difference in datafeeds question

[nicknamed]

Hello,
I struggle with datafeed difference between IQFeed nad IB. There are ETFs that are traded on different markets (say AMEX and NYSE) - if I import it as NYSE, then if I am downloading historical data from IQFeed do I get data for both exchanges or only NYSE? If I import it from IB, then does it download directly from SMART routing which is by default in TWS?

The datafeeds are different but both providers state that they take data directly from the exchanges.

Now more about market functioning: If I base system decisions on IQFeed, then all trades sent to TWS should trade for the IQFeed price, right? SMART routing in TWS should find best price on market, but if I view the chart from IB, the data are simply different, even for ask or bid view.

If I wanna download data from IB, then I click on bid minute andI will get historical bars based on bid price? If I select all (ask,bid and last) on what data will the bars be based?

I guess you see what I am fighting with now. Do you have any hints or tips what I should check or know?
Thanks a lot
N.

[NinjaTrader_Chip]

Hello nicknamed,

Thank you for your post.

The source (exchange) is set in the Instrument Manager on the “Definition” tab for a given symbol. That will dictate the source of the data.

When you mention the data feeds between Interactive Brokers & IQFeed are different, it is important to understand that data is being collected from the exchange which has strict reporting requirements. Therefore, while there are two vendors involved – they should still be logging the same data.

The SMART order routing system for TWS is there proprietary algorithm which is used to place your order in the market place. This would not relate to the data coming in from Interactive Brokers.

For the second part of your post, please review the following information regarding the multiple connections feature in NinjaTrader & the mechanism by which data is brought in to the platform & connection order:

NinjaTrader supports multiple simultaneous connections to different connectivity providers and in some cases, to the same connectivity provider allowing you to:

• Connect to and trade through multiple brokers simultaneously
• Connect to your broker and your data feed provider simultaneously

If you are establishing multiple connections that overlap in their provided market data services, the connection order you establish is critical. NinjaTrader will check for required market data services in the order your connections are established.

For example:
Connection1 - Provides real-time market and historical data
Connection2 - Provides only real-time market data

If you connect to Connection1 first and Connection2 second, when requesting market data NinjaTrader will request the data stream for both real-time and historical data from Connection1 even if you trade against Connection2.

Please let me know if you have any additional questions.

[nicknamed]

Thank you for your reply. From support of IQFeed I got this:
We use last price data bars which are aggregated (so for AMEX and NYSE trades for the same ticker, they are put together so I get the data for two markets aggregated) - is there any way I could do cross-selling through Ninja Trader - like buying for best price on NYSE and selling for best price at AMEX? I guess not. I do not know how the data are processed by IB yet.

I want to ask them [IB] if I can download OHLC data through Ninja Trader Downloading dialog window ask, bid and last price separately....this really sounds strange to me. If you can comment on this I would welcome that. Thanks for the explanation on SMART but then when I select an ETF it will not ask me what exchange do I want to choose - so how can I recognize on what market it will trade?

I really do not get how it can happen that the two data feeds are that different....
N.

[NinjaTrader_Chip]

Hello nicknamed,

If you have ‘default’ selected for exchange in the Description tab of an instrument then you are most likely pulling in this aggregate feed (AMEX & NYSE). See screenshot.

For pulling in data separately (for AMEX & NYSE) then you would need to inquire with the data provider if they have these (direct or parsed) feeds available and what the particular symbol mappings are. You can then make these adjustments for the symbols by following these instructions:

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?EditingInstruments

For downloading historical bid, ask, last price data separately you will want to review this part of the NinjaTrader 7 Help Guide:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?download.htm

You will not manually select where the security will trade. This is determined by the SMART algorithm. For info on Interactive Brokers’ SMART see this link:

http://www.interactivebrokers.com/en/p.php?f=smartRouting