TT data quotes seem wrong..?

[heech]

Hi folks,

Long-time Rithmic user (via Vision), just checking out TT (via Advantage) as possible backup/alternative.

I'm looking at back-month quotes for CL, and right at this instant:

CL 05-11 on Rithmic: 102.33/102.37
CL 05-11 on TT: 102.30/102.40

The effect was even more noticeable 5-10 minutes ago... on CL 06-11, the TT spread was blown out to over 40+ cents. Support at Advantage fired up XTrader to double check, and saw that TT was giving correct quotes (tighter 3-4 cent spread) via XTrader.. wrong quotes showing up just on Ninja.

Just wondering if anyone at Ninja might know whats going on. I'm still on version 6.5 of NT.

[NinjaTrader_Chip]

Hello heech,

Thank you for your post.

Unfortunately I am not able to recreate and research this item given the instantaneous quote provided. Please provide another observation & its related date / time stamp.

[heech]

Hello heech,

Thank you for your post.

Unfortunately I am not able to recreate and research this item given the instantaneous quote provided. Please provide another observation & its related date / time stamp.

Chip,

Look at a quote.. whenever. This effect has been there for the last 3 hours, and I suspect it'll be there indefinitely.

I am connected to the Advantage host at 208.96.196.250. I am seeing CL 06-10 right now (8:15 PM EST) at 102.73/103.44. That's a $0.70 cent spread.. .and clearly wrong.

*Any* spread over 5 cents on May or June crude is clearly wrong.

[NinjaTrader_Chip]

Hello heech,

Since I would need to test these individually via the NinjaTrader platform, I was hoping you could provide an example that I could review on the historical time & sales data.

Please let me know if this would be possible.

Thank you,

[heech]

Hello heech,

Since I would need to test these individually via the NinjaTrader platform, I was hoping you could provide an example that I could review on the historical time & sales data.

Please let me know if this would be possible.

Thank you,

I have no clue what you're asking for. These are current ask/bid quotes, and the effect is still there. I have no idea what historical t&s have to do with the shown ask/bid.

[NinjaTrader_Brett]

Hello,

I notice your testing both the CL 05-11 and CL 06-11.

Please make sure you are on CL 05-11 first here in our testing. If we compare a 06-11 to an 06-11 quote this will not work.

I connected to TT currently, and on CL 06-11 I'm getting a >10 cent spread and fluctuating quite often.

On the CL 05-11 I'm getting a 2 cent spread no further then that. Mabye a 3 cent jump every so often.

The CL 06-11 this would be expected to be larger spread since its not the front month contract, the CL 05-11 seems to be working well in my testing of the CL 05-11.

Are you seeing the same on the same on CL 05-11?

[heech]

Hello,

I notice your testing both the CL 05-11 and CL 06-11.

Please make sure you are on CL 05-11 first here in our testing. If we compare a 06-11 to an 06-11 quote this will not work.

I connected to TT currently, and on CL 06-11 I'm getting a >10 cent spread and fluctuating quite often.

On the CL 05-11 I'm getting a 2 cent spread no further then that. Mabye a 3 cent jump every so often.

The CL 06-11 this would be expected to be larger spread since its not the front month contract, the CL 05-11 seems to be working well in my testing of the CL 05-11.

Are you seeing the same on the same on CL 05-11?

Brett,

I'm comparing both 05-11 and 06-11 on both feeds. I think we should stick with CL 06-11, because the difference will be much more IMMEDIATELY obvious.

With CL 06-11, on a "correct" feed (Ninja+Rithmic, IB, XTrader)... the spread right now (12:18 PM EST) is only about 2-3 cents. So, if you are seeing a >10 cent spread, that is NOT correct. Pull up any other tool, and that will be very obvious. Right now with my Ninja + TT, I'm seeing a gap ranging from 6-30 cents... again, that is NOT right.

I thought it might just be with my Advantage feed, but it looks like there's something fundamentally wrong with Ninja + TT if you're seeing it as well.

[NinjaTrader_Brett]

Hello,

Believe you are possibly incorrect here sir.

Heres why.

1) I just connected to zenfire on a second PC and observed the same thing. With no TT connection at all in the mix on a secondary PC I'm seeing big ask of 10 cents in some cases.

2) I'm not seeing tick in the CL 06-11 for sometimes 30 seconds or more before a trade even occurs.

3) This ties in with a market that doesnt have a lot of volume, doesnt have a lot of trades, which then has a larger bid ask spread.

I'm not seeing anything off here. Am I missing something?

Let me know if I can be of further assistance.

[heech]

Hello,

Believe you are incorrect here sir.

Heres why.

1) I just connected to zenfire on a second PC and observed the same thing. With no TT connection at all in the mix on a secondary PC I'm seeing big ask of 10 cents in some cases.

2) I'm not seeing tick in the CL 06-11 for sometimes 30 seconds or more before a trade even occurs.

3) This ties in with a market that doesnt have a lot of volume, doesnt have a lot of trades, which then has a larger bid ask spread.

I'm not seeing anything off here. Am I missing something?

Let me know if I can be of further assistance.

This should be really easy to settle. Hopefully others out there with other data feeds will also chime in. Do me a favor, and pull up CL 06-11 on a few more services. I don't have ZF, so I can't confirm.

I'm looking at CL June on IB TWS right now. Has nothing to do with Ninja at all. The spread is 2-3 cents, consistently.

I'm also looking at CL June on Ninja + Vision/Rithmic, and again, CL 06-11 is 2-3 cents consistently.

[NinjaTrader_Brett]

Hello,

Sounds good.

Yes I see 3-4 cent spread most of the time but I also see 10 cents spreads easy about every oh 1 minute or longer or so. It verys so much since its constantly changing but I have seen it several times sense writing this post. Will keep an eye on it.

Also with some data feeds the bid asks only update when a tick is recieved. With the smaller updates on the instrument since there arnt very many trades could also prolongue the time you see a longer spread.

I look forward to assisting you further.

[heech]

Let's not drop this. I want to emphasize, I have NEVER seen the spread for CL 06-11 go above 3 cents on TWS or anywhere else. I have watched it consistently, and it just doesn't happen.

There's something seriously wrong here.

[NinjaTrader_Brett]

Hello,

If I look at both longer I am seeing where the TT feed seems likes its not updating as often as it should which could account for larger bid ask spread. I will inquire to see if this is normal for TT. Please hang tight.

[NinjaTrader_Brett]

Can you please email me your phone number to support at ninjatrader dot com ATTN: Brett.

I look forward to assisting you further.