Treasury futures algo plainly visible-dumb or smart?
- Thread starter jelite
- Start date
Interesting, as your base feed has already been boxcar-ed twice.
It's fairly unlikely you're actually looking at what you think you're looking at.
Your feed isn't "precise" - it's a processed version of the native feed, which itself is not completely precise.
The imprecisions aren't going to matter much on a 1 minute (or etc) chart, but at 1 second, all kinds of distortions from the imprecision of the feed itself to the added imprecision of being sent on a packetized network will be evident.
Is that an issue native to IQ or consistent w/ most retail feeds?
I get the data directly from IQ feed api (every trade with it's volume size/bid/ask side). Is it precise? I don't know, but look at the picture I attached-it's one second volume chart where you can clearly see a region in the middle of the chart where someone is executing fixed size lots. The probability of this being a quirk of the feed is close to zero (especially considering I have seen this on multiple occasions in treasury futures).
Random.Capital, I would like to know what you mean by the feed being a processed native feed. IQ feed claims they deliver to you whatever they get from the exchange (in the api), I understand that there may be imprecision on their side but at least to my knowledge they are not processing the data other than pushing them to clients (here I am talking about users using the api, if you use a charting platform of some sort that's another issue...).
All retail feeds.
To the API question, if one thinks about what has to happen for an API call to do its magic, it should become self-evident that there is no such thing as an "unprocessed" retail feed.
You seem to be quite skeptical about the quality of IQ feed data; I don't deny that I have no control over how good the data is they deliver but even if the feed is screwed up, what is the chance of seeing the picture I attached on 10 different days? The lot sizes in the picture I attached before are 15 and 13, on different days the lot sizes are different but the picture looks similar. Obviously inside some of the seconds when the algo is active there are other trades triggered so the sizes then are 'distorted' but there are enough seconds where the only thing triggering trades is the algo thus creating the 'uniform' dense region in the picture.