Maximum frequency of updates to OnMarketData/Depth No3

[resist]

As I see the original thread http://www.ninjatrader.com/support/f...ad.php?t=34584 has been closed (why???? more questions not wanted????) and following opened http://www.ninjatrader.com/support/f...ad.php?t=34636 thread is unanswered until yet, too, I feel to open a third one.

I think this is really a big issue because indicators as Gom package wonīt work tactically with filtered data.

Iīm wondering if level2 data are prefiltered too?!?!??!?

I think here is a clear statement of Zenfire and Ninjatrader needed because I know lots of traders using jtRealstats to follow market depth almost realtime.

Zenfire promises unfiltered price data - bid / ask are price data, too. So they donīt deliver (cia NT) what they promise - see here http://www.zen-fire.com/pages/advant...dvantages.html

Sorry - Iīm really angry. If this issue isnīt solved very soon NT / Mirus / Zenfire can be sure that there will come a avalanche on them.

[NinjaTrader_Ray]

As I see the original thread http://www.ninjatrader.com/support/f...ad.php?t=34584 has been closed (why???? more questions not wanted????) and following opened http://www.ninjatrader.com/support/f...ad.php?t=34636 thread is unanswered until yet, too, I feel to open a third one.

I think this is really a big issue because indicators as Gom package wonīt work tactically with filtered data.

Iīm wondering if level2 data are prefiltered too?!?!??!?

I think here is a clear statement of Zenfire and Ninjatrader needed because I know lots of traders using jtRealstats to follow market depth almost realtime.

Zenfire promises unfiltered price data - bid / ask are price data, too. So they donīt deliver (cia NT) what they promise - see here http://www.zen-fire.com/pages/advant...dvantages.html

Sorry - Iīm really angry. If this issue isnīt solved very soon NT / Mirus / Zenfire can be sure that there will come a avalanche on them.

I am truly sorry you are angry. I will pass this thread onto Zen-Fire. I can say with complete clarity that NinjaTrader connects into Zen-Fire based on the connection configuration information that they provide to us. Whethere the data is filtered or unfiltered is independent of our application. What I can assure you is that whatever data is received in our application is NOT filtered or dropped. What we get is what you see.

[NinjaTrader_Ray]

Following is an official response from Zen-Fire.

There are different connect points that may throttle the update of the bid/ask in order to make room for all the trade updates. For colocated machines and in special cases we may give a trader direct connect points knowing they won't buffer and get behind. Internet users can't typically keep up and their last trade price becomes stale if they try to pull in the market depth updates. With little importance being placed on the market depth and focus on the last trade, more users can keep up with volatile conditions.

[Mindset]

The playing field

Interesting - so it just confirms what I have always known that if you have the money you can get an edge through a better connection, faster execution, lower lag times,etc.
It shouldn't surprise anyone really.
Years ago I used to trade off a dial up connection - now that was truly scary because every 90mins it used to drop it and you had to re connect.
Which made it fun if you had just entered a trade!

Or as Donald Rumsfeld would say
"there are known unknowns and unknown, unknowns".
Its the second part you should worry about.

[resist]

does nothing

Unbelievable!!!!
To clarify: Level1 + Level2 bid/ask is filtered to aprox. 4 times a second by Zenfire although they advertise unfiltered data - unfiltered "seems" - as they confess only in slices to say it polite - only to be "last price" (which are (in NT7) delayed at least 100ms in charting - for the same excuse).

At worst programmers are sitting down days and weeks to code best bid/ask (orderbook) analyzing indicators believing in Zenfires slogans what is worth nothing because they analyze screenshots of orderbook - not the tape. Itīs foolisch.

Following is an official response from Zen-Fire.

There are different connect points that may throttle the update of the bid/ask in order to make room for all the trade updates. For colocated machines and in special cases we may give a trader direct connect points knowing they won't buffer and get behind. Internet users can't typically keep up and their last trade price becomes stale if they try to pull in the market depth updates. With little importance being placed on the market depth and focus on the last trade, more users can keep up with volatile conditions.

Thatīs from Zenfire website:
unfiltered tick data

Many traders have experienced latencies and delayed market updates but few were aware how little of the actual market movement they were seeing even when their platforms appeared to be ‘keeping up’ with the market. Most systems are unable to keep up with volatile markets and compensate by dropping price data only sending the latest updates – sometimes referred to as “filtering.” This helps keep the prices current but doesn’t provide a true look at how the markets are trading.
Zen-Fire provides unfiltered price data. This can easily be seen during active market periods such as economic releases, but is also visible during slower conditions when automated systems are seen rapidly placing and canceling orders at particular price levels. The “fluttering” can often cause the actual quantity to become a blur as it updates in real-time.


Ok Iīm here to make money not to blubber out and not interested in any conjurer tricks so:
- which datafeed can Ninjatrader ot other costumers recommand thatīs realtime unfiltered Level1 and Level2?????

[dave1992]

Following is an official response from Zen-Fire.

There are different connect points that may throttle the update of the bid/ask in order to make room for all the trade updates..

Make room where? On Zen Fire's servers, or on the users' machines? I think we should seek clarification.

Either way, the solution is obvious. If the former, then Zen Fire need to buy new hardware. If the latter then simply supply the different connection details to Ninja, and allow users to select in their account setup whether they want filtered or unfiltered bid/ask. Who knows, you may be pleasantly surprised at how many people select filtered once they see the unfiltered.

Dave

[lookOutBelow]

Just another reason to not trust Zenfire. I've lost most of my confidence in them because of the outages and this only furthers my concerns.

Are there any alternatives out there that don't filter?

[dave1992]

Can I assume that the downloadable replay files are also a copy of this filtered Level 2 data. When I run through these files I see multiple trades without a single call to OnMarketDepth.

Is Kinetick's level 2 unfiltered?

thanks
Dave

[NinjaTrader_Ray]

Can I assume that the downloadable replay files are also a copy of this filtered Level 2 data. When I run through these files I see multiple trades without a single call to OnMarketDepth.

Is Kinetick's level 2 unfiltered?

thanks
Dave

Yes, the replay files connect to the same default server discussed in this thread. Kinetick L2 is unfiltered.

[dave1992]

Thanks Ray,

Does Kinetick support user defined filter levels for L2. If not, as seems likely, it's interesting that ZF feel the average NT trader can't handle unfiltered L2 whereas Kinetick feel they can.

I see that Kinetick supports any broker that supports Zen Fire. How does that work - are they not the same product at the same level. Does that mean I could contact Mirus and ask to switch to Kinetick?

regards
Dave

[NinjaTrader_Ray]

Thanks Ray,

Does Kinetick support user defined filter levels for L2. If not, as seems likely, it's interesting that ZF feel the average NT trader can't handle unfiltered L2 whereas Kinetick feel they can.

I see that Kinetick supports any broker that supports Zen Fire. How does that work - are they not the same product at the same level. Does that mean I could contact Mirus and ask to switch to Kinetick?

regards
Dave

Dave,
Kinetick does not support user defined filter levels for L2. Kinetick is only market data thus you can connect to Kinetick and then connect to your broker. By connecting in this order, market data will be requested from your Kinetick connection and not your broker connection. Kinetick is not offered by brokers, you would have to go to www.kinetick.com to sign up for service.

[dave1992]

Right, I just tried out for myself the code in this thread http://www.ninjatrader.com/support/f...ad.php?t=34584


And it appears I have no obvious filtering. Here are my update intervals in ms


95
121
69
125
2615
1189
127
1775
3748
95
87

So, I wonder why/when the original poster sees filtering. Does it come on at busy times? (ES isn't too busy right now)

Dave

[NinjaTrader_Ray]

You could be pointed to a different server that is not filtering or the market movement is slow enough that the filtering has no impact.

[dave1992]

It's not because of a slow market. Here are the figures in a busy market. By the way, Zen Fire state that there are no filtered servers.

89
92
93
100
309
99
116
192
93

[lookOutBelow]

It's not because of a slow market. Here are the figures in a busy market. By the way, Zen Fire state that there are no filtered servers.

89
92
93
100
309
99
116
192
93

I have no clue one way or another. But I've often read in other forums that Zenfire is definitely filtering data these days. A supposed change from an earlier stance.

Since from what I understand, Zenfire is basically a repackaged Rhythmic feed. I wonder if Rhythmic filters too. Or if this is something that Zenfire introduces. Don't mean to derail this thread. Just curious if someone happens to know.