[FulcrumTrader]

Originally Posted by bathrobe »

Hi,

I use CVD plotted in Investor R/T using Zen-fire and DTN MA for backfill. Because of this is my data different than IQ Feed?

Also, does anyone know if the CVD study in X_Study is accurate?

Chris

Best to just use DTN for your charting feed with Inv RT. CVD in XStudy is OK but you are not able to get candlesticks for the CD plot.

[SNYP40A1]

Originally Posted by BlowFish »

One last thing Snyp (I think we have done this to death!) there is a bit of info on matching here Introduction to CME Globex you need to use the pulldown menu and click matching algorithms. To be honest it doesn't go into huge detail and I expect you found it already anyway. I think Globex is 'vanilla' FIFO which has the least information.

Yup, I think I have read everything on the CME site and I can't find anything describing what and how market events are reported. There's a continuation of this discussion someplace else, you can find it by googling "Ninja Zen no more unfiltered data?". I am pretty sure Fulcrum is posting there too under another alias ;-). The most relevant document that I found which describes what events are reported is this:

http://www.cmegroup.com/globex/files/GlobexRefGd.pdf

But there are still some cases like the one mentioned a page or two back that I am still unsure about.

[paolfili]

Hi Fulcrum.
Can you help to see clearly in the question?

1)Now we assume Zenfire Bid/Ask sequence lies on the type of trade.(observing the API I can confirm the taotree suggestion on the broken order of the timestamps).
So GomCD is unusable from the ZenFire feed.("Ticker plant" absence)
2)The DTN.iq feed for NinjaTrader can be ok with GomCD.
But why there 's the need of a good newer PC with very good internet (cable modem at a minimum)?

The DTN.iq data is TCP flow (insted of the ZenFire data that is UDP and TCP only for orders) so I' don' t see the need of a performance PC and good internet. (I' ve got a 7M adsl).
The only problem is some latency in the arrival of the data while the order must be preserved also in a slow connection.
IMHO the only important thing is the correct syncronism in TRADE and BEST_BID/BEST_ASK flow.

Another different kind of problem is the weight and the manipulation of (big amount of) data from the NinjaTrader platform.
So the limit here can be not the liability of CumulativeDelta offered by GomCD , but the number of charts you can manage with NT.

Please,correct me, if I'm wrong.

Thanks

P.S.
I think NinjaTrader is (for me) a very good platform .
So is important to undestand where is the problem and see if NinjaTrader/DTN.iq
(without the 4 weeks historical from the InvestorRT/DTN.iq) can be a serious way to look a the Cumulative Delta (using GomCD).

Originally Posted by FulcrumTrader »

Yes.....Rithmic/Zenfire feed is NOT working for proper BID/ASK volume studies. If you do your research and see how thorough DTN.IQ manages and time stamps their feed, you will then see why many of these broker supplied feeds can't touch the capability/reliability of DTN.IQ feed.

I do have an update on this feed situation from some recent testing. If you have a very good newer PC with very good internet (cable modem at a minimum) we have a client who is working with NT connected to DTN.IQ feed and he is NOT getting any data drops now. So a trader can then track the GomCD with NT connected to DTN.IQ feed.......the only capability you would not have is historical lookback (like you would have with DTN.IQ feed connected to Investor RT Pro for up to a 4 week backfill). If you wanted historical lookback in NT with DTN.IQ you would need to save your own data which can be done with the GomCD Recorder function. So this was good to see that one of my clients has been able to get NT to work now with DTN.IQ feed for Cumulative Delta tracking......cool!

[SNYP40A1]

TCP/IP in itself will not guarantee that you receive every packet if it's the case that your computer / connection cannot keep up with the amount of data thrown at it. I think that's all he was trying to explain. It's only more robust than UDP because if it's the case that your system misses a packet not due to lack of bandwidth / processing, but something else, then the packets will be resent. For this reason, either way, you can't rely on when the packets were received for the timestamped, the feed itself must timestamp every tick at the exchange.

[BlowFish]

TCP offers error correction, flow control and sequence numbering. Of course if your infrastructure is totally saturated the whole time you are stuffed, however if it is just when data is 'fast' things should be recovered in the correct sequence. Of course time stamps will be off if time stamped by the client but for delta type calcs it is sequencing that is important.

If Zen uses UDP that could easily explain why some see holes in the data.

[gooni]

There are plenty of comms protocols that add reliability and sequencing on top of UDP - in fact this is usually the preferred approach for high volume data distribution.

The beauty of IQFeed's approach is that they (apparently) embed the current bid and ask along with each trade, rather than requiring this to be rebuilt at the client end. For the vast majority of retail use, this is sufficient and quite significantly more reliable.

[FulcrumTrader]

Originally Posted by gooni »

There are plenty of comms protocols that add reliability and sequencing on top of UDP - in fact this is usually the preferred approach for high volume data distribution.

The beauty of IQFeed's approach is that they (apparently) embed the current bid and ask along with each trade, rather than requiring this to be rebuilt at the client end. For the vast majority of retail use, this is sufficient and quite significantly more reliable.

There you go sir.....you are absolutely correct.

It should also be obvious the game has changed since the CME increased the data output last November......so the need for a newer PC with good internet is just common sense. The information needed to play the "Cumulative Delta" game properly is out there so I will leave it at that.

[FulcrumTrader]

Originally Posted by SNYP40A1 »

I am pretty sure Fulcrum is posting there too under another alias ;-). The most relevant document that I found which describes what events are reported is this:

http://www.cmegroup.com/globex/files/GlobexRefGd.pdf

But there are still some cases like the one mentioned a page or two back that I am still unsure about.

Yes, most know that I am AMT4SWA over at that wondrous kind to one another land of ET......LOL!