Zenfire feed is just a "brand name" Rithmic uses for their feed supplied to NT users. Rithmic feed even connected to Inv RT Pro was showing data drops for BID/ASK work. BOTH Rithmic/Zenfire feeds are not working properly for BID/ASK Cumulative Delta work.
Try out CME's E-Quotes to get a data feed directly from the exchange: Two week trial than $95 / month. http://www.cmegroup.com/market-data/real-time-quotes/eQuotes_Package_Comparison.html CME also lists over 200 licensed data providers: Neither Mirus/Zenfire nor Rithmic are on their licensed quote vendor list: http://www.cmegroup.com/market-data/licensed-quote-vendors/index.html Some of their licensed providers deliver the data feed with a polished API for integration.
PC...quick question. Have you ever looked into TradeVec for what you are doing these days? http://www.vcap.com/tradevec/ (webinar is actually this Tuesday now at 3:30 pm US central time) TradeVec may be adding Cumulative Delta studies soon which I would love to see. They also have their platform set up to take more than one feed which is great.
Nope. Don't use any discretionary interfaces, everything we trade is algorithmically executed against our Broker's price feed. Process Feed - Trigger Actions - Log in DB
Just to clarify, the CME E-Quotes package isn't a data feed direct from the exchange. The CME resells a retail package from one of its licensed vendors. The data goes through the same processing as if you were to buy the product from that company. I wanted to clarify because we talk to customers every once and a while who think they are getting the data more direct from the exchange when they receive it from a broker feed or a service the exchange re-markets such as E-Quotes.
We noticed during testing the CME e-quotes feed updates are throttled and were disappointed with the lack of API. Not sure about any reselling arrangements because everything including the trademarks, software license, support and billing are represented to be provided directly by CME Group. Did they acquire the licensed provider/developer in order to roll this out as their own branded service?
Wow, glad to see I'm not the only one building analysis tools on Java in Linux. I also have an in Memory DOM table, but I can't validate it because some trades are not making sense, I think due to the issue talked about on this forum, which is what caught my attention. You could create an abstraction layer for your feed, but I personally would not. Most of the APIs that I have seen are similar enough and all I am doing at that layer is writing a callback function that pulls out about 5 pieces of information for each Tick. I try to keep the tick receiving logic as simple as possible to ensure that it will always respond quickly during heavy activity. So far that's not been an issue although I have a dedicated computer for receiving the data feed.