Ninja Zen no more unfiltered data?
- Thread starter RandomX
- Start date
Quote from maxima120:
Sometime you just need your voice to be heard....
OK, here's a bit of attempt to explain clock drift. I'm fairly rusty on this stuff so it will only be broadly accurate.
PCs handle the demands of hardware (eg disk, mouse etc etc) by responding to a hardware interrupt. eg click a mouse and an interrupt occurs. The CPU hardware responds by saving the context of whatever is running at the time and calling an interrupt service routine (ISR). Broadly speaking when the ISR has finished what it needs to do, the context of what was previously running is restored and it continues on in way it was before. (Actually overly simplified, something else may be scheduled).
Computers have a bit of hardware called a clock timer which generates interrupts every 20 (or something like that) msecs. These interrupts are serviced by an ISR. The ISR knows the period of the clock harware and therefore can keep time simply by counting the interrupts. This is a software clock. However if the clock ISR is delayed for some reason (eg CPU is servicing a higher priority interrupt), then the assumption made of constant well known interval between clock interrupts is not strictly true and clock drift can occur.
Is this bloke using IQFeed for Eurex and in particular DAX? Also any comment on IQFeed book data/DOM for Eurex would be welcome.
I don't care about software - I have my own. I currently use IB data feed for DAX and I reckon it's not that bad for bid/ask delta. It's poor though for ES for example. I think it has a lot to do with tick rates, tick size, volatility and IB sampling rate for the instrument. Of course, the faster the market, the worse any sampled feed becomes.
I've had DTN IQ for about six months for US stocks and I reckon it's pretty good and very reliable.
Yes sir he is using DTN for Eurex products too. I will have to do some inquiries about DTN Eurex order book data (for order book delta indications).....hopefully by Tuesday afternoon I should know something and can get back to you.
BTW, I LOVE your "Order Book" Delta work.....very smart use of data imo!
I don't know exactly what IB does and I doubt that anybody outside of IB does. It's certainly not every tick and things haven't changed in that respect. I don't think it would do any harm for IB to publish their algorithm, but they may well see it differently as constituting some sort of commercial advantage and therefore confidential.
Quote from maxima120:
Whoa whoa!Am I missing something.. Order book delta?
Is it something like OFA delta bars ?
Or you are merely referring to Sum(ask depths) - Sum(bid depths) ?
Just Sum(ask depths) / (Sum(ask depths) +Sum(bid depths)) but you need to do some smoothing as it is of course very noisy. Sometimes it anticipates price. What's an OFA delta bar?
Oldish example for DAX attached - bottom plot.
hmmmmmmmmmm..... I would never think it can provide a useful info..... You got me here!
OFA invented some proprietary indicator : like 3LB or PnF bars with b/a delta on it... Looks neat but they have only ES at the moment.. I know some of the Ninja fans already made a muddy clone but I doubt anyone can trade using the clone.
http://www.orderflowanalytics.com/
OFA invented some proprietary indicator : like 3LB or PnF bars with b/a delta on it... Looks neat but they have only ES at the moment.. I know some of the Ninja fans already made a muddy clone but I doubt anyone can trade using the clone.
http://www.orderflowanalytics.com/