Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

maxima

High End Data Feeds... Anybody?

Recommended Posts

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?

Share this post


Link to post
Share on other sites
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.

Share this post


Link to post
Share on other sites
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.

Share this post


Link to post
Share on other sites

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

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites

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?

Share this post


Link to post
Share on other sites
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.

Share this post


Link to post
Share on other sites
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.

Share this post


Link to post
Share on other sites

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:

Share this post


Link to post
Share on other sites
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.

Share this post


Link to post
Share on other sites
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

Share this post


Link to post
Share on other sites

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).

Share this post


Link to post
Share on other sites

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...

Share this post


Link to post
Share on other sites
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.

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites
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.

Share this post


Link to post
Share on other sites

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??

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites
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 :))

Share this post


Link to post
Share on other sites

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

Share this post


Link to post
Share on other sites
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 :)

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • Date : 29th November 2021. Market Update – November 29 – Omicron dominates sentiment. USD (USDIndex 96.30) recovers from Fridays slump (95.98), Stocks lost over –2.2% in thin half-day trading, Oil FUTS lost –13%, Gold slumped and Yields tanked (10-yr 1.482%) on a safe haven (JPY & CHF bid) risk off day. (and a strange carry trade bid for EUR). Weekend news, as Countries block flights and tighten restricts, but first Omicron cases in SA appear mild and hospitalizations have not spiked, has seen a bounce in sentiment and Asian markets. Pfizer suggested it would take 100 days to adapt new vaccine, if required. US Yields 10yr trades up 5.1 bp at 1.52%, after Friday’s slump. Equities – tanked in thin and short day on Friday USA500 -106.84 (-2.27%) at 45941 – USA500.F trades higher at 4639. USOil – collapsed to $67.08 – now up nearly $4 at $71.00. OPEC+ have delayed this weeks meeting by 2 days & likely to delay planned January production increases. Gold spiked under $1780, has bounced to $1795 but struggles to recoup $1800   FX markets – EURUSD now 1.1270, after a +125pip rally on Friday, USDJPY now 113.36, from 115.50 to 113.00 on Friday & Cable back to 1.3325. Overnight – JPY Retail Sales recover but miss expectations (0.9% vs 1.2% & -0.5% last time). European Open – The December 10-year Bund future is down -27 ticks, US futures are also in the red & the US 10-year rate is up 5.1 bp at 1.52%. Stock markets remained under pressure during the Asian part of the session, but DAX and FTSE 100 futures are up 1.2% and 1.3% respectively and a 1.2% rise in the NASDAQ is leading US futures higher. A part reversal of Friday’s flows then as virus developments remain in focus. Travel restrictions are making a come back and the services sector in particular is facing fresh pain, but as Lagarde suggested over the weekend, the impact of Omicron is unlikely to throw economies back to the situation at the start of the pandemic, meaning the overall situation has not really changed. We continue to see the ECB on course to end PEPP purchases on time in March next year, although developments will add to the arguments of those who want to keep the flexibility on the distribution of asset purchases at least for future emergencies. The BoE meanwhile may be postponing the planned rate hike into next year. Today – German regional and national CPIs, Eurozone Consumer Confidence (final), US Pending Home Sales, ECB’s de Guindos, Schnabel, Lagarde, Fed’s Williams, Powell. Biggest FX Mover @ (07:30 GMT) CADCHF (1.00%) The risk-off collapse on Friday 0.7400-0.7200 has recovered to 0.7280. MAs aligned higher, MACD signal line & histogram rising but still below 0 line, RSI 53.80 & rising H1 ATR 0.0018, Daily ATR 0.0062. Always trade with strict risk management. Your capital is the single most important aspect of your trading business. Please note that times displayed based on local time zone and are from time of writing this report. Click HERE to access the full HotForex Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding on how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Stuart Cowell Head Market Analyst HotForex Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in FX and CFDs products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • Forex Trading is considered to be only profitable, if you have practice Forex Trading, till you have mastered the skills and knowledge to survive in the Forex Market.
    • Though there are many videos available online on Youtube, you cannot actually learn through them, if you don't practice in the Forex Real Market.
    • USDJPY PRICE OUTFLOW IS DRAWN BY SELLERS BACK TO 114.840   USDJPY Price Analysis – November 25 USDJPY price outflow is being held back as a consequence of bears causing opposition to the market influence. The price structure of the market strives to maintain an uptrend configuration under a bullish influence. However, the sellers are causing some resistance in the market, which is causing a hold in the market configuration. Because of this conflict in the market, the outflow of the bulls in the market will be held back to the 114.840 critical level. USDJPY Critical Levels Resistance Levels: 114.840, 112.790 Support Levels: 110.800, 109.100 USDJPY Long Term Trend: Bullish The bullish outflow price structure initially began with the expansive breadth of consolidation. The market was birthed after a strong price expansion before the bullish uprise. The price undulated between the breadth of the 110.800 and 109.100 significant price levels. As a result of this accumulation, the price was then pushed out to higher levels. With the continuation of the market expansion, buyers outflow upward, with the bulls taking hold of the market. Furthermore, price continues to experience more outflows as several structural levels were broken. When USDJPY eventually gets to the 112.790 level, the price resumes its accumulation phase. The market encountered a short phase of expansion before resuming bullish persistence. The price finally breaks through the 114.840 significant level and we expect a withdrawal back to this price level before bullish engagement. The Tensile Strength indicator shows the resilience of the market influence as the market is set to resume its bullish leverage after sellers retreat. USDJPY Short Term Trend: Bearish The 4-hour chart of USDJPY shows the price configuration riding upward following a strong force that broke through the 114.840 critical level. The price is now set in a retreat motion as the price is seen to be pulling away to the 114.840 price level. The Moving Average Convergence and Divergence indicator shows the market’s prevalent direction as the price is set on a pullback course to the 114.840 critical level before bullish outflow.   Source: https://learn2.trade
    • EURJPY DEPRECIATES TO LOWS NEAR 128.00 FOLLOWING COVID RESURGENCE   EURJPY Price Analysis – November 26 EURJPY pair fell for the third session in a row on Friday, depreciating to the area of recent lows in the 128.00 range. As the new strain of COVID weighs heavily on investors’ sentiment, strong buying interest in the Japanese yen puts EURJPY under added pressure in the sub-129.00 levels. Key Levels Resistance Levels: 130.50, 130.00, 129.61 Support Levels: 127.00, 126.50, 126.00 EURJPY Long term Trend: Ranging On Friday, the EURJPY opened higher at 129.31 and moved lower to 127.79 intraday lows losing almost 1%. The pair plunged, as bears emerged and traders focused on levels below 128.00. To investigate the bearish scenario, a decisive fall below 128.00 must be established. The pair may continue to fall into the next session, with bearish traders targeting the 127.00 area as a possible objective. As long as the 128.00 support level holds and the price is sustained above, more gains may be expected. A strong breakout of 128.50, on the other hand, would confirm that the rebound from 127.79 low has come to stay, bringing this low back into focus as a new bottom. EURJPY Short term Trend: Bearish The EURJPY is still trading bearishly from its October high of 133.47 on the 4-hour charts, and the intraday bias is still to the downside. If the resistance at 128.50 holds, a further drop is likely. A decisive rebound past 128.50, on the other hand, will consolidate on the entire rebound from 127.79 low level. The mid-term support turned resistance level of 130.00 will be the next level of contention. A break of revised support around the 128.00, on the other hand, might reverse the rebound and broaden the down leg from 130.00 with a new phase of the drop towards the mid 127.00 in the coming session.   Source: https://learn2.trade
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.