Fast Market quote lag

L

ljyoung

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 responsive one. The probe was a size-filtered T&S and what I looked at was the time at which the peak price in the runup was reached.

I know there are 3 types of "higher tier" feeds available from CME, e.g., ITC, IRC and Fix/Fast. My vendor supplies ITC and it is well-known that this type of feed will show tick compression, which originates with CME, not the vendor.

What I didn't appreciate was how much lag there was and hence a second question. Is it "part of the package" that when you get an ITC-type feed you get more lag than you would with an IRC or Fix/Fast feed?

TIA

lj

BTW, my guess is that a Bloomberg terminal wouldn't have this problem but $1500/mo is a little spendy for me.
 
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
 

Attachments

I would go with zenfire feed which mirus and dorman offer. The technology used for the data is light years ahead of esignal,dtn, and cqg. The data is free with an account at these firms. The best way to tell if it is that good would be to get a trial account to a bunch of data providers and compare them all vs zenfire.
 
IB data doesn't lag on ES (or any futures) because it is a snapshot every 100 milliseconds. Never gets bogged down during important news releases. If you need every tick, then the IB data feed is not for you.
 
Quote from jeb9999:

IB data doesn't lag on ES (or any futures) because it is a snapshot every 100 milliseconds. Never gets bogged down during important news releases. If you need every tick, then the IB data feed is not for you.
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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
 
Quote from jd7419:

I would go with zenfire feed which mirus and dorman offer. The technology used for the data is light years ahead of esignal,dtn, and cqg. The data is free with an account at these firms. The best way to tell if it is that good would be to get a trial account to a bunch of data providers and compare them all vs zenfire.
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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
 
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 trades/unit time interval, then a "fast market exists"? My guess is that no one can if only because there is no standard definition. So what data vendor A calls "fast", data vendor B says, "No problem for us". Well, that's nice but how the fack am I supposed to know which of these guys is telling the truth, if they even are aware of what the truth is? Clearly a standard is needed and what's more the vendors should be required to tell the customer what their measurement of "fast" and "normal" and "slow" is. But why is this important?

The obvious thing is that if your data is lagging then your T&S is lagging and since it is the T&S which is used to construct a chart, then your chart is lagging. That presents a bit of a problem if you are using your chart to make trading decisions because no matter how pretty your indicator or price formation looks, if it's something that happened seconds ago, then you are not reacting to the current market condition. To put it bluntly - you are getting screwed and you don't even know it.

Well, that's not quite true. If you placed a trade, you might notice some slippage, where slippage is defined as, "WTF is going on? I placed my order for such and such, at the market, and look at my sucky fill." Your broker can execute your order with femtosecond speed and you're still going to get screwed. Even using a limit order does not get you out of this mess, if you are using a lagged chart to make your decision.

So how to get around this? The best way I can see is to find out from your data feed vendor what their parameters are for fast, normal and slow markets. LofL. I know that there are services offered by some brokers which specifically address this data lag issue but I want to keep this discussion generic until there is some sort of resolution. One could conceivably use such services to make the trade by first visually correlating what they are presenting as last price to what your data feed vendor is saying is last price (so that you know the T&S's of the two feeds are: the same or , for you, acceptably, minimally different) and then go ahead and make the trade.

There are other ways to get around the problem (like just trading EOD) but for "day traders" of whatever vehicle and most obviously for scalpers, lagged data = another great way to lose money. Please note that I have not even discussed the problem of tick compression, which when added to the lag problem really makes for a large sac o' shite.

The lag thing is like buying a ticket for a train, going to the station to get on the train but being required to give up your ticket before knowing whether or not the train has already left. Ooo, nasty.

lj
 
Quote from ljyoung:

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
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Ljyoung,

You could get a demo from amp futures and probablys use it for a long time since they keep sending me new passwords for the demo every month or so.
 
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