I posted this a while ago on the "Software Used to Trade JH Method" thread and got no response so I'm addressing any trader who might know. For a rapid read of this post skip to the last two sentences. TIA lj To mods: If protocol dictates it to be necessary, please delete the post from the other thread. This is a FYI post with a question. For the past few weeks I have had three data feeds running: DTNIQFeed, IB, and NT. The order of preference is: NT, DTNIQFeed and IB. The reasons are as follows: IB although âfreeâ to those with an account, sends its data in 100 msec pulse packets. This is not problematic unless you are a scalper or unless you require rigorous bars and rigorous volume â a tick or two IS important and several hundred shares ARE important. For many, the service IB offers is totally adequate. Go for it. For Hershey traders it isnât. Hereâs why. Thereâs this rule (I forget the acronymic designation but Iâm sure of the content) which says all trades must be reported within 30 seconds of the actual transaction time â the so-called âlate tradeâ, or something like that, rule. To see this in action do the following: Set IB as the data feed for your charting software program and open a T&S window... Open TWS and then open Booktrader (this will give you the DOM). Observe. What you will see is that there are a large number of trades which donât show up on the streaming DOM but do show up on the CONTEMPORANEOUS streaming T&S (which is of course âthe last priceâ). Itâs definitely, initially, a WTF, but makes perfect sense when you remember that IB sends their tick data in 100 msec packets. So indeed you get all the ticks but their packaging can screw up a price bar and a volume bar (not to mention the ârawâ tick data itself) depending on where the packet lands in relation to the time fractal of the bar and the volume. Remember there are 30 seconds for these âlate tradesâ to be reported. In a recent discussion with Spyder on the IR thread he observed such a problem: âAlso, please check your backup data providers for Volume levels on the 11:35 ES [close of] bar. I show increasing Volume on this bar (as did a few other people today).â http://www.elitetrader.com/vb/showthread.php?s=&threadid=113310&perpage=6&pagenumber=1321. The data feed for the chart in my post (to which he was referring in his post) was IB. When I checked, both NT and DTNIQFeed showed a bar with increasing volume. NT is to be preferred over DTNIQFeed (and IB) because it gives the trader streaming tick by tick data, so called RLC data. DTNIQfeed gives one ITC 2.1 (non-DOM) data (some tick compression is allowed but there is no time-constrained bundling of ticks). Where DTNIQFeed screws up is in âfast marketsâ where its data lag can be impressive (seconds) but there are no large tick packets. I know that many traders (on this thread) now use TN with its associated data feed. The software is superb, IMO, better than NTâs. My question to any trader who uses TN, is this: Is its streaming tick data comparable to that of NTâs?
Apologies to all who might have read the above post. As is frequently the case, as soon as you say something hasn't happened, it happens. This from a responder on the SUTTTJHM thread and my response to him: Damn and Doh! You are exactly right. NT is the software and I get the data feed from AMP. MIRUS uses the same feed as AMP. Thank you for the correction. lj Bottom line the question remains: Can two RLC feeds from different data vendors be expected to be the same? lj