MB Trading vs IB vs TD Ameritrade

[gdavis74]

I am looking to open an IRA for trading, only a portion of my retirement of course

I presently have a MB Trading account and the NT7 API for MB Trading (MBT Desktop), works well. I'm not enthused about the bad ticks that come in with their data feed though.

Anyone have opinions on the API that IB provides for NT7? Especially if you have traded with both MT Trading and IB or TD Ameritrade.

I read some posts I found doing a search and the comments about IB and TD Ameritrade in terms of their data feed were not encouraging.

Any feedback appreciated. Thanks

[sledge]

Have you tried filtering the bad ticks in NT?

[gdavis74]

Filtering works pretty good. Key though is saving chart data as historical so when charts come up again, they use the historical data and not from the server.

[sledge]

Filtering works pretty good. Key though is saving chart data as historical so when charts come up again, they use the historical data and not from the server.

In tda, in the account connection setup I can turn off historical data so it just uses market replay recorded data. You might have that Orin too

[NinjaTrader_Brandon]

Hello gdavis74,

Thanks for your post.

I would recommend that we look into why you are getting bad ticks.
Please email support your log and trace files so we can look into this further. To do this go to Help> Mail to Support
In the message please include a link to this forum topic.

[NinjaTrader_Matthew]

Hello,

I wanted to provide an update to this thread as MBT contacted me after further analysis of such reports. Here is a response from the MBT customer service team

The data team at MB Trading reviewed your observation reported with regard to the data spike. The spike you witnessed was a valid reported trade directly from the exchange, I posted what my programmer was able to find for your reference. This is not an issue that can be easily fixed due to it’s nature. This is not to say we do not refine our filtering methods, we in fact work on them constantly.

"There was a valid FormT Trade at 16:11 on 9/25. Thus the symbol SPY
was updated. We have seen wild price spikes in the Form T messages
before. It's the exchanges position that the last price is NOT updated from these types of messages. This is a "rollup message" from the exchange - it had a VERY
large size associated with this specific trade.
This trade is also flagged as an "Average Price Trade". Those types of message typically do have very large sizes.
The trade is 501,268 shares at 169.4903.

We will often scrub this data nightly or fix manually when necessary however we want our users to know that as a firm we tend to allow as much accurate exchange data to pass to the user as possible. Sometimes this is seen as a spike and though it visually may appear this way, in fact the data is valid.

[gdavis74]

Bad ticks

So, is it worth filing a support ticket for this with NT? The way I avoid bad ticks displaying is by using the tick filter set at the lowest level and settings in the Data options to :
1. Get data from server
2. Save chart data as historical
3. Record for market replay

This doesn't work all the time. I'm attaching a snapshot that shows a bunch of bad ticks in after hours, which is typical as well as pre-opening.

What I have also seen is that the tick filtering works on a minute chart but bad ticks will still show up on a tick bar chart. The 4000 tickbar chart of SPY attached shows a bunch of bad ticks yesterday at 195.58. I edited all those yesterday yet they show up again today.

If you want me to open a support ticket with NT, let me know what log and trace files you want.

So, if tick filtering is working with NT7 and a tick that is 0.1% off the market, than when charting SPY which let's say is 195.50, any tick with absolute value of .1955 off the market should get filtered, right?

Does filtering mean that the tick is thrown out or the price bar is adjusted? If these are really valid trades, I don't want to lose the volume. Honestly I don't see how all these can be valid trades all the time cuz often times I see several bad ticks with the same value for the tick and the volume. Let's just get accurate here, following are some of the bad ticks for 06/11/14 at 195.58:
06/11/2014 3:26:04 PM 195.58 1502923
06/11/2014 3:19:58 PM 195.58 1001949
06/11/2014 12:54:27 PM 195.58 500974
06/11/2014 11:16:18 AM 195.58 500974

So there are 2 bad ticks with the same exact volume. Here's another thing, who the heck has the privilege of buying that far off the market, nobody I suspect! And to trade sizes that large and the exact same value? Maybe some computerized trading firm with deep pockets and privilege beyond the crowd. I don't know how smart money works but would market makers trade so far off the market. I can see how they would if price is expected to trend down and they buy way above the market or vice versa but this isn't always what happens. I used to watch the ticker and the trades that happened above and below the bid and ask at times were unimaginable.

[sledge]

This has always happened in SPY. From what I have read postulated, this can also be earlier trades in the day finally settling and reporting.

Why don't you set your chart to RTH and exclude after hours? That'll clear up 98% of your issues.

The real kicker is that sometimes when the "bad ticks" show up during RTH hours sometimes end up predicting the later on session.

Attached is TDA chart from today, 6/12 with after hours.

You're not going to get something changed that has always happened.

If you want to explore after hours, SPY is not the instrument to be watching. Futures ES-mini is.

So, is it worth filing a support ticket for this with NT? The way I avoid bad ticks displaying is by using the tick filter set at the lowest level and settings in the Data options to :
1. Get data from server
2. Save chart data as historical
3. Record for market replay

This doesn't work all the time. I'm attaching a snapshot that shows a bunch of bad ticks in after hours, which is typical as well as pre-opening.

What I have also seen is that the tick filtering works on a minute chart but bad ticks will still show up on a tick bar chart. The 4000 tickbar chart of SPY attached shows a bunch of bad ticks yesterday at 195.58. I edited all those yesterday yet they show up again today.

If you want me to open a support ticket with NT, let me know what log and trace files you want.

So, if tick filtering is working with NT7 and a tick that is 0.1% off the market, than when charting SPY which let's say is 195.50, any tick with absolute value of .1955 off the market should get filtered, right?

Does filtering mean that the tick is thrown out or the price bar is adjusted? If these are really valid trades, I don't want to lose the volume. Honestly I don't see how all these can be valid trades all the time cuz often times I see several bad ticks with the same value for the tick and the volume. Let's just get accurate here, following are some of the bad ticks for 06/11/14 at 195.58:
06/11/2014 3:26:04 PM 195.58 1502923
06/11/2014 3:19:58 PM 195.58 1001949
06/11/2014 12:54:27 PM 195.58 500974
06/11/2014 11:16:18 AM 195.58 500974

So there are 2 bad ticks with the same exact volume. Here's another thing, who the heck has the privilege of buying that far off the market, nobody I suspect! And to trade sizes that large and the exact same value? Maybe some computerized trading firm with deep pockets and privilege beyond the crowd. I don't know how smart money works but would market makers trade so far off the market. I can see how they would if price is expected to trend down and they buy way above the market or vice versa but this isn't always what happens. I used to watch the ticker and the trades that happened above and below the bid and ask at times were unimaginable.

[gdavis74]

SPY bad ticks

Ok, so this is just something that happens with SPY. I understand and can imagine some trades that took place earlier that have to be accounted for.

Yes, sometimes ticks that are way high or low are predictors !

Thanks for the reply sledge.

I would think that NT7 would filter these ticks,even if they were bad, unless there is logic that somehow confirms by some identifier that it is in fact a good tick.

ETH hours have some important data at times, pre-market, for the way I interpret charts using the Weiss Wave.

[sledge]

Ok, so this is just something that happens with SPY. I understand and can imagine some trades that took place earlier that have to be accounted for.

Yes, sometimes ticks that are way high or low are predictors !

Thanks for the reply sledge.

I would think that NT7 would filter these ticks,even if they were bad, unless there is logic that somehow confirms by some identifier that it is in fact a good tick.

ETH hours have some important data at times, pre-market, for the way I interpret charts using the Weiss Wave.

Other stocks can have it too. AAPL has some spikes after hours tonight.

I am surprised that NT tick filter isn't helping you.

[koganam]

So, is it worth filing a support ticket for this with NT? The way I avoid bad ticks displaying is by using the tick filter set at the lowest level and settings in the Data options to :
1. Get data from server
2. Save chart data as historical
3. Record for market replay

This doesn't work all the time. I'm attaching a snapshot that shows a bunch of bad ticks in after hours, which is typical as well as pre-opening.

What I have also seen is that the tick filtering works on a minute chart but bad ticks will still show up on a tick bar chart. The 4000 tickbar chart of SPY attached shows a bunch of bad ticks yesterday at 195.58. I edited all those yesterday yet they show up again today.

If you want me to open a support ticket with NT, let me know what log and trace files you want.

So, if tick filtering is working with NT7 and a tick that is 0.1% off the market, than when charting SPY which let's say is 195.50, any tick with absolute value of .1955 off the market should get filtered, right?

Does filtering mean that the tick is thrown out or the price bar is adjusted? If these are really valid trades, I don't want to lose the volume. Honestly I don't see how all these can be valid trades all the time cuz often times I see several bad ticks with the same value for the tick and the volume. Let's just get accurate here, following are some of the bad ticks for 06/11/14 at 195.58:
06/11/2014 3:26:04 PM 195.58 1502923
06/11/2014 3:19:58 PM 195.58 1001949
06/11/2014 12:54:27 PM 195.58 500974
06/11/2014 11:16:18 AM 195.58 500974

So there are 2 bad ticks with the same exact volume. Here's another thing, who the heck has the privilege of buying that far off the market, nobody I suspect! And to trade sizes that large and the exact same value? Maybe some computerized trading firm with deep pockets and privilege beyond the crowd. I don't know how smart money works but would market makers trade so far off the market. I can see how they would if price is expected to trend down and they buy way above the market or vice versa but this isn't always what happens. I used to watch the ticker and the trades that happened above and below the bid and ask at times were unimaginable.

I have read some consipracy theories that say that those rdiculous ticks are the Illuminati, signalling those in the know, the price to which they intend to drive the market, so that they can front-run the move for massive benefit.

[gdavis74]

NT log and trace files

Brandon, please tell me what log and trace files should be provided. I am going to open a ticket. For some reason, tick filtering does not work well or much on tick bar charts. Last evening I edited out the bad ticks, reloaded historical data and saw the same bad ticks. Then exited, restarted computer and still bad ticks.

Attached is a snapshot of the tick bar chart after doing all this. It is worse than the chart I attached earlier in this thread.

thanks

[NinjaTrader_Matthew]

gdavis74,

The real-time tick filter only works for real-time data. Historical data is not changed by this setting.

I can load this same symbol on my end and see these spikes, indicating the spikes are on the historical data servers. You can attempt to edit these ticks out of your data manager, however as these value are stored on their tick server, it's likely these values will be re-downloaded and reappear, and absolutely will reappear if you 'reload' data.

The other aspect worth mentioning is the real-time tick filter would only work up to 3 consecutive ticks - after which, NinjaTrader will assume the ticks being processed are valid and the tick filter no longer applies. This means you can still end up with wild ticks on your charts if there were multiple sent from the data provider or exchange.

To answer your question, when the filter is applied, those ticks are thrown out. The volume would be missing in those cases. If you would not like to lose volume as it's reported by the data provider, you will need to disable the tick filter to process the data as it comes in.

From the information you have provided and the comments from the data provider, I do not believe there is anything you can do to remedy this situation from the client side. If you feel the values are throwing off indicators calculations, etc, you can go in and edit/exclude the data, but you need to ensure you are not reloading data, which will over write your changes.

MBT has requested that you report these ticks to their Support Department, who will then convey to their Data Quality Team. They can help you determine if this is in-fact accurate exchange derived information, or if the data needs to be cleaned up on the tick servers as well.

The log and trace files requested earlier would confirm that everything is installed and configured correctly (i.e., correct API version and no internal errors processing data, etc). If you wish, you can always feel free to send these in via Help-> Mail to support and put a reference to this thread. We'll be more than happy to look over your diagnostic files at any point.

However - do keep in mind - as we can reproduce these ticks without errors on our end, I don't believe there is anything we're going to find that will help in this particular scenario.

[gdavis74]

Thanks Matthew, I will report the ticks to MBT.