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

    • Date: 21st February 2025.   European PMI Disappoint, Weighing on Euro Before German Elections   The Euro is the first currency to witness the volatility on this month’s PMI reports. The French, German and British PMI data have resulted in the Euro being the worst-performing currency of the European Session so far. However, will the Euro continue to decline throughout the day? European Purchasing Managers’ Indexes The French Purchasing Managers Index was the first European index to be made public. The release resulted in the Euro instantly declining 0.24%. The main concern from the French data was the Services PMI which fell from 48.2 to 44.5. Previously the market was expecting the data to remain more or less unchanged. The weak data triggered the decline which came to a halt after Germany’s PMI was released.     The German Manufacturing PMI read 0.5 points higher than previous expectations and the Services PMI was 0.2 points lower. The data from Germany was a relief for Euro investors and the price rose 0.12% higher. However, traders should note that the price of the EURUSD continues to remain 0.20% lower than yesterday’s close. The price of the EURUSD will now depend on the PMI data from the US. The value of the US Dollar will depend on its PMI release this afternoon and the Consumer Sentiment Index. Analysts expect both the US Services and Manufacturing PMI data to remain above the 50.00 level in the expansion zone. German Elections 2 Days Away Germany is set to hold a general election this Sunday, February 23rd, following the collapse of the coalition of social democrats, liberals, and greens. Given the country's highly proportional electoral system, German polls provide a strong indication of potential government formations post-election. The main concern for Germany is the AFD party who are Far-Right Nationalists. Currently, ahead in the polls are CDU (centre-right), and AFD (far right), followed by the SPD (centre-left). Traders should note that the results of the elections are likely to trigger strong volatility on Monday, but also influence volatility today. Economists may become further concerned if the far-right gains power for the first time due to uncertainty. If the government, similar to France, is unable to form a coalition, this would also be a concern for the Eurozone. Furthermore, the Euro this week is also under pressure from comments from members of the European Central Bank. ECB Governing Council member Fabio Panetta said to journalists that officials need not slow interest rate cuts, as January's 2.5% inflation is still expected to reach the 2.0% target this year. He also advised the European economy is weaker than previously expected. EURUSD - Technical Analysis and Indicators The EURUSD is trading above the 75-bar Exponential Moving Average and 100-bar Simple Moving Average on the 2-hour chart. However, the price is moving away from the key resistance level at 1.05058 indicating the price is losing momentum. The short-term volatility is indicating the price is retracing downwards. On the 5-minute timeframe, the price is trading below the 200-bar SMA and is also forming clear lower lows and highs. Simultaneously, the US Dollar Index is trading above the 200-bar SMA on the 5-minute chart confirming no current conflicts. Currently, the US Dollar is the best-performing currency of the day attempting to regain losses from the past 2 weeks. Watch today’s Live Analysis Session for more signals as they develop!   Key Takeaway Points: Weak French Services PMI triggered an initial Euro decline, but German PMI provide a slight relief. However, EURUSD remains lower than yesterday’s close. The Euro’s direction now depends on the US PMI reports, with analysts expecting US data to stay in expansion territory. Sunday's German election could drive volatility, especially if the far-right AFD gains power or if coalition formation proves difficult. ECB official Fabio Panetta suggested no need to slow rate cuts, citing weaker-than-expected economic performance and expected inflation decline. 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.   Michalis Efthymiou 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.
    • BE Bloom Energy stock, watch for a range breakout, target 34 area at https://stockconsultant.com/?BE
    • APLD Applied Digital stock. nice rally, watch for a top of range breakout at https://stockconsultant.com/?APLD
    • UAL United Airlines stock, watch for a narrow range breakout, target 122 area at https://stockconsultant.com/?UAL
    • WBD Warner Bros Discovery stock, watch for a range breakout at https://stockconsultant.com/?WBD
×
×
  • Create New...

Important Information

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