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maxima

High End Data Feeds... Anybody?

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In other thread I tried to ask Urma on what his experiense with data feeds above retail quality is... However the answer was Bite me!... I chose not to bite but rather ask around. I know Urma is not the only trader who saw real trading desks. Also I have a suspicion that he has no idea what am I asking about.... Anyway.

 

What I am trying to find out is - how CME distributes the market data - trades and quotes.

 

Is there one single level of quantity/quality of data distribution or there might be several tiers?

 

Do companies like CQG, TT and DTN for instance have the same input data on their servers as say Lehman or Merrill?

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In other thread I tried to ask Urma on what his experiense with data feeds above retail quality is... However the answer was Bite me!... I chose not to bite but rather ask around. I know Urma is not the only trader who saw real trading desks. Also I have a suspicion that he has no idea what am I asking about.... Anyway.

 

What I am trying to find out is - how CME distributes the market data - trades and quotes.

 

Is there one single level of quantity/quality of data distribution or there might be several tiers?

 

Do companies like CQG, TT and DTN for instance have the same input data on their servers as say Lehman or Merrill?

 

What a great way to start a post, by dragging non-sense from another thread. This isn't ET, maybe you got confused :roll eyes:

 

As to your question, I think it depends on what you want to do. CQG is definitely one of the best, and an old member (not sure if he still posts, I forgot his name) used CQG at his firm and loved it. As far as quality goes, I think you already know the answer to that, you won't get the same level feed from Zen-Fire as you would TS or E-Signal.

 

As far as data input goes, I'm not really sure what you mean by that. As far as big shops that do a lot of HFT and provide liquidity - they will obviously get their data directly from the CME since it all comes down to speed at that point. I don't think the CME would limit that information.

 

You can check out this link and it might be of some help if by "input" you mean something completely different.

 

Information for Distributors

 

And then theres this...

 

CME E-quotes

 

 

Hope it helps.

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What a great way to start a post, by dragging non-sense from another thread. This isn't ET, maybe you got confused :roll eyes:

 

As to your question, I think it depends on what you want to do. CQG is definitely one of the best, and an old member (not sure if he still posts, I forgot his name) used CQG at his firm and loved it. As far as quality goes, I think you already know the answer to that, you won't get the same level feed from Zen-Fire as you would TS or E-Signal.

 

As far as data input goes, I'm not really sure what you mean by that. As far as big shops that do a lot of HFT and provide liquidity - they will obviously get their data directly from the CME since it all comes down to speed at that point. I don't think the CME would limit that information.

 

You can check out this link and it might be of some help if by "input" you mean something completely different.

 

Information for Distributors

 

And then theres this...

 

CME E-quotes

 

 

Hope it helps.

 

How can you possibly know that James?

 

As a matter of fact, just last weekend or the weekend before Zenfire was showing trades on their data on a Saturday on the CL (when the market is closed)...

 

Please show some evidence of Zenfire's feed being superior to others; otherwise you are just giving an opinion w/ no basis of fact.

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In my experience. Zenfire is far far far far superior to Tradestation. Far superior. Esignal I have not used for a while (probably a couple of years) last time I did it could seriously lag in fast markets. Guess it islikely improved now.. Zen does use UDP but that is not really an issue if your infrastructure is good and poor infrastructure will effect any feed. Zen and ninja I am not so sure about. Sadly seems like the ball has been dropped with NT7.0 so I guess I wont be looking at it again until 7.5 whenever that is.

 

I guess it all depends what you mean by "high end"The two big things are timeliness and completeness. The method I am currently using (and have used in the past) are fairly robust (robust in respect to the quality of the data that they require). Having said that I am thinking about rolling in a couple of extras (order flow and inventory type stuff) for this I am leaning towards Zen or TT for live data with DTNIQ for history.

 

Edit brown I think James was saying Zen is inferior. I did not keep my test results I just monitored in real time with code that recorded differences in feeds. Zen was clearly the most timely and complete. Multicharts is quite a good platform to compare feeds.

 

Edit2 if you use different platforms for different feeds you obviously have another variable. For example if using ninja/zen and .net does garbage collection that will cause a hiccup that is clearly not due to the feed.

Edited by BlowFish

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Inferior or superior, doesn't matter - just curious how anyone would know this. If the issue is based on lag, that's one thing but not necessarily what defines a feed better than others as it could purely be on your end.

 

I'm just curious how one defines a feed better than others and substantiate it.

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sorry guys... I didnt ask who is superior or not. And I am certainly not interested in Zen nor IQFeed nor eSignal less of all in TS.

 

Let me put it simple - will Thompson or eSpeed have MORE data than DTN NxCore or CQG...

 

Can one have MORE granular ticks or SOONER than others from CME ....

 

The other version of the question - do some shops have advantage over others?

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Inferior or superior, doesn't matter - just curious how anyone would know this. If the issue is based on lag, that's one thing but not necessarily what defines a feed better than others as it could purely be on your end.

 

I'm just curious how one defines a feed better than others and substantiate it.

 

As I said before the criteria I used was timeliness and completeness. I also gave an idea of how I tested those (some rudimentary code to measure delta time). My end is pretty good though only 20 meg (cant justify 50 meg beyond bragging rights) having said that the lag across it will be the same for the data feeds I am comparing.

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How can you possibly know that James?

 

As a matter of fact, just last weekend or the weekend before Zenfire was showing trades on their data on a Saturday on the CL (when the market is closed)...

 

Please show some evidence of Zenfire's feed being superior to others; otherwise you are just giving an opinion w/ no basis of fact.

 

It comes from experience, I always felt TS was terrible. Maybe it was my connection, but I was never too happy with it. If you'd like, I'm sure I can find some data to back it up. Also, from various posts I've read on this site I don't seem to be the only one with this opinion.

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dont worry they wont. cos they dont know....

 

I found the answers anyway. at the degree I needed of course (nobody knows everything in these muddy waters)...

 

But I wont tell :haha: I must be Urma twin brother! :rofl:

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sorry guys... I didnt ask who is superior or not. And I am certainly not interested in Zen nor IQFeed nor eSignal less of all in TS.

 

Let me put it simple - will Thompson or eSpeed have MORE data than DTN NxCore or CQG...

 

Can one have MORE granular ticks or SOONER than others from CME ....

 

The other version of the question - do some shops have advantage over others?

 

Almost certainly some shops will, but you would have to look at their overall infrastructure. I guess you are talking about execution engine also? With the direct connections that you mention location will start to be a factor too. I am not sure how circuits are typically delivered in the USA nowadays? Quite a while since I did work there.

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According to the official CME response they wont.

 

Then that information is incorrect. One of the largest factors in latency is location, it is proportional to distance. That is why the HFT guys put there kit in the same data centre as the exchange. You have been mislead. The CME does have a policy of using the same length cable to colo partners regardless of where there rack is physically located within the data centre, perhaps that is what they are talking about? (I still bet goldman have a shorter link)

 

Edit: Another thought, what can the CME possibly know about a shops infrastructure? At best they can say that they make the trade data available to the data providers at the same time. You certainly have been mislead or misunderstand what you have been told.

Edited by BlowFish

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I just noticed you are in London, trade Liffe (or maybe Eurex), The boutiques in London are going to be way behind anyway (until data can travel faster than the speed of light through glass).

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No I have not. You were too involved in discussion of superiority that missed the question completely.

 

The question was - if any one have an advantage in receiving data from CME. There are none.

 

I have response from CME and it can be challenged in court. I hope you dont think that complete retards work at CME that they will spread false information.

 

The short story is : everyone who has direct connect through FIX/FAST has equal capabilities.

 

What you are talking is how the connected entity handle the connection. If you have no money you will get your data later than those who has better hardware. But you CAN have it same fast as them... This is already outside of CME and this was not the question.

 

If you imagine CME as water distributor then all pipes for users are identical. If user brought a hose from garden to connect he will get less water per hour than thouse who brought large metal pipes..

 

I hope this will explain...

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I just noticed you are in London, trade Liffe (or maybe Eurex), The boutiques in London are going to be way behind anyway (until data can travel faster than the speed of light through glass).
even if I was in Zimbabwe it doesnt change the question.

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You are wrong. The size of the pipes between CME data providers, brokers etc. that are colocated are the same. The latency will come between the data provider and the shop. How can the CME guarantee infrastructure between Thompson and the prop firms they have contracts with? They can not. I am staggered.

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even if I was in Zimbabwe it doesnt change the question.

 

Yes it does. I answered it a few posts back. It depends on the infrastructure that you employ and your data provider employ.

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Ok.. One last try.. the question was - is there a possibility that one shop as you call them CAN have better connection (in quality / quantity) that other CAN NOT.

 

I never asked about latency between CME and SHOP.... And less of all I am interested in latency between shop and customers.

 

And if I were archbishop of Zimbabwe what does the difference between connections latencies in whole world make to me personally??

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BlowFish, please try to understand that you are answering to a question which maxima never asked ! He is not interested in what you are telling.

 

He just wanted to know -

Can one have MORE granular ticks or SOONER than others from CME ....

 

I think if maxima would have highlighted the "FROM" CME part, then you would have got the point.

 

CME is giving equal opportunity from its end, now what kind of infrastructure you have arranged for taking advantage of that, depends entirely upon you. But CME is not favoring any particular party here.

 

maxima, if I am wrong in my understanding then please correct.

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BlowFish, please try to understand that you are answering to a question which maxima never asked ! He is not interested in what you are telling.

 

He just wanted to know -

Can one have MORE granular ticks or SOONER than others from CME ....

I think if maxima would have highlighted the "FROM" CME part, then you would have got the point.

 

CME is giving equal opportunity from its end, now what kind of infrastructure you have arranged for taking advantage of that, depends entirely upon you. But CME is not favoring any particular party here.

 

maxima, if I am wrong in my understanding then please correct.

 

That is exactly what I endeavoured to answer. Let me try one more time. Yes you can. It depends on the infrastructure of the data provider, and the infrastructure of the shop. (That was one of his questions will different shops be better for data timeliness and the answer is yes, definitely)

 

CME provide data to the data providers all is equal to that point of distribution. The data providers differentiate themselves by there infrastructure.

 

Put as simply as I can .....Latency α (Data provider & shop infrastructure).

 

Latency is what determines 'sooner'. It is measured in units of time. Latency is determined by infrastructure. Different providers (and shops) infrastructure are certainly not the same.

 

When you are looking at millisecond magnitudes there are lots of factors. Location of equipment is every bit as important as 'capacity'. All other things being equal (they wont be) then a shop next to where the exchange/data providers ticker plant is will have an advantage over one further afield.

 

Just trying to help here, I do have experience of these things (though this being the internet everyone is an expert aren't they :))

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sorry BlowFish... this is all my fault...

 

I had to clarify = by "one"/"you" etc I meant not end-user and not literally you, I meant companies accessing CME with direct access through FIX/FAST connection.

 

I am sorry again I am going to unsubscribe from this thread because I have my answers and this discussion is not helping anyone.

 

If you need some latency calculations for practical use just PM...

 

Cheers

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sorry BlowFish... this is all my fault...

 

I had to clarify = by "one"/"you" etc I meant not end-user and not literally you, I meant companies accessing CME with direct access through FIX/FAST connection.

 

I am sorry again I am going to unsubscribe from this thread because I have my answers and this discussion is not helping anyone.

 

If you need some latency calculations for practical use just PM...

 

Cheers

 

Glad you are sorted :)

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