Good broker for automated futures and options trading?
- Thread starter snackly
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I think the 3,75 is worse than the 4,50, unless you have a similar data feed included. I do not plan to make many hundreds of round trips YET.
Problem with FIX is imho not tag based - that is not a concern speed wise for order management, after all, one does not submit thousands of orders a second.
THe problem is the data stream. Unless Velocity provides that for free, the additional costs of a high quality data feed - will outweigh the 0,75 per round trip. I thought abou tthat, too, but I could not get a decent offer together. Mirus' Zen Fire has high praises and actually an API, not a program to run (like IB). I am thinking of not using ZenFire for position management and doing that with FIX, too, but the price of the data feed.... makes the 4,5 very convincing
At least for now
Problem with FIX is imho not tag based - that is not a concern speed wise for order management, after all, one does not submit thousands of orders a second.
THe problem is the data stream. Unless Velocity provides that for free, the additional costs of a high quality data feed - will outweigh the 0,75 per round trip. I thought abou tthat, too, but I could not get a decent offer together. Mirus' Zen Fire has high praises and actually an API, not a program to run (like IB). I am thinking of not using ZenFire for position management and doing that with FIX, too, but the price of the data feed.... makes the 4,5 very convincing
At least for now I specifically asked about data, not order management. It is possible to get data via FIX. There is also a FAST FIX protocol, and I'm researching right now to see if the TT Adapter supports that. If so... VelocityFutures with TT's FIX Adapter looks interesting.
If I interpret the response from VelocityFutures correctly, you do get the data feed for free. I'll be asking about whether it's unfiltered.
I am getting market data for futures from Velocity, FIX protocol, yes it is free. I did not compare the performance against Mirus but as far as I read on this forum, TradingTechnology (TT) FIX adapter is quite fast, there is no delay. I do not do high frequency trading so I am satisfied. I do not trade during FOMC meeting. While I collect data during that period and can see many many incoming ticks within first say two minutes.
The market data seems to be filtered but why do you need data far beyond bid/ask? You can not trade at these rates.
And it seems market data are aggregated. Say there were two trades 660.2 #2 and 660.2 #3 you may get 660.2 # 5
But I am not sure here. Also as I read on EliteTrader in new version of TT FIX Adapter they send separate trades.
My executions are very good.
Guys,
Let us compare Mirus against TT?
Attached please find small archive of yesterday ticks data 13th of April 2009, first 4 minutes of the opening of the session. That is June ES futures contract.
File format:
time (unfortunately up to seconds),price,volume
My time can be not in synch with the global time, but it should be possible to compare files based on Volume information.
Could you please give me first 5 minutes of Mirus data? I know it is possible to request historical data via Ninja. But may be you have real time logging of incoming ticks data, it would be better, because of it is possible to adjust historical information.
Regards,
RR
Let us compare Mirus against TT?
Attached please find small archive of yesterday ticks data 13th of April 2009, first 4 minutes of the opening of the session. That is June ES futures contract.
File format:
time (unfortunately up to seconds),price,volume
My time can be not in synch with the global time, but it should be possible to compare files based on Volume information.
Could you please give me first 5 minutes of Mirus data? I know it is possible to request historical data via Ninja. But may be you have real time logging of incoming ticks data, it would be better, because of it is possible to adjust historical information.
Regards,
RR