Anyone have a SPY algo running intraday?

[dom993]

Ensign has second-based charts - but it's far from the best when it comes to automation (even though, this is the platform that I currently use for my automated trading systems)

 

[Fireplace]

Do you have any idea how they clean up the data? Meaning what criteria they use? Because if you look over tick data, some prints are very obviously late reports or just bad ticks as they lie, say .40, away from the current bid/ask spread. And also there will be a tick that shows 1 million shares go off when, in reality, not nearly that many traded at that moment. Things like that drive me nuts because they would screw up my algo idea.

I realize that perfect data is impossible but I know there must be better options than Esignal.

Quote from abattia:



My guess is that any tick data you get that is cleaner than eSignal's has been cleaned up by the provider. And it is worth finding out how they have done that, so that you know how far they have departed from reality. Or clean the data yourself, so that you know exactly what's been done. Or use someone like this guy ... tickmaster.webs.com

 

[Fireplace]

How is their tick (seconds) data? Any experiences with it?

Quote from HurricaneUS:

ninjatrader using kinetick has seconds data..plus c# is a lot easier to code than esignal

 

[Fireplace]

Costs are certainly a concern however its more important to me that the data is sound.

I once spoke to someone at IQ.feed and was told that the costs are comparable to esignal's monthly costs....any truth to this?

Quote from dom993:

I have 2 IQ.feeds ... I find them very reliable.

There is a cost to that though, you could give a try to Ninja/Zenfire (although I have heard people complaining in the last year) or some other datafeed bundled with Ninja if you want to shave these costs.

 

[HurricaneUS]

Quote from Fireplace:

How is their tick (seconds) data? Any experiences with it?

I don't use seconds / tick charts...I've played around with them in the past on NinjaTrader and I didn't encounter any problems...their data seems reliable imo....

 

[ABCTG]

Quote from Fireplace:

Costs are certainly a concern however its more important to me that the data is sound.

I once spoke to someone at IQ.feed and was told that the costs are comparable to esignal's monthly costs....any truth to this?

That's correct afaik. Actually they should be slightly cheaper, depending on what you need.