Even futures options? I sometimes place automated orders on ag and metal options, but it's through TWS and not FIX. I don't know how they would know it since I transmit a low number of messages( I am just putting a limit order at midpoint which updates automatically ).
as requested, attached is a file containing all trades, best bids and best asks reported for esm9 from yesterday at 0930 nyt until 0934 nyt. this data is the data that Zen-Fire uses. let us know how this data compares. Fyi, the time stamps are precise to the microsecond.
I don't trade through them and I don't think any previous poster mentioned them but Advantage Futures may be well-qualified for automated and algorithmic trading. Check'em out.
all the date and time fields (including the microseconds) represent the time at which our software receieved the data. we synchronize our clocks to a stratum 1 time server. we understand that the cme provides time synchronization services but their time server is a stratum 4 time server (more jitter/variation). given that we need to measure performance in the microsecond range for our clients we opted to use a less jittery time source and stamp our messages accordingly.
Thank you Jonathan, You have an excellent data feed. It is hard to compare row by row, ticks are totally different. Your file starting from row 327, trades only: price = 845.25 volume = 3 price = 845.00 volume = 5 price = 845.25 volume = 1 price = 845.00 volume = 1 ### price = 845.00 volume = 2 84500 1 84500 2 84500 3 84500 5 84500 9 84500 1 84500 1 84500 1 84500 1 84500 5 84500 1 84500 2 84525 8 My file, starting from row 10 845.25 1 845 1 845 26 845 8 845.25 8 Sum of your volume for trades at 845 = 35 (starting from label ###) Sum of my volume for trades at 845 = 35 next tick is 8 both in your feed and my feed. Then your feed 84500 5 84525 13 84525 3 my feed 845 5 845.25 16 and 16 = 13 + 3 It is interesting to note, that some of trades from Jonathan feed have the same time in microseconds. Let us suppose we have two sellers, A and B A = ask 845.25, volume 13 B = ask 845.25, volume 3 and we have one buyer C, who wants to buy 16 contracts at the market price. Then that is depends upon how you send ticks. You can send two separate trades, 13 and 3. Or you can send single tick 16. At the same time, Jonathan time stamps for there trades are different: 162822 163025 so it seems TT aggregates these two trades into one! Total volume should be correct. I also calculated total volume for first 4 minutes of your file and my file and they are very similar, around 25 000. Then let us have a look at the first 3 rows of your file above, I repeat them: price = 845.25 volume = 3 price = 845.00 volume = 5 price = 845.25 volume = 1 I did not receive such a tick, 845.00 at all. May be it was aggregated into 845.25, who knows. Conclusions: TT feed aggregates trades. If I find a link I will post it here, someone wrote on EliteTrader that new version of TT adapter sends more ticks. Unfortunately I can not measure time delay for TT feed, because of we need to synch clocks. If you use price bars and trades on 1min + interval there should be no problems. If you use tick bars, Mirus data may be more suitable. If you use constant volume bars, data are very similar because of volume aggregation For high frequency trading you need data like Jonathan provided. Thanks again, Yaroslav
The TT system -- gateways, APIs, X_TRADER -- does not aggregate trades. TT passes thru what it receives from the exchange. Normally this is the aggressive side of the trade, e.g., a 10 lot sell that fills 3 resting bids of 1, 4 and 5 is displayed as a trade of 10. The Time and Sales window in X_TRADER 7.6 was refactored to improve performance. This fixed an issue we had where during a busy market trades received with the same time stamp were sometimes lumped into a single trade update with the combined quantity.
I've been wondering about how that is represented in the data. The problem is if they represent that as 10... usually the data has a price and size--what price do they associate with that 10? and the information that 1, 4, 5 traded at 3 different prices is lost information. I was on the phone with a guy from AdvantageFutures yesterday and it sounds like for the NinjaTrader feed at least, TT aggregates messages--they coallesce trades to a single message per 100 milliseconds. But, he said T&S information inside that should not be aggregated. He said that he could get me an unfiltered feed but that generally during fast market moves, that results in a frozen DOM and so they don't do that usually.