DataFeed Recommendations

[thstart]

Look at my new blog posting about:

Of BOLTs and Flashes - New “Flash” and BOLT functionality - Nasdaq, BATS Preferential Member Treatment by Holding Orders for 3 seconds

http://blog.tradersheadstart.com/2009/07/new-flash-and-bolt-functionality-nasdaq.html

 

[Landis82]

It's pretty unbelievable that this kind of "pre-routing" is being promoted and the SEC appears to be asleep at the wheel yet again.

I don't have all of the facts, but it certainly appears as though the marketplace ( and playing field ) is not very level, at all.

 

[OldTrader]

Quote from Vertex:

Last fall I happened to be running a demo of Zenfire to compare against my live IB account during a Fed announcement. Actually, I was specifically comparing ES during a volatile announcement because I had read several statements like the one quoted above.

I remember the details because there was a striking difference in the feeds. The Fed bar opened and spiked down very fast followed by a bounce back up. At this point the Zenfire chart showed a bar low of 2.25 points lower than the IB feed, and posted those lower trades to the T&S that IB missed completely. As I remember, price then dropped back down and closed much lower basically covering the missing trades on the IB feed chart. But still at one point in the bar IB was missing 9 ticks.

Sure, last fall was extraordinarily volatile on a normal bar much less a Fed bar, but I saw first hand how a snapshot sometimes misses things. I also saw how live feeds don't necessarily lag, at least not all of them.

I personally think the whole "never lags because its a snapshot" is just an attempt at selling a weakness as a positive.

I can't compare it with Zenfire, no information there. What I can compare it with is E-Signal data. E-Signal definitely lags during heavy volume periods.

Does IB miss some ticks. Yes. Because of the snapshot process it may well miss something. I've had fills that don't appear on the chart. Usually where I get those is when I'm getting out of a position, it's moving rapidly in up for instance, and I'm selling. Once in a while I'll get a fill that never looks like it traded at that time.

Whether that affects your trading is another question. I'm like one of the other posters. I want an up-to-date quote. If the chart is off somewhat, I could care less. The charts I pay the most attention to are hourly or daily, not like one poster here who uses 87-tick charts, or like some of the others who probably use 1 minute charts.

If your feed is up to date, and does not lag, use it. Makes no difference to me. If you require tick charts then IB won't do the job. All I need is an up-to-date quote. Missing one of the ticks on a one minute chart is not going to bother me. (By the way, it doesn't miss them all, or even most of them, it's strictly once in a while).

OldTrader

 

[OldTrader]

Quote from Landis82:

I would once again disagree.

It's not just the kind of volatility that occurs around FOMC announcements . . . it's any time that volume and price activity surge. And given the high percentage of program trading activity in the market place today, the majority of volume occurs via these programs that more often than not, can create surges in price.

A "filtered" snap-shot feed is processed and presented in a totally different manner of technology vs a tick-feed. The "lags" are significant.

But that's just my opinion based on my experiences in the market place as a "scalper".

I agree that the volatility or price surges can be at any time, not just fed announcements. I just used it as an example.

You seem to be saying that IB's snapshot feed lags, and I would have to say that is false.

My experience is with E-Signal's data feed most recently. Go read some of the threads, I suspect you'll find out their feed lags during heavy or rapid trading conditions. It's a tick feed.

Dont' know what you're using. All I know is that IB does not lag. Once in a while it misses a tick during one of the snapshot intervals, that ends up being a high on the 1 minute chart. This is completely unimportant to me.

OldTrader

 

[thstart]

Quote from Landis82:

It's pretty unbelievable that this kind of "pre-routing" is being promoted and the SEC appears to be asleep at the wheel yet again.

I suspected this and spend some time digging in Congress testimonies and SEC rules comment. It is very time consuming but very informative what happens in the background. I will post them to:

http://blog.tradersheadstart.com

Here is the RSS feed:

http://blog.tradersheadstart.com/feeds/posts/default

We will post some interesting original research on markets too. Not easily available in English - we are using a German, Russian, Asian sources of information reading them in original languages.

I don't have all of the facts, but it certainly appears as though the marketplace ( and playing field ) is not very level, at all.

We will try to get the facts from the original sources as accurately as possible.

 

[Landis82]

DTN IQFeed version 4.6 is now out.

Several new enhancements have been added to improve both CPU and bandwidth utilization.

Early adopters have reported a decrease in Internet bandwidth by as much as 60 percent. CPU utilization has also decreased—by an average of 10 percent, with even greater efficiency when watching a large number of symbols. The feed has always supported watching up to 1800 symbols at a time, but apparently now it can be done even more efficiently.

New fields have also been added, including short interest and North American Industry Classification System (NAICS) codes.

Also, the following fields are now available on the DDE server to feed Microsoft Excel: maturity rate, coupon rate, settlement date, financial status indicator, and year-end close.

I've actually noticed an increase in speed over the previous version, especially during the opening and closing of trading when "bottlenecks" are known to occur.

 

[eSignal Support]

Quote from OldTrader:

My experience is with E-Signal's data feed most recently. Go read some of the threads, I suspect you'll find out their feed lags during heavy or rapid trading conditions. It's a tick feed.

OldTrader

You are correct, OldTrader, when you say eSignal provides a true tick by tick feed. Among the many reasons we do this is so our users can take advantage of tick bars (volume bars, price change bars, etc) and have a true time and sales "tape". It's also what the market demanded for years.

With volumes pressing the envelope, we've seen a movement toward pulse feeds (like IB) and towards bandwidth conservation. We can conflate quotes to most platforms now and have worked very hard to improve the performance on the desktop. 10.5 is a great example. It's leaner, lighter and starts to take advantage of multi-threading capabilities. Users can download 10.5 at anytime to get the performance improvements.

Having been around for over 25 years, we've seen some amazing advances in both technology and trading. We owe our success to our large, successful and loyal customer base.

Hope this perspective is of value to some.

Thanks.