Ninja Zen no more unfiltered data?

Discussion in 'Data Sets and Feeds' started by RandomX, Feb 3, 2010.

  1. RandomX

    RandomX

    Did you notice that Ninja Zen DOM does not support unfiltered data anymore?

    Bid Ask size are update in 100/150 milliseconds

    Why?
     
  2. NT is not yet capable of handling the NEW data flow output since the Oct, 2009 CME changes. CME now has more granularity within the days data (more data per unit of time) and this has caused reliability issues with some broker feeds and trade platforms. For instance, TT Fix Adapter feed has to be coalesced just for NT users.....just an example for you.
     
  3. AMT, do you mean that volume-based indicators on Ninjatrader 6.5.x based on bid/ask, tick volume, volume traded on bid/ask, etc. are affected by NT architecture (even with Zenfire) with the new CME feed? :(
     
  4. Yes that is correct, but the problem is not limited to NT.
    It's ZEN's inability to handle the new data flow output from the CME that is the issue.
    The problem is not NT"s architecture, I see the issue and I don't use NT, but I use the ZEN feed.
     
  5. So even with NT 7 there will no be a solution? :eek:
     
  6. Yo man, it has nothing to do with NT or any software package.
    This can't be fixed by a software package.

    It has to do with the DATA coming from ZEN.
     
  7. I have found problems with Zenfire/Rithmic feeds AND Ninjatrader at times (that is Ninjatrader dropping data connected to other feeds also). Yes.....NT is NOT able to handle uncoalesced data feeds at all times of the day and you may get data drops as you try and do bid/ask volume work.

    For instance, TT Fix Adapter feed has to be coalesced JUST FOR NT and not for other platforms (Strategy Runner, TradeVec, etc). Unfortunately BOTH Zenfire/Rithmic AND NT can cause data drop issues for those working with bid/ask differential data.......so don't use NT or Zenfire/Rithmic for ANY bid/ask differential work at this time. Also, do not use Esignal, Transact, OEC, or any other broker supplied feeds for bid/ask differential work.

    What can you use??? Simple, Use Investor RT or MarketDelta for your charting with DTN.IQ feed......this set up has performed perfectly since the CME data changes. Another excellent choice is to use CQG with their very "clean" bid/ask differential data as used with their TFlow bid/ask volume study.

    ANYONE trying to use Rithmic/Zenfire feed or Ninjatrader platform for any type of bid/ask differential work will be subject to errors on a daily basis.......sad to say!
     
  8. I have been running investor rt with transact data feed for a few weeks now and periodically I will reload the historical data from DTN market access. I have not noticed any significant different in the transact data & DTN. I'm talking about the bid/ask data.

    However, with the dax it's a different story. The transact bid/ask data is horrible, especially when the dax moves quickly. So bad in fact that I'm trying to get zen-fire working with IRT so that I can test to see if it's more reliable.

    IQFeed at $266/month is a bit expensive if zen-fire can do it. I believe for US futures it can.
     
  9. There are issues with Windows based systems when processing price updates inside of 50 ms.

    Attached is a graph of time flux reported on one of our windows servers. The System clock runs +/- 50 ms over a trading session.

    For higher precision time syncs consider using NTP and sync with CME's NTP servers. The IP addresses for the CME Group Gateway Time servers are:

    209.133.24.7
    65.164.7.70
    65.164.7.71

    Check out meinberg.de and http://www.time-server-monitor.com

    CME Fix provides last trade time in milliseconds.
    Though CME states you are not to rely on this time stamp it can provide a gauge for how delayed the data is at your time of process.

    Sub 50ms processes are difficult to accurately sample and measure.








     
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  10. Great info PocketChange!


    BTW, Rithmic connected to Investor RT does not give proper bid/ask data runs each day and Rithmic does not have a ticker plant like DTN.IQ feed......that set up will not work.

    For Basic CME/NYSE/Nasdaq portion of my data with DTN.IQ I pay about $125.00 a month (well worth it for proper data runs each day).
     
    #10     Feb 11, 2010