For those experienced with Genesis API/data feed
- Thread starter Kohanz
- Start date
Ted, I think you are a bit confused....multicasting is still TCP/IP....it's just a more efficient method of distributing data:
http://www.tcpipguide.com/free/t_IPMulticastAddressing.htm
I am very surprised that such a once technology leading outfit like ARCA has not done this earlier.
Just downloaded Genesis API to take a crack at this - - I have noticed something similar with ninjatrader input from esignal and even with esignal feeds into spreadsheets - - any function that reads the datastream which uses onready (versus ontick) will typically print different bars. The only reason why I came across it was I built a small parsing app in C++ a ways back and later when I decided to examine esignal's api, I saw esignal has three generic methods, each of which would put very close, but not exact data into my arrays. There may be something in the ninjatrader or esignal forums which could shed some light on this. I would surmise it is one of the root causes of issues with Ninjatrader's higher-level playback functions...
FYI: Exchange time stamps reflect last recorded trade and not real time.
Even with high volume futures and 1 second time stamp precision you will have data issues.
Using OEC's Market Replay plugin you can record sessions to 1/10 of a second precision. (you can replay at speeds from 1/10 to 100x real time). When you replay and monitor the quote update field (exchange time stamp) you will only see the time update when a trade is recorded.
They have an esignal plug in with Symbol mapping that should work for you.
I would look for a data provider of session replay files or record your own moving forward. Pulling historic data files of one minute bars is problematic for one minute triggers. If your going to use your data adjust your algo for 10 minute triggers so you at least have a decent sample.
Even with high volume futures and 1 second time stamp precision you will have data issues.
Using OEC's Market Replay plugin you can record sessions to 1/10 of a second precision. (you can replay at speeds from 1/10 to 100x real time). When you replay and monitor the quote update field (exchange time stamp) you will only see the time update when a trade is recorded.
They have an esignal plug in with Symbol mapping that should work for you.
I would look for a data provider of session replay files or record your own moving forward. Pulling historic data files of one minute bars is problematic for one minute triggers. If your going to use your data adjust your algo for 10 minute triggers so you at least have a decent sample.
1) We do database all tick coming from our Genesis feed and frequently find highs/lows inconsistent with what other sources like Nasdaq replay tool shows or lightspeed and a few others. It might only be 1 tick here or there but these prints do not agree with intraday high or lows which make them suspicious.
2) By default, colocated genesis data servers only refresh level 2 data every 50 ms. I think you can get them not to pool updates this way but you need to ask for a server specific configuration and that only if you have your own dedicated data server.
2) By default, colocated genesis data servers only refresh level 2 data every 50 ms. I think you can get them not to pool updates this way but you need to ask for a server specific configuration and that only if you have your own dedicated data server.