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End of the babbling for today. YMM8 in fact "closed" that RTH gap two nights ago hitting its overnight low exactly at 12262. ESM8 didn't though, so it remains to be seen what to make of YM's intraday "test and hold" of that gap closure. Which is to say there is a setup now for ES to close...

ESM8.

The saga continues! YMM8 is 2 points short of a gap closure (12262) and 24 points off the low pole (12240). Volume was decreasing till the close of the last 60 min bar when it tweaked up. So who wins this squabble - the sucky PPI or the boyz at State Street and USB? For fun have also...

Before abandoning this notion, I'd like to thank the individual who voted "Yes" and the 59 individuals who looked to see what the post was about. Maybe next year. lj

Anyone interested in a QuoteTracker/Zen-Fire software/data feed combo? Y or N? If there's enough interest I will send the poll results to Jerry at QT for his consideration. lj

I'm pretty much in agreement with you about the greater utility of a quick response compared to a pristine accounting of tick data. Very short term scalping is one trading technique where one really does need both and I can think of another. For those traders (for whatever reasons) who...

Perhaps though, some price action matters more than others. Like price action at the edge of an unfilled long term gap with the trend pointing decidedly down. So if you were short YM and pierced the upper edge of the gap (having already pierced the upper pole of the gap) you might be inclined...

A useful chart (to some) on a day like today (and several other days to come). YMM8 RTH (9:30AM-4:00PM EST). Enjoy. lj

You are correct that the data sampling technique used by IB can get around the throttling effect of too much data in too small a pipe but then one is left with an incomplete data set and as well, I believe, volume artifacts. I do not know the precise protocol IB uses and hence cannot speak with...

A final final point. It occured to me that because of my sloppy use of terminology, there may be some confusion about a quote, a tick and a trade and given that the name of the thread refers to quote data, an explanation is in order. A quote need not be a tick, which I am using as being...

A final couple of points: 1. I am talking here about FUTURES data not equities data. The distinction is important in the sense that with futures data, in this case CME Globex, there is only one exchange. For equities there are many more exchanges to consider and it is much more difficult to...

On Friday I spoke with the CME and several retail data vendors. As best I can put things together, market data "leaves the CME floor" in one of the three formats mentioned earlier. The commonest is ITC which has compressed tick data and is the slowest. This is the so-called industry...

As in you would get NT + ZF from one broker and then interface the ZF with IB? lj Note: Earlier I said the second type of data feed was "IRC". That is incorrect. It should be "RLC" (IRC is Internet Relay Chat - go figure). I have some new information about the various feeds, based on...

Gracias jd, I'm on the move - again. I checked out Amp and Mirius as well. They seem to be comparable but Amp has a lower ID margin for futures. I use IB right now and have no complaints but it appears that although you can use NinjaTrader with IB's data feed you cannot do an [IB + NT +...

There is of course a practical aspect to this concern about data lag both in fast markets and in the market at times when it is not considered to be fast. So what is a fast market? Everyone knows what this is but can anyone give me a number which sets the condition, e.g., like: if > x...

jd, Thanks for your suggestion. I will definitely look into Zenfire. Do you know if you can just get the feed and have a brokerage account somewhere else? My guess is "yes" but I don't know. TIA lj

I've heard exactly what you're saying from others and thank you for the reinforcement. It is always a bite when one doesn't have the big bucks to afford a Bloomie, to have to choose between speed and quality. C'est la vie. lj

The second file.

I've attached 2 files, one in this post and one in the next to show what I mean. If still no one can give me a suggestion I'll can the thread. TIA lj

Could anyone tell me, based on personal experience, which data feed (Futures with ES/YM) is least likely to show a quote lag in a fast market? Using the response to the ISM-M numbers of April 1 of this year, I found that my feed was somewhere between 6 and 7 seconds behind a more...