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Zen Fire Historical Tick Quality

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    Zen Fire Historical Tick Quality

    Hi,

    I noticed when I installed Zen fire on another computer the other day it asked me if I want to use Zenfire as the historical feed. I said yes and downloaded a week of tick data. That tick data seemed very small in file size to download compared to my IQ tick data and the results between that tick data and my IQ tick data are very very different in back testing.


    Question is, is the Zenfire historical tick data as pure and full as the Zenfire live tick data ?

    thx.

    #2
    >> Question is, is the Zenfire historical tick data as pure and full as the Zenfire live tick data ?
    correct
    DierkNinjaTrader Customer Service

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      #3
      I was comparing IQ and ZF feeds a couple of weeks ago.

      Speed wise, they were both very close, when there was any difference, it was always ZF slightly being faster, although, I would consider it within the margin of error.

      I did notice on the charts though that they were quite a bit different. Using a 144 tick chart, the ZF feed produced 10-25% more bars over any given market move. A closer look at the Time & Sales showed that many trades shown on the IQ feed were broken down into 2 or more trades on the ZF feed. For instance, a single 50 contract trade on IQ appeared as 2 separate 45 and 5 contract trades on ZF. This also seemed to be the case wether the data was collected live or loaded from historical data.

      Hope this helps.

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        #4
        There is no guarantee 2 different providers/feeds report the same ticks. ZenFire provides unfiltered, non aggregated ticks. Please contact IQFeed support to clarify in the quality of their feed.
        DierkNinjaTrader Customer Service

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          #5
          Yes Vtrader, you are 100% on the extra ticks in ZF, I have been counting them and comparing to IQ. ZF has more (many are Dojis) for time period.

          This makes a massive difference to strategies that use tick data and do things like count bars, and even makes SMA's work different due to the different number of bars.

          I also can't work out why IQ tick data is so massive. A weeks worth is about 300 Megabytes on the ES, a weeks worth from ZF is a fraction of that.

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            #6
            It is my understanding that IQ sends Tick Data down as text while Zen-Fire sends it down in a more nimble binary format...hence the larger file size for IQ.

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