tick granularity and brokers

Discussion in 'Forex' started by mcgene4xpro, Jun 6, 2010.

  1. Hi all,

    I am trading forex primarily. Currently, i am developing ATS that going to scalp ticks. However, i figured out that some brokers tick data is very few and others are very many. So, would you please explain this to a newbie here?

    How this occur?

    What is the idea of filtered vs unfiltered tick data?
    why i see some brokers have only 6 ticks per minute vs 50 in other broker platform?

    Another question, if i have a data feed provider , for example Zenfire, and this provider will send me real time data feed but my broker didn't show the same tick data. How this will affect my tick scalping strategy?

    by different words, suppose Zenfire shows there are tick up for 4 pips and my signaling strategy send a buy order but at the same time , my broker didn't show this tick up ... i am still confusing how this will work out.

    Any helpful thoughts will be highly appreciated.

  2. for granularity...there is only Oil, Gold futures and the mini-Russell 200 future...or the YM, mini dow future...
  3. olias


    I'm not expert, but this is my understanding: Zenfire uses 'unfiltered' data. What I have heard is that 'unfiltered' means that even the bad ticks are included in the Zenfire data feed. So it's possible you're seeing a tick from Zenfire that didn't actually occur, which could explain the discrepancy. Furthermore, my understanding is that TT and IB data feeds for Ninja use 'filtered' data....so the bad ticks have been eliminated from the data. That leads me to conclude that IB and TT data is more accurate.

    Now, is there a downside to using filtered data? I honestly don't know. Maybe someone else can chime in on this.
  4. i thought that IB and others 'flitered' data is to reduce the quantity of data having
    to be delivered rather than 'cleaning' data
    somewhere in NinjaTrader there's a menu where 'filtering/spike' can be set

    i don't see scalping ticks to be viable, seconds maybe

    while the price charts of fx brokers and the 6E contract are virtually identical
    Oanda has seconds charts - 30 10 5 and there is a difference there between
    the activity of Oanda's price data and the 6E - Oanda showing more activity and
    thereby the 6E different due to less activity
    also Oanda has a non fluctating spread, 0.9 pips during rth and is the largest
    and oldest fx broker which probably accounts for the higher activity

    however for what the op wants, he should contact http://www.rithmic.com who
    provide the software infrastructure architecture for Zen-Fire
    "Tick-to-Trade in less than 250µs"
    Strategic Partners
    FCMs: Dorman Trading Fortis Newedge Vision Financial Markets
    IBs: AMP Futures Mirus Futures Optimus Trading Group Orion Futures Group
    Technology Groups: NinjaTrader Omnesys Technologies, Inc. Zen-Fire
  5. Celine


    Youve got to be nuts to use Zen Fire, its way too expensive. You will churn your account in fees and they dont give breaks either.