Ninja + Zenfire vs Ninja + TT feed

[RedRat]

Quote from Bernard111:

Which broker do you know that offers that TT Fix uncoalesced setup with Ninja?

I don't know such a brokerage, if you find please inform me.

Velocity told me they do not aggregate trades, while I compared data and they were aggregated. Also it may depends upon trading instrument, the Russell2000 may come not-aggregated, while ES is aggregated by say 50ms (?). I looked into 2010/01/04 opening and see up to 20 incoming ticks per one second.

AFAIK FIX is not the best protocol for data delivery. There is newer FAST which is better. And Zen-Fire is in fact Rithmic which uses its own format.

Do you really need non-aggregated data? Total volume is the same. Small example (time is not synched):

093021,ES,1120.5,1
093021,ES,1120.5,100
093021,ES,1120.25,10
093021,ES,1120.25,58
093021,ES,1120.5,1
093021,ES,1120.25,200
093021,ES,1120.25,10
093021,ES,1120.25,132
093021,ES,1120.25,234
093021,ES,1120.25,154
093021,ES,1120.25,17
093021,ES,1120,4
093021,ES,1120.25,1
093021,ES,1120.25,14
093021,ES,1120.25,53
093021,ES,1120.25,6
093021,ES,1120.25,2
093021,ES,1120.25,1
093021,ES,1120.25,3
093022,ES,1120.25,4
093022,ES,1120.25,2
093022,ES,1120.25,3
093022,ES,1120.25,1
093022,ES,1120.25,17
093022,ES,1120.25,1
093022,ES,1120.25,1
093022,ES,1120,1
093023,ES,1120,15
093023,ES,1120.25,2
093023,ES,1120,5
093023,ES,1120,7
093023,ES,1120,5
093023,ES,1120,4
093023,ES,1120,2
093023,ES,1120.25,100
093023,ES,1120,20
093023,ES,1120,2
093023,ES,1120,2
093023,ES,1120,2

BTW at the same time I received around 40 ticks/second for e-mini Russell 2000, so it appears to be non-aggregated.

 

[Bernard111]

Quote from RedRat:

I don't know such a brokerage, if you find please inform me.

Velocity told me they do not aggregate trades, while I compared data and they were aggregated. [...]

That's why I commented above who is really feeding Ninja with a TT Fix not aggregated/coalesced?... Velocity set a '100' parameter; so this means that actually the feed is coalesced as NT adapter. It's my understanding that using a non-coalesced TT Fix could crash NT on fast mkts.

Again, if anyone here knows any broker that offers a TT FIX adaptor for Ninjatrader with the parameter set to "0" on their server side, please let us know. Thanks.

 

[AMT4SWA]

Quote from Bernard111:

That's why I commented above who is really feeding Ninja with a TT Fix not aggregated/coalesced?... Velocity set a '100' parameter; so this means that actually the feed is coalesced as NT adapter. It's my understanding that using a non-coalesced TT Fix could crash NT on fast mkts.

Again, if anyone here knows any broker that offers a TT FIX adaptor for Ninjatrader with the parameter set to "0" on their server side, please let us know. Thanks.

I will state this again....there is no one offering TT Fix Adapter feed uncoalesced for NT. Ninjatrader in present form is incapable of handling the data flow from TT Fix Adapter feed uncoalesced.

TT and/or a broker pumping a feed to your platform they know won't work (without being coalesced first) would potentially leave them wide open to legal problems I would think.

 

[Bernard111]

Thank you; hope it's clear for everyone

 

[maxima120]

Quote from RedRat:

I use QuikFix as the library and my strategy is written in C#, which uses QuikFix. I do not use Ninja. The less components you have the more stable your entire system, I prefer all components to be within one executable file..

Hey, thanks for sharing... If I got your idea right you just connect your app straight to the FIX.

But how do you backtest it first? Does that mean you have separate code which you backtest on Ninja?

Also - does that mean your strategy code has to have all indicators built from scratch? Or do you use Ninja C# libraries to get standard indicators from there?

 

[AMT4SWA]

If you want to "hook" something up to TT Fix adapter feed uncoalesced then take a look at this set up......

http://www.smartquant.com/

 

[AMT4SWA]

Quote from RedRat:

Velocity told me they do not aggregate trades

Correct....THEY are not the ones who have coalesced the data for Ninjatrader use only.....that is done by TT from what I have researched (since they already know their feed would not work properly uncoalesced linked to Ninjatrader).

It looks as if Ninjatrader has some work to do at present to get their platform in proper alignment with the new data flow rates of the various feeds available (since the recent INCREASE in the data flow/granularity from the CME).

Broker feeds at present are pretty much junk for doing certain volume analysis these days with various platforms/charting. I have found data drops in Transact, Zenfire, TT Fix adapter, OEC, etc feeds these days now with the CME increased data intensity.

ALL my volume analysis these days is done with DTN.IQ feed......ONLY one I trust right now (set up with Investor RT Pro charting).

 

[maxima120]

AMT, thanks but the link leads me to 404 page

 

[AMT4SWA]

Hmmmm.....just clicked on the link and it worked for me......try this.....GOOGLE the word "smartquant" and look for smartquant.com ( www.smartquant.com ).

 

[maxima120]

Now works. Perhaps it was some Sunday server reboot..

I know this guy. The software is pretty good at a certain degree.. However I am convinced that once you get beyond simple MA crossover you are screwed as that Russian dude is seems to be one-man-band and he cannot physically provide support.

Also he doesnt know rules of this game. He did very cool piece of work but he cant really sell it and properly support it.

No point to invest my time in something I can not finish. I stuck at very basic things right in the beginning of the trial and couldnt get answers for days....

The similar thing happened to me with Tradevec. I remember your recommendation and I tried TV the second time in December.

Still couldnt make any sense of it. Not only it screwed my MS SQL I had installed on my machine before but also - I simply couldnt start. I again spend couple of hours and couldnt do anything.

And it is still in Beta and the website has a very little description of what it does and how to use it.