Since every single order goes through the exchange for futures example the ES, so what about the data coming from the different data feeds? Should a 5 minute bar at 10.50am be the same OHLC from the various different data feeds, and also print the same OHLC on the various different charting platforms? My logical answer is there would be very very slight differences in the tick? maybe one or two ticks but generally it should be the same? OR the 5 minute bar printed at 10.50 should have the same OHLC for ALL platforms? thanks
The short answer to your question is "it depends". It depends primarily on the following: 1) is the data tick by tick or is it consolidated at some increment (ie 2x per second)? 2) does it include the exchange time stamp? 3) does the platform utilize the exchange time stamp or some other time stamp such as when the data was actually received? If you're comparing platforms that use tick level data, there's no missing data, and it's utilizing the exchange time stamp, then they should all produce the same results. The issue is that not all platforms are going to provide data based on the ticks, some will be consolidated, and they may or may not be using the exchange time.
so as long as the platform uses tick data, it should be the same? that's a relief. because i primarily switched from mt4 to futures because of the noisy charts especially if your doing 5 min timeframe
Even if the platform is using tick data, if it's not basing the graphs on the exchange time stamp, it will still differ. I can't speak to MT4 specifically. I would assume that if it's using tick data that it is also using the exchange time stamp, but I can't guarantee you that.
thanks Lee! I guess the main difference I can say is that all orders of example ES contract will go through the exchange? However is funny as I am still experiencing some slippage when I trade the 6B for example, around 2AM Chicago I guess, but still, orders all over the world and there is still so little liquidity?? I switched from forex to futures because I thought charts will be less "noisy" and most importantly "real" if u get what i mean. Different forex brokers can manipulate the mt4 platform.
There is a difference between the quality of the tick data you are receiving versus the latency of execution you are getting. This is where data feeds differ in execution from one to another. The latency also depends on your operating systems, speed and quality of internet, etc.