Nasdaq futs

[ChartMan]

Jonny Rotten. The moderators on here are neither Mother Hens nor Uncle Toms. This BB is run to very high standards. As a newcomer, you will soon get to realize this. The rules are strict and are put in place for good reason.
There are some absolute no no's. :- Ramping, soliciting, advertising, swearing in posts etc. Hence the asterisks in your signature. These are inserted automatically.

 

[rossored]

Hmm - my datafeed is IB but I'm not sure I understand what you mean.

 

[stevet]

Johnny Rotten

yep - u can lose and win a bit on 1 - 5 on the dax - which was why i wondered why you were talking about the YM since you cant get the equivelant value onto the YM and no traders trade the YM - only the ES or NQ

and interesting you mention data feeds - since IB do only send out a sample feed - you will miss ticks - but volume to date would be correct,

but you are trading the DAX and YM and with both of those - the data that the exchanges put out themselves is incorrect - so even with a professional brokerage account and trading platform data direct from the exchange - the data you would be trading off is incorrect

 

[Johnny Rotten]

Hmm - my datafeed is IB but I'm not sure I understand what you mean.

IB's datafeed is not true streaming tick-by-tick. They take a 'snapshot' of the price every 0.7 seconds. Which to the eye means that it is 'flowing'. But the reality is that a lot of ticks are NOT making their way through to you. I compared the IB feed to a true streaming feed the other day and IB has on average 30% fewer ticks over any given time period.

That's 30% fewer last prices, 30% fewer Bids & Asks. Don't get me wrong ...I use this feed and trade with it. But I know it's limitations. You are not getting 100% of the data from the exchange with IB. Therefore, your "volume" numbers are way off for a start!

 

[rossored]

OK, I understand.

So who might I go to for a genuine tick-by-tick stream, and would this really make any difference to my trading? What are the "limitations" you refer to?

 

[Johnny Rotten]

and interesting you mention data feeds - since IB do only send out a sample feed - you will miss ticks - but volume to date would be correct,

One question I would ask is what is volume (specifically related to intraday bars in the futures markets)? If you mean "tick volume" then that number is totally useless because you have no idea how many contracts traded at each tick.

But even if you mean number of contracts, this will still be INVALID for IB's feed. When IB transmits a trade, it transmits Last price and Last Size (the latter being the volume/number of contracts). Well, as we know, we are missing 30% of last prices because IB is not a true tick-by-tick datafeed, so by definition we are missing 30% of last sizes.

Either way you slice it, on an intraday basis, using the IB datafeed for 'volume' is faulty and flawed to the hilt!!!

 

[Johnny Rotten]

OK, I understand.

So who might I go to for a genuine tick-by-tick stream, and would this really make any difference to my trading? What are the "limitations" you refer to?

You can't ask me that ...you told me that I was an unhelpful git the first time I answered a Q you posted! But seriously, it amazes me how many people are not aware of the fact that IB is a snapshot datafeed and what this can mean for their trading. It would almost be worth starting a new thread to discuss it, because my sense is that many people use the feed and don't even know this fact.

The limitations are just knowing that you are not seeing every tick come through on your chart. Maybe that low bar which you thought didn't break to a new low on your NQ chart (your double bottom), really DID go one tick lower ...you just never saw the tick come through. Pretty scary making trading decisions if you can't always trust the High and Low values of your bars!

Shall we start a new thread? It might be worth it. Assuming the mods don't hassle my botty with their sermons on morality

 

[blash]

I started a thread a couple of days ago on the same subject.

http://www.trade2win.co.uk/boards/showthread.php?s=&threadid=6853

Some usefull info in there.

 

[stevet]

johnny rotten

IB as it happens does not transmit last price with last size - it just transmits last size on its own, and last price on its own, so there is no direct connection between last price and last size

but volume is an updating figure, so does not matter if it is sampled

but of course there are issues trading off any data if you dont know about how it is derived technically = which is why i queried the fact that you trade two contracts, the DAX and the YM, where the data which leaves the exchange is incorrect - let alone what IB then do to it

 

[Johnny Rotten]

johnny rotten

IB as it happens does not transmit last price with last size - it just transmits last size on its own

but volume is an updating figure, so does not matter if it is sampled

but of course there are issues trading off any data if you dont know about how it is derived technically = which is why i queried the fact that you trade two contracts, the DAX and the YM, where the data which leaves the exchange is incorrect - let alone what IB then do to it

Steve, your observations confuse the hell out of me! Of course IB transmits both Last price and Last size. No Last price?? Think about it!! I'm looking at the phrase 'Last Price' in the TWS window and there seems to be a changing number in it.

As for exchanges sending out bad information, I've heard of bad ticks, but otherwise I don't know what you're talking about! Let's just keep life simple:

Compared to a true streaming datafeed, IB is missing 30% information. Let each person figure out for themselves what that means for their trading. It's not complex!

As for trading the YM and DAX. I couldn't care less what the correlation is or lack of. If I see a potential trade to make $200 per contract in the YM with the appropriate risk then I'll take it. That's all there is to it!

 

[stevet]

johnny rotten

i was just trying to help you out as you seemed to feel a lot of people trade without full knowledge of the technical data stuff and as i could see you were also one of them - i thought i would try to point you in the right direction

so just so u get a little start - the last size that you see on the TWS and the last price that you see on the TWS are not transmitted as one parcel of information - they are seperate - so the last size maybe for a different price than the last price that you see on the TWS

and IB is missing 30% of each seconds data - which is a whole lot different than 30% of the data

and i am not keen on learners trying to use IB for charting, or other learners recomending that learners should use it, purely as it brings in other issues that may slow down their learning process - but one advantage of IB for chart data is going to be that it is ahead of most charting packages

come on now Johnny - you are on an english forum now and we know our stuff in england - you obviously had too easy a time with the hobbyists on elite

i wont take u too far in this first lesson, but just another little tip - the last price data transmitted by the CBOT and Eurex - is not the actual last price and the reason that those two exchanges have the same issues is that they both use the Eurex system - so you are merrily trading off false data

 

[Johnny Rotten]

so just so u get a little start - the last size that you see on the TWS and the last price that you see on the TWS are not transmitted as one parcel of information - they are seperate - so the last size maybe for a different price than the last price that you see on the TWS

Screwy indeed. Although I never use size in any way shape or form in my decision making or analysis.

and IB is missing 30% of each seconds data - which is a whole lot different than 30% of the data

Of course. You misunderstand where I got my 30% number from. I was just saying that in my side-by-side comparisons with a true streaming feed, IB was transmitting an AVERAGE of 30% less data. Roughly, approximately 30% less. There were times when it was only 10% less and times when it was as high as 50% less (usually fast markets).

and i am not keen on learners trying to use IB for charting, or other learners recomending that learners should use it, purely as it brings in other issues that may slow down their learning process - but one advantage of IB for chart data is going to be that it is ahead of most charting packages

The advantages to a learner of using IBs datafeed are a) it's dirt cheap and b) it's fast. The downside is that it's a only snapshot and the user is not receiving 100% of data coming out of an exchange. Whether it's wise to recommend a learner use this feed probably depends on the circumstances.

come on now Johnny - you are on an english forum now and we know our stuff in england - you obviously had too easy a time with the hobbyists on elite

Believe me, operating with a lack of information is NOT restricted to nationality or bulletin board!

i wont take u too far in this first lesson, but just another little tip - the last price data transmitted by the CBOT and Eurex - is not the actual last price and the reason that those two exchanges have the same issues is that they both use the Eurex system - so you are merrily trading off false data

My first lesson?!! Now you're trying to pull my chain! The problem with many bulletin boards is that some folk contain in-depth knowledge of technical details which have 100% irrelevance to the issue of making money. We all have to pick a data vendor for our charts so if you've got a suggestion for a good one, just say so!!

 

[options]

May I ask which data vendor you use?

 

[stevet]

i agree with your point about technical issues are not the most important issue in trading and i am a trader, not a techie, but I thought it best to get my head around some of the issues - and when u come to trade 100 contracts at a time, yu may feel that tech issues become real important

the 30% thing is your thing , IB just send out sampled data, but only a professional trader is going to understand the ramifications of that - and then it wont make any difference to trading

you still dont get the DAX and YM data thing - but i guess you are new to all this - its not a data vendor issue - its the actual data coming out of the exchange - the data is incorrect directly from the exchange regardless of who you get it from - again not a problem for a professional trader who understands the issues

i

 

[Johnny Rotten]

i agree with your point about technical issues are not the most important issue in trading and i am a trader, not a techie, but I thought it best to get my head around some of the issues - and when u come to trade 100 contracts at a time, yu may feel that tech issues become real important

the 30% thing is your thing , IB just send out sampled data, but only a professional trader is going to understand the ramifications of that - and then it wont make any difference to trading

you still dont get the DAX and YM data thing - but i guess you are new to all this - its not a data vendor issue - its the actual data coming out of the exchange - the data is incorrect directly from the exchange regardless of who you get it from - again not a problem for a professional trader who understands the issues

i

You're doing my head in! Do you have a recommendation for a fabulous real-time data supplier or must I read between the lines????

I use IB's datafeed with Sierrachart and MyTrack's datafeed with Sierrachart. I also have backfill for IBs feed via a German contact of mine. Perfectly good enough for a 1-5 lot trader and ample to make a lot of money with. Certainly the way I trade anyway. I've been at this game many years and it is an issue for the beginner to realise that they could be charting incorrect highs and lows on their 5 minute bars, if they rely totally on IBs snapshot datafeed. Then again, maybe it's not an issue - depending on the tradiung method employed. But everyone should KNOW about it.

You're waffling Stevie baby!! No I still don't get your DAX/YM "thing". I just trade the damned things and make money!

 

[rossored]

Ooops.

Seems like my thread has descended into hell-in-a-handbasket...



Thanks everyone for your replies, anyway...

 

[stevet]

johnny rotten

let it go - but dont worry about the IB issues - i already did my best to bring people up to speed on that some time ago - if you have been on the elite board - all your information is going to be a bit out of date

 

[Johnny Rotten]

johnny rotten

let it go - but dont worry about the IB issues - i already did my best to bring people up to speed on that some time ago - if you have been on the elite board - all your information is going to be a bit out of date

I don't get around ET that much these days - not since they accepted Chartman as a mod :cheesy:
But I think you may be referring to plans IB have to upgrade their datafeed and maybe even offer charting? Can't remember where I heard that rumour or even if it's true. But it'd be a smart move on IB's part if they did.

 

[stevet]

Johnny Rotten

it would be good if IB offered full streaming data of course - but i dont see the point of them offering charting as such - there are already good charting systems which can feed off IB if needed - and again - for all traders using them it would be better if IB did not add extra data ( such as downloading historic data) since that might impact on their bandwidth

IB have done a great job at providing retail traders with reasonable fees and great access to the markets - including API - and that sort of stuff is what they should concentrate on

Re this forum - i have been told that there arn't really any traders on here and that this forum is mainly for IT people - not too sure what that means - but i know that with the expansion of trading, there must be more and more newbies coming through who are going to be the new traders of tomorrow - and the reality is that those who are going to end up being fastest to learn and fastest to start putting on big size are going to be the more aggressive ones

some of the old guard - like to feel this is their personal playground - which is fine - but life moves on - and they are not so sqeaky clean - as when i first came on - a number of the old guard got into chats with me - and frankly did not know what they were talking about - and then threw in that they help out traders by training them - yeh - right

p.s. i dont xxxxxxx waffle!

p.p.s johnny, i added the x's - not the board

 

[Rognvald]

I think that the topic of what datafeeds provide and how - and their relationship to actual exchange info is a very relevant one to traders generally and the detail seems not imo properly understood by many - me included.
It would be helpful to the learning process for folk to be able to make more informed choices on the feeds they use and the likely effect of this choice on their trading.
We seem to have quite a deep well of knowledge here and some sort of "thesis" on the subject would I am sure be very helpful to the generality if those with better than average knowledge would be prepared to put some information together for the general good. It need not be definitive but imo allow people to look in the right direction and better educate themselves.

This could be seen as a "techie" issue but it seems very germane to our results