninjatrader indicator or using the zenfire API directly. Blowfish - how is it going with the zen-fire API?

 

 

I have to regretfully say currently it it is not. I got to the point where I was getting data into a grid and doing some basic manipulation.

 

Whilst I can see the advantage of a managed framework (C#) it really seems to require a disproportionate amount of energy to learn it's in's and outs.Having said that writing in other 'environments' learning the 'environment; is usually the greatest challenge (whether this is directly to the Windows API, the Ninja API or a Java VM for example).

 

If it was me I'd be inclined to do it in the easiest 'environment' (even if just for prototyping) unless that imposes limitations you find unacceptable.

Share this post


Link to post
Share on other sites
I have to regretfully say currently it it is not. I got to the point where I was getting data into a grid and doing some basic manipulation.

 

Whilst I can see the advantage of a managed framework (C#) it really seems to require a disproportionate amount of energy to learn it's in's and outs.Having said that writing in other 'environments' learning the 'environment; is usually the greatest challenge (whether this is directly to the Windows API, the Ninja API or a Java VM for example).

 

If it was me I'd be inclined to do it in the easiest 'environment' (even if just for prototyping) unless that imposes limitations you find unacceptable.

 

Thanks for the feedback. I'm used to programming for Ninja and it's quite easy (not as easy as EasyLanguage but still their API is logical and the documentation is good). Yesterday I was playing around with the OnMarketData & OnMarketDepth methods in Ninja.

 

One of the limitations I was hoping to overcome is the fact that Ninja uses 1 second timestamps while I believe zenfire uses millisecond.

 

I don't have a lot of time for programming. Mainly when the markets are slow at lunch, dinner, and weekends. So I agree on taking the easy route.

 

I am impressed that some companies are writing to the zenfire feed directly. OFA comes to mind. And there are no charges for the API. So far it seems developer friendly, but as you said, complex & time-consuming.

Share this post


Link to post
Share on other sites

The only real information that can at times help set you up for potential directional changes in price is Order Book Delta (from all the un-traded order activity in the order book). I do have an Order Book Delta tool that I run on my NT7 to identify ACV ratios of 2:1 or greater. If all you are going to do is run ACV ratio analysis in the real time order book activities you should be fine with just pulling data from Zenfire API or TT Fix feeds that are available. If you are going to do more intense analysis then you probably will need to go TT API or CQG.

 

Many traders from my group will all be out in Vegas the 17th to 20th of November this year. We are having a Cumulative Delta based traders gathering to look at some of these exact Transaction Level Analysis issues collectively (these are the same dates the Las Vegas Online Trade Expo is going on at Caesars Palace). Those interested in Cumulative Delta and related work will be working together in one of my houses to see what tools we can create for better analysis or automation. We will also be looking into several other specific areas of interest;

 

CD Volume to Total Volume Ratios

 

CD Momentum

 

Trade Intensity

 

CDVWAP Indicators

 

Order Book Delta Indicators

 

We have a good diverse group that will be looking into all these subjects to see what good ideas we can generate as a focused group (programmers and traders will be out in Vegas for this gathering). And of course as a group in the evenings we will be out counting cards as a combined Blackjack hit team to make millions........JK.......LOL! ;) Any of you Cumulative Delta junkies want to meet up one night in Vegas during these dates in November just let me know......we have several scheduled fun times set up in the evenings we can all meet somewhere!

Share this post


Link to post
Share on other sites
Any of you Cumulative Delta junkies want to meet up one night in Vegas during these dates in November just let me know......we have several scheduled fun times set up in the evenings we can all meet somewhere!

 

If I were in the US I'd love to join you but it's quite far from Europe. :) Sounds like a lot of fun though.

Share this post


Link to post
Share on other sites

We will most likely run another Cumulative Delta based trader gathering in Paris in very early August.....I have many EU contacts that want an EU event so those are the dates we are looking at. Also, a Miami Beach in the spring event may take place first....we are looking at dates at this time. Miami will be the "Beach, Babes, and Bots" event! :eek:

 

JK....LOL! ;)

Share this post


Link to post
Share on other sites

Hello,

 

maybe my experience could be useful for someone ...

 

I'm working on analyzing the Level2. I had problems with the Level2 of NinjaTrader + Zenfire (however the Level1 was fine). I could see that not all events were processed. So I decided to work with Rithmic.

 

I have developed a tool from scratch to see the market delta (Level1 analysis) and I am now developing another tool for analyzing the Level2.

Everything is programmed from scratch, using Rithmic's API and VisualStudio (.NET and C#).

 

I have not had any problems with the multithreading.

 

Rithmic events come with microseconds

 

Regards

md02.thumb.png.3f7f97d52dae6e4f515cf79712f19b6a.png

rithmic11.thumb.png.6643aeddfd9089761f16449f59846f7f.png

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Similar Content

    • By Analytics
      Hello all,
      I'm new here so be gentle if I've posted something incorrect. I'm looking for a data feed or API (push or pull at this point) that provides the ability to pull trades based on any set of criteria. All services I am looking at require a Symbol at least. I'm looking for the ability to ADHOC query on any field on the trade or quote and then be able to analyse the information I'm getting, tweak my parameters, to narrow down to symbols I want to watch or monitor. 
      I will be building this within a .net framework so something that works nicely with .net is a plus but at this point I'll code around the difficulties if I find a solution that provides this functionality. 
      Does anyone know if this exists?
      Thanks!
  • Topics

  • Posts

    • YUM Yum Brands stock, nice breakout with volume +34.5%, from Stocks to Watch at https://stockconsultant.com/?YUM
    • Date: 3rd April 2025.   Gold Prices Pull Back After Record High as Traders Eye Trump’s Tariffs.   Key Takeaways:   Gold prices retreated after hitting a record high of $3,167.57 per ounce due to profit-taking. President Trump announced a 10% baseline tariff on all US imports, escalating trade tensions. Gold remains exempt from reciprocal tariffs, reinforcing its safe-haven appeal. Investors await US non-farm payroll data for further market direction. Fed rate cut bets and weaker US Treasury yields underpin gold’s bullish outlook. Gold Prices Retreat from Record Highs Amid Profit-Taking Gold prices saw a pullback on Thursday as traders opted to take profits following a historic surge. Spot gold declined 0.4% to $3,122.10 per ounce as of 0710 GMT, retreating from its fresh all-time high of $3,167.57. Meanwhile, US gold futures slipped 0.7% to $3,145.00 per ounce, reflecting broader market uncertainty over economic and geopolitical developments.   The recent rally was largely fueled by concerns over escalating trade tensions after President Donald Trump unveiled sweeping new import tariffs. The 10% baseline tariff on all goods entering the US further deepened the global trade conflict, intensifying investor demand for safe-haven assets like gold. However, as traders locked in gains from the surge, prices saw a modest retracement.   Trump’s Tariffs and Their Market Implications On Wednesday, Trump introduced a sweeping tariff policy imposing a 10% baseline duty on all imports, with significantly higher tariffs on select nations. While this move was aimed at bolstering domestic manufacturing, it sent shockwaves across global markets, fueling inflation concerns and heightening trade war fears.   Gold’s Role Amid Trade War Escalations Despite the widespread tariff measures, the White House clarified that reciprocal tariffs do not apply to gold, energy, and ‘certain minerals that are not available in the US’. This exemption suggests that central banks and institutional investors may continue favouring gold as a hedge against economic instability. One of the key factors supporting gold is the slowdown that these tariffs could cause in the US economy, which raises the likelihood of future Federal Reserve rate cuts. Gold is currently in a pure momentum trade. Market participants are on the sidelines and until we see a significant shakeout, this momentum could persist.   Impact on the US Dollar and Bond Yields Gold prices typically move inversely to the US dollar, and the latest developments have pushed the dollar to its weakest level since October 2024. Market participants are increasingly pricing in the possibility of a Fed rate cut, as the tariffs could weigh on economic growth.   Additionally, US Treasury yields have plummeted, reflecting growing recession fears. Lower bond yields reduce the opportunity cost of holding non-yielding assets like gold, making it a more attractive investment.         Technical Analysis: Key Levels to Watch Gold’s recent rally has pushed it into overbought territory, with the Relative Strength Index (RSI) above 70. This indicates a potential short-term pullback before the uptrend resumes. The immediate support level lies at $3,115, aligning with the Asian session low. A further decline could bring gold towards the $3,100 psychological level, which has previously acted as a strong support zone. Below this, the $3,076–$3,057 region represents a critical weekly support range where buyers may re-enter the market. In the event of a more significant correction, $3,000 stands as a major psychological floor.   On the upside, gold faces immediate resistance at $3,149. A break above this level could signal renewed bullish momentum, potentially leading to a retest of the record high at $3,167. If bullish momentum persists, the next target is the $3,200 psychological barrier, which could pave the way for further gains. Despite the recent pullback, the broader trend remains bullish, with dips likely to be viewed as buying opportunities.   Looking Ahead: Non-Farm Payrolls and Fed Policy Traders are closely monitoring Friday’s US non-farm payrolls (NFP) report, which could provide critical insights into the Federal Reserve’s next policy moves. A weaker-than-expected jobs report may strengthen expectations for an interest rate cut, further boosting gold prices.   Other key economic data releases, such as jobless claims and the ISM Services PMI, may also impact market sentiment in the short term. However, with rising geopolitical uncertainties, trade tensions, and a weakening US dollar, gold’s safe-haven appeal remains strong.   Conclusion: While short-term profit-taking may trigger minor corrections, gold’s long-term outlook remains bullish. As global trade tensions mount and the Federal Reserve leans toward a more accommodative stance, gold could see further gains in the months ahead.   Always trade with strict risk management. Your capital is the single most important aspect of your trading business.   Please note that times displayed based on local time zone and are from time of writing this report.   Click HERE to access the full HFM Economic calendar.   Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE!   Click HERE to READ more Market news.   Andria Pichidi HFMarkets   Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in Leveraged Products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • AMZN Amazon stock, nice buying at the 187.26 triple+ support area at https://stockconsultant.com/?AMZN
    • DELL Dell Technologies stock, good day moving higher off the 90.99 double support area, from Stocks to Watch at https://stockconsultant.com/?DELL
    • MCK Mckesson stock, nice trend and continuation breakout at https://stockconsultant.com/?MCK
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.