Zen Fire data feed in fast market

The Rithmic back end gets all market depth from an exchange that an exchange publishes and normalizes it so that the changes to market depth look the same regardless of the exchange.

Globex provides upto 10 levels, some exchanges/trading venues provide more levels, some fewer.

R | API provides all depth that it gets from the Rithmic back end. So all programs that incorporate R | API get all such depth info (and display/handle it as they see fit).

With 1 exception, R | Trader also provides all depth that the Rithmic back end gets from an exchange.
 
The one funny question asiring for me is what the sense is of more levels, though. I mean, someone posted of the availability of such data 100 ticks away. Now, I can easily see 10 not being enough and somene wanting 15 or 20....
...but 100?

Seriously, what relevance does that have? Especially in today's time where computers can manipulate that at will (putting in orders or taking them out), without any real risk of being executed (50 or 75 ticks away from the market).

Again, not a complaint against 10 - I could see in faster markets some benefit of 15 or 20 levels. But 100 or more?
 
Nothing wrong with knowing the full market picture.

It is also nice to see one's own order in the book, especially just prior to potentially very surprising news, and the order may be much more than 10 ticks from the inside market.

Some sharks post bids/offers at extreme ranges hoping that when trading is slow (think after regular hours) the nornal bids or asks may dissapear for a moment and some idiot may place a market order. Look at BATS and you will see bids at 0.0001 and offers at 99999.99 - not kidding.
 
Quote from NetTecture:

The one funny question asiring for me is what the sense is of more levels, though. I mean, someone posted of the availability of such data 100 ticks away. Now, I can easily see 10 not being enough and somene wanting 15 or 20....
...but 100?

Seriously, what relevance does that have? Especially in today's time where computers can manipulate that at will (putting in orders or taking them out), without any real risk of being executed (50 or 75 ticks away from the market).

Again, not a complaint against 10 - I could see in faster markets some benefit of 15 or 20 levels. But 100 or more?
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I don't personally think it's useful... however for some reason, it seems to be included on TF with this indicator. You can download it for yourself and try it out... no idea how the coder got that information if you say it's not available from the exchange.
 
He probably just keeps it from old data. Which, incidentally, makes the information a LOT WORSE - if the ES goes down 10 points, and I am collecting the bid/ask ifnfos on the way down... on the way back up the data may be totally outdated.

Funny things ;)
 
Quote from garak:

Now you mentioned TF, it wouldnt surprise me to hear that they offer a deeper OB for Eurex futures, too. Can you confirm that? Is it the ZF feed you have?
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Yes, Zen-Fire feed. DAX seems to be good out to 20 ticks on either side, same with EuroStoxx 50.
 
Quote from NetTecture:

He probably just keeps it from old data. Which, incidentally, makes the information a LOT WORSE - if the ES goes down 10 points, and I am collecting the bid/ask ifnfos on the way down... on the way back up the data may be totally outdated.

Funny things ;)
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I don't think so... I'm looking at it now and seeing changes in the bids/offers in real-time more than 10 ticks away in TF and on the Eurex intruments...
 
I will have a look tomorrow at the FDAX ;) Can you post the current symbol - or the ones you use - as examples. I am not exactly up on the way eurex codes months.
 
Quote from NetTecture:

Also 100 ticks away?

Note that I do not dispute (also the sense) of dephts like... 20... MAYBE 30 ticks ;)
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No... Eurex seem to be about 20 ticks or so, which is OK. The only one I have noticed with the incredible depth is TF.

Oh wait a minute... it's on ICE/Nybot, not the CME... that might explain it. :)
 
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