Gracias jd, I'm on the move - again. I checked out Amp and Mirius as well. They seem to be comparable but Amp has a lower ID margin for futures. I use IB right now and have no complaints but it appears that although you can use NinjaTrader with IB's data feed you cannot do an [IB + NT + Zenfire] combo. Don't know why. Thanks for your help. lj
As in you would get NT + ZF from one broker and then interface the ZF with IB? lj Note: Earlier I said the second type of data feed was "IRC". That is incorrect. It should be "RLC" (IRC is Internet Relay Chat - go figure). I have some new information about the various feeds, based on conversations with several data feed vendors and with some knowledgeable folks at CME, which I will post over the weekend.
I had NT with ZF and IB, orders could with placed with IB or Mirus (ZF) depending on the account selected in the DOM or Chart. The way I connected, ZF first, then IB, intraday data was sourced from ZF, while daily data was sourced from IB. Since Zen does not support daily data at this time, NT would look to the secondary connection (IB) when daily data was requested.
On Friday I spoke with the CME and several retail data vendors. As best I can put things together, market data "leaves the CME floor" in one of the three formats mentioned earlier. The commonest is ITC which has compressed tick data and is the slowest. This is the so-called industry standard. Although I did not ask CME this, my guess is that it is also the cheapest. Next is the RLC format which is faster and which shows all ticks. It is the one used when a DOM is part of the package a vendor offers you. It is also faster than ITC. The last is Fix/Fast which is the fastest and theoretically the quality of the data should be the same as RLC, i.e., all the ticks. This is the feed that the very high end vendors will have and is tailored for the major players (and the price reflects that). The CME people said that as yet no retail vendor has this format in place although the goal is to have all retail vendors with this format within the next 1-2 years. The raw market data makes its way to your computer in a variety of ways and in the best of all worlds you would have your computer about 2 inches from the floor of the exchange (that's what all the major players try to do). Well that isn't going to happen so the next best thing is to have the initial processing point for the raw data which your vendor supplies you as close to its source as possible and for that data to get to you with the least amount and/or likelihood of delay. If you live in Fort St. Nowhere you should not get your data as quickly as if you live in Chicago. On the other hand if the Chicago vendor has ineffective servers (for whatever reason) and interfaces with clients using a dial-up connection, you will get your data more quickly if your data vendor has top of the line servers and you have a "direct" high speed internet connection (T-whatever) to him. Where most of the lag comes in, IMO, is in the "vendor to you" part of the route. This is where you will pay money to get faster data transfer and if you're paying for it and not getting it, then the most likely culprit is your data vendor and not the CME or the internet (in the form of your ISP). Clearly the faster the download speed from your ISP the better. Better yet if you have the money get yourself a T-whatever connection to the net or "directly" to your data vendor. Most people will have a cable-modem service with download speeds of 1-10 Mbps. So how can you tell if you are getting slow data? One way is to ask your data vendor. The other is to do a test where you compare data vendors (the vast majority of these businesses have 30 day trials) and find out for yourself. Use an unfiltered T&S readout and compare times and quotes. To check things out in a fast market you can do what I did and use a filtered T&S (this just cuts down on the number of data points) and compare times to the peak extremum of the response. Note well that here I am talking about so-called "first tier" data vendors and if you're getting data from lower end vendors then LofL and LOL - you will be losing before you even place a trade. So get smart and spend some time and money to find the best vendor you can at this point in your career, and then try and trade. Do not let some numnutz tell you that you are trying to "get an edge which isn't there". Unless you do this or something like this you will be starting with less than the necessary box of tools to try and beat this game. All the nifty software, ingenious indicators and guru advice will be to no avail. If your data sux then so will your P&L. As always, with anything I say, please feel free to challenge it with impunity, reckless abandon and better facts. lj Note: I appreciate that there are ways to fine tune the speed at which you get your data and as well that there are some things which you simply can't control.
A final couple of points: 1. I am talking here about FUTURES data not equities data. The distinction is important in the sense that with futures data, in this case CME Globex, there is only one exchange. For equities there are many more exchanges to consider and it is much more difficult to ascertain if one's data feed is presenting all the trades. 2. If your style of trading is EOD you need not be concerned with a lagged feed. 3. If you're trading interday swings and enter when the market is normal or slow, you probably can get away with a lagged feed. 4. If you are scalping or trying to trade "market announcements" and you have a lagged feed you are out of the picture. The same holds true, IMO, if you try to trade an intraday burst of volatility. Even if you correctly anticipate the move and are "in the trade before it happens", you still have to contend with the "time till peak" effect. 5. There are certain types of charts (tick charts) that, if you are dealing with compressed tick data or with lagged data, are less than meaningful, especially if the duration of the tick bar is short. 6. An RLC or Fix/Fast feed will give you "unfiltered" tick data which to my mind means ALL the ticks. This is not the same as giving you all the quotes. lj
A final final point. It occured to me that because of my sloppy use of terminology, there may be some confusion about a quote, a tick and a trade and given that the name of the thread refers to quote data, an explanation is in order. A quote need not be a tick, which I am using as being synonymous with a trade. In a "raw data" table there is frequently given the option to observe "only the trades" as opposed to "all the data" which will include both trades (which are the T&S data) and quotes. If the T&S data is lagging then of course the quote data will be lagging. What we are concerned with is the: [T&S = completed trade = last price] data because that is what is used to construct a chart. My apologies for any mental grimaces my oversight may have produced. lj
Sampled data feeds such as those offered by Interactive Brokers and Thinkorswim are the likely solution. Oh sure, they'll skip some ticks, but unless you have sub millisecond response-time, it won't really matter. The key is: the current prices will always be there. With unsampled data feeds, they'll just "clog" the servers sending the data to you...causing delays. But you'll get all of the ticks. Which do you prefer ?
You are correct that the data sampling technique used by IB can get around the throttling effect of too much data in too small a pipe but then one is left with an incomplete data set and as well, I believe, volume artifacts. I do not know the precise protocol IB uses and hence cannot speak with any authority on how off course the volume data may be. However there appear to be data feed providers (some of them have been discussed here) which can provide timely, complete tick sets and as I said earlier it just depends on how much your trading style requires data with such characteristics. The important thing, and this as much as anything is what I've tried to point out, is that the trader be aware of the possible limitations of what it is they are looking at, be it raw numerical data or a chart and not get sucked in to trying to do more with their data than what it will allow. Some of the stuff that is passed off as "market data" is worse than a coin toss by a painfully large portion of 0.5. lj lj