Good broker for automated futures and options trading?

Discussion in 'Automated Trading' started by snackly, Apr 6, 2009.

  1. taotree

    taotree

    Are you getting data through FIX? Is there any performance concern?

    My understanding is that FIX is a text/tag based protocol which I'm a little concerned would be somewhat inefficient for providing data.

    If you use it for data, could you comment? Thanks!
     
    #11     Apr 13, 2009
  2. I think the 3,75 is worse than the 4,50, unless you have a similar data feed included. I do not plan to make many hundreds of round trips YET.

    Problem with FIX is imho not tag based - that is not a concern speed wise for order management, after all, one does not submit thousands of orders a second.

    THe problem is the data stream. Unless Velocity provides that for free, the additional costs of a high quality data feed - will outweigh the 0,75 per round trip. I thought abou tthat, too, but I could not get a decent offer together. Mirus' Zen Fire has high praises and actually an API, not a program to run (like IB). I am thinking of not using ZenFire for position management and doing that with FIX, too, but the price of the data feed.... makes the 4,5 very convincing ;) At least for now ;)
     
    #12     Apr 13, 2009
  3. taotree

    taotree

    I specifically asked about data, not order management. It is possible to get data via FIX. There is also a FAST FIX protocol, and I'm researching right now to see if the TT Adapter supports that. If so... VelocityFutures with TT's FIX Adapter looks interesting.

    If I interpret the response from VelocityFutures correctly, you do get the data feed for free. I'll be asking about whether it's unfiltered.
     
    #13     Apr 13, 2009
  4. RedRat

    RedRat


    I am getting market data for futures from Velocity, FIX protocol, yes it is free. I did not compare the performance against Mirus but as far as I read on this forum, TradingTechnology (TT) FIX adapter is quite fast, there is no delay. I do not do high frequency trading so I am satisfied. I do not trade during FOMC meeting. While I collect data during that period and can see many many incoming ticks within first say two minutes.

    The market data seems to be filtered but why do you need data far beyond bid/ask? You can not trade at these rates.

    And it seems market data are aggregated. Say there were two trades 660.2 #2 and 660.2 #3 you may get 660.2 # 5
    But I am not sure here. Also as I read on EliteTrader in new version of TT FIX Adapter they send separate trades.

    My executions are very good.
     
    #14     Apr 13, 2009
  5. RedRat

    RedRat

    Guys,

    Let us compare Mirus against TT?
    Attached please find small archive of yesterday ticks data 13th of April 2009, first 4 minutes of the opening of the session. That is June ES futures contract.

    File format:
    time (unfortunately up to seconds),price,volume

    My time can be not in synch with the global time, but it should be possible to compare files based on Volume information.

    Could you please give me first 5 minutes of Mirus data? I know it is possible to request historical data via Ninja. But may be you have real time logging of incoming ticks data, it would be better, because of it is possible to adjust historical information.

    Regards,
    RR
     
    #15     Apr 14, 2009
  6. jjw

    jjw ET Sponsor

    Your data in column A looks to be of the form hhmmss. it starts at 93000. what timezone?
     
    #16     Apr 14, 2009
  7. RedRat

    RedRat

    That is ET time, opening of the market when there is high volume, so we can compare ticks.
     
    #17     Apr 14, 2009
  8. cvds16

    cvds16

    you are not allowed to trade options automatically on American markets.
     
    #18     Apr 14, 2009
  9. RedRat

    RedRat


    What prevents you from trading options automatically? Through say IB platform? Who prevents me from pushing market or limit orders? Marketmakers? Come on! Any info?
     
    #19     Apr 14, 2009
  10. cvds16

    cvds16

    as you obviously know best: try it !
     
    #20     Apr 14, 2009