Ninja Zen no more unfiltered data?

Quote from maxima120:

I know that.

I read from the others that Zen has a bit more problems with quality of bid/ask than Rithmic although its based on it... So that was the point.
More...
Zenfire feed is just a "brand name" Rithmic uses for their feed supplied to NT users. Rithmic feed even connected to Inv RT Pro was showing data drops for BID/ASK work. BOTH Rithmic/Zenfire feeds are not working properly for BID/ASK Cumulative Delta work.
 
Quote from dcraig:

I don't know any these software products, so it's quite hard for me to say. As you know I have my own code with it's own frame work, so it's not really possible to separate out the stuff that deals directly with the book, because it is highly dependent upon the general event handling, time series and charting interfaces. It is not unlikely that these look very different to the commercial offerings as I started from from scratch and didn't use any product as a model. Some might describe some of it as 'quirky' and they might be right! It's also Java and runs on Linux, though Windows should not be a problem in principle.

As to what I do, I take the raw DOM event events from the IB TWS API and use them to build a continuously updated DOM table in memory. It's not real hard to do.

The events are:

INSERT (a level)
DELETE (a level)
UPDATE (a Level)
FLUSH (whole book)

I turn this into a time series by using a price time series as a time base (eg tick, volume or price bars). When changes occur on the reference price time series (eg bar changes or bar appended), I sample the (in memory) book appropriately updating the order book time series. This is the part that you are likely going to have the most issues with if you are writing a DLL or such for a commercial package and it will be highly dependent on the product you are interfacing with.

I can then apply smoothers on the orderbook series just as I can on any other time series via user's GUI in normal use.

You could try some sort of direct smoothing or averaging in the in memory DOM table. It might be a bit better - and it may not! Complex often is not necessarily better.

I have been having a look at the IQFeed API, and it works differently from TWS. I'd like to be able to create a single 'normalized' API and map any LII feed onto my internal LII API and so remove feed dependencies from higher level software. Not sure if it is possible. In aby case, I'm in for a bit of a code restructure.
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Excellent.....Thanks a MILLION! :cool:
 
Quote from PocketChange:

Try out CME's E-Quotes to get a data feed directly from the exchange:
Two week trial than $95 / month.
http://www.cmegroup.com/market-data/real-time-quotes/eQuotes_Package_Comparison.html

CME also lists over 200 licensed data providers: Neither Mirus/Zenfire nor Rithmic are on their licensed quote vendor list:
http://www.cmegroup.com/market-data/licensed-quote-vendors/index.html

Some of their licensed providers deliver the data feed with a polished API for integration.
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Thank you very much for that information PC! :cool:
 
Quote from PocketChange:

Try out CME's E-Quotes to get a data feed directly from the exchange:
Two week trial than $95 / month.
http://www.cmegroup.com/market-data/real-time-quotes/eQuotes_Package_Comparison.html

CME also lists over 200 licensed data providers: Neither Mirus/Zenfire nor Rithmic are on their licensed quote vendor list:
http://www.cmegroup.com/market-data/licensed-quote-vendors/index.html

Some of their licensed providers deliver the data feed with a polished API for integration.
More...
PC...quick question. Have you ever looked into TradeVec for what you are doing these days?

http://www.vcap.com/tradevec/ (webinar is actually this Tuesday now at 3:30 pm US central time)

TradeVec may be adding Cumulative Delta studies soon which I would love to see. They also have their platform set up to take more than one feed which is great.
 
Nope.

Don't use any discretionary interfaces, everything we trade is algorithmically executed against our Broker's price feed.

Process Feed - Trigger Actions - Log in DB


Quote from AMT4SWA:

PC...quick question. Have you ever looked into TradeVec for what you are doing these days?

http://www.vcap.com/tradevec/ (webinar is actually this Tuesday now at 3:30 pm US central time)

TradeVec may be adding Cumulative Delta studies soon which I would love to see. They also have their platform set up to take more than one feed which is great.
More...
 
Quote from PocketChange:

Try out CME's E-Quotes to get a data feed directly from the exchange:
Two week trial than $95 / month.
http://www.cmegroup.com/market-data/real-time-quotes/eQuotes_Package_Comparison.html

CME also lists over 200 licensed data providers: Neither Mirus/Zenfire nor Rithmic are on their licensed quote vendor list:
http://www.cmegroup.com/market-data/licensed-quote-vendors/index.html

Some of their licensed providers deliver the data feed with a polished API for integration.
More...

Just to clarify, the CME E-Quotes package isn't a data feed direct from the exchange. The CME resells a retail package from one of its licensed vendors. The data goes through the same processing as if you were to buy the product from that company. I wanted to clarify because we talk to customers every once and a while who think they are getting the data more direct from the exchange when they receive it from a broker feed or a service the exchange re-markets such as E-Quotes.
 
We noticed during testing the CME e-quotes feed updates are throttled and were disappointed with the lack of API. Not sure about any reselling arrangements because everything including the trademarks, software license, support and billing are represented to be provided directly by CME Group. Did they acquire the licensed provider/developer in order to roll this out as their own branded service?

Quote from iqfeed:

Just to clarify, the CME E-Quotes package isn't a data feed direct from the exchange. The CME resells a retail package from one of its licensed vendors. The data goes through the same processing as if you were to buy the product from that company. I wanted to clarify because we talk to customers every once and a while who think they are getting the data more direct from the exchange when they receive it from a broker feed or a service the exchange re-markets such as E-Quotes.
More...
 
Quote from dcraig:

I don't know any these software products, so it's quite hard for me to say. As you know I have my own code with it's own frame work, so it's not really possible to separate out the stuff that deals directly with the book, because it is highly dependent upon the general event handling, time series and charting interfaces. It is not unlikely that these look very different to the commercial offerings as I started from from scratch and didn't use any product as a model. Some might describe some of it as 'quirky' and they might be right! It's also Java and runs on Linux, though Windows should not be a problem in principle.

As to what I do, I take the raw DOM event events from the IB TWS API and use them to build a continuously updated DOM table in memory. It's not real hard to do.

The events are:

INSERT (a level)
DELETE (a level)
UPDATE (a Level)
FLUSH (whole book)

I turn this into a time series by using a price time series as a time base (eg tick, volume or price bars). When changes occur on the reference price time series (eg bar changes or bar appended), I sample the (in memory) book appropriately updating the order book time series. This is the part that you are likely going to have the most issues with if you are writing a DLL or such for a commercial package and it will be highly dependent on the product you are interfacing with.

I can then apply smoothers on the orderbook series just as I can on any other time series via user's GUI in normal use.

You could try some sort of direct smoothing or averaging in the in memory DOM table. It might be a bit better - and it may not! Complex often is not necessarily better.

I have been having a look at the IQFeed API, and it works differently from TWS. I'd like to be able to create a single 'normalized' API and map any LII feed onto my internal LII API and so remove feed dependencies from higher level software. Not sure if it is possible. In aby case, I'm in for a bit of a code restructure.
More...

Wow, glad to see I'm not the only one building analysis tools on Java in Linux. I also have an in Memory DOM table, but I can't validate it because some trades are not making sense, I think due to the issue talked about on this forum, which is what caught my attention. You could create an abstraction layer for your feed, but I personally would not. Most of the APIs that I have seen are similar enough and all I am doing at that layer is writing a callback function that pulls out about 5 pieces of information for each Tick. I try to keep the tick receiving logic as simple as possible to ensure that it will always respond quickly during heavy activity. So far that's not been an issue although I have a dedicated computer for receiving the data feed.
 
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