tick granularity and brokers

M

mcgene4xpro

Hi all,

I am trading forex primarily. Currently, i am developing ATS that going to scalp ticks. However, i figured out that some brokers tick data is very few and others are very many. So, would you please explain this to a newbie here?

How this occur?

What is the idea of filtered vs unfiltered tick data?
why i see some brokers have only 6 ticks per minute vs 50 in other broker platform?


Another question, if i have a data feed provider , for example Zenfire, and this provider will send me real time data feed but my broker didn't show the same tick data. How this will affect my tick scalping strategy?

by different words, suppose Zenfire shows there are tick up for 4 pips and my signaling strategy send a buy order but at the same time , my broker didn't show this tick up ... i am still confusing how this will work out.

Any helpful thoughts will be highly appreciated.

Thanks
 
I'm not expert, but this is my understanding: Zenfire uses 'unfiltered' data. What I have heard is that 'unfiltered' means that even the bad ticks are included in the Zenfire data feed. So it's possible you're seeing a tick from Zenfire that didn't actually occur, which could explain the discrepancy. Furthermore, my understanding is that TT and IB data feeds for Ninja use 'filtered' data....so the bad ticks have been eliminated from the data. That leads me to conclude that IB and TT data is more accurate.

Now, is there a downside to using filtered data? I honestly don't know. Maybe someone else can chime in on this.
 
i thought that IB and others 'flitered' data is to reduce the quantity of data having
to be delivered rather than 'cleaning' data
somewhere in NinjaTrader there's a menu where 'filtering/spike' can be set

i don't see scalping ticks to be viable, seconds maybe

while the price charts of fx brokers and the 6E contract are virtually identical
Oanda has seconds charts - 30 10 5 and there is a difference there between
the activity of Oanda's price data and the 6E - Oanda showing more activity and
thereby the 6E different due to less activity
also Oanda has a non fluctating spread, 0.9 pips during rth and is the largest
and oldest fx broker which probably accounts for the higher activity

however for what the op wants, he should contact http://www.rithmic.com who
provide the software infrastructure architecture for Zen-Fire
"Tick-to-Trade in less than 250µs"
http://www.rithmic.com/partners.html
Strategic Partners
FCMs: Dorman Trading Fortis Newedge Vision Financial Markets
IBs: AMP Futures Mirus Futures Optimus Trading Group Orion Futures Group
Technology Groups: NinjaTrader Omnesys Technologies, Inc. Zen-Fire
 
Quote from Wallace:

i thought that IB and others 'flitered' data is to reduce the quantity of data having
to be delivered rather than 'cleaning' data
somewhere in NinjaTrader there's a menu where 'filtering/spike' can be set

i don't see scalping ticks to be viable, seconds maybe

while the price charts of fx brokers and the 6E contract are virtually identical
Oanda has seconds charts - 30 10 5 and there is a difference there between
the activity of Oanda's price data and the 6E - Oanda showing more activity and
thereby the 6E different due to less activity
also Oanda has a non fluctating spread, 0.9 pips during rth and is the largest
and oldest fx broker which probably accounts for the higher activity

however for what the op wants, he should contact http://www.rithmic.com who
provide the software infrastructure architecture for Zen-Fire
"Tick-to-Trade in less than 250µs"
http://www.rithmic.com/partners.html
Strategic Partners
FCMs: Dorman Trading Fortis Newedge Vision Financial Markets
IBs: AMP Futures Mirus Futures Optimus Trading Group Orion Futures Group
Technology Groups: NinjaTrader Omnesys Technologies, Inc. Zen-Fire
More...

Youve got to be nuts to use Zen Fire, its way too expensive. You will churn your account in fees and they dont give breaks either.
 
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