EMini Tickdata and the effect on orders

[syswizard]

Sorry TradeKing....you missed some major points:
1) This is not like Navinder Sarao trading at his parents house with level 2.
Yes he was scalping for the most part and this is scalping too...but it's different with an automated "bot".
The "bot" has rules and Nav had "eyes"...big difference IMHO.

2) the colocation also has the benefits of a high speed server.
That is needed as there are calculations ON EACH TICK ! Also, the latency of the data has a big impact on the effectiveness of the strategy.

3) GTC orders are not at all appropriate for scalping. The time-in-trade here can average 10-60 seconds.

4) Limit orders can be effective here if you are looking at the inside bid and inside ask and have an effective CAR strategy (Cancel And Replace).

 

[syswizard]

Are you using your own tick-data for the backtest? Or did you get it in a package from a vendor? ES has millions of data points (~10MM) every day, you can get thousands of updates in milliseconds.

The data is coming directly from a vendor like DTN IQFeed, Rithmic, CQG. I just wonder: are there better tick data vendors out there ? The problem is that no one is logging each tick and then comparing that to an "official count". The CME Group provides volume data, but not tick count data....AFAIK.

To know why your real-time vs tested is different you should spend more time studying data. I am surprised you claim to make money with limits even when co-located,

That is good advice. However, analyzing down to the tick level results in millions of rows of data.
I'll have to purchase a teradata or netezza high speed database server....LOL.

if that will last you have done quite well given the apparent lack of knowledge.

What lack of knowledge is that exactly ? I just got up to speed recently on this and now understand not all data feeds are the same. I have not been able to find a review on all of them. However, this has been an interesting article: https://towardsdatascience.com/the-war-of-real-time-data-when-every-tick-counts-855c438379b3

 

[jelite]

DTN is decent in my experience, checked it to cme datamine on a specific occasion and it matched precisely on millions of ticks. But you would have to capture all data and then test, it's doable even without high speed dbs but it requires time commitment and a lot of thinking to design properly. If you don't plan on investing a lot of time into it, then it's better to abandon it entirely. I didn't mean to insult btw, just was surprised that you supposedly have a running algo that makes money and at the same time just found out there could be large spikes in tick activity that would derail your real-time system. I will come back a bit later.

 

[ResponsiblyLong]

Hi All,

I recently was looking to do some analysis on CME BTC futures time and sales and other exchanges BTC TICK prices. I went to DataMine and saw their exuberant prices. I then realized the have a service called Query API. With this service you pay as you use the data instead of paying their crazy monthly prices up front. It's nice and cheap compared to their legacy model and way more flexible (csv and json download).

https://datamine.cmegroup.com/#/datasets/query