Eurex volume data problem with zenfire feed

[RK_trader]

Hi All

When I load a Time and Sales for a Eurex contract like eurostoxx, it shows every order as 99 volume,instead of the actual volume traded in that transaction. This is happening with zenfire data feed and I believe it is the same for other Eurex contracts like bund or others as well. Has anyone experienced the same? All the Time and Sales data and volume data is bad.

Is this a Ninja 6.5 datafeed interface problem for downloading data from the zenfire datafeed? Or is this a zenfire problem ?

Support,can you please clarify where the problem is? If it is a Ninja data download interface problem,I would appreciate if you can please do a quick fix in Ninja 6.5 as it would really help those of us trading Eurex products.

Thanks
RK

[KBJ]

It's been about a year ago, but now that you mention it, I think I was getting funny volume numbers (like the same 99 for every bar) when looking at the FDAX. This was also through ZenFire. But that was a year ago, and I haven't tried it since. Good luck.

[NinjaTrader_Ray]

Eurex has several API's that can be used. Zen-Fire uses the faster one for order processing. Unfortunately this API does not transmit volume so a value of 99 is injected. They opted to go for quicker order execution at the expense of accurate volume. This is on their list to resolve in the future.

[RK_trader]

Thanks KBJ for the feedback.

Thanks Ray for the reply. Thanks for clarifying that this is a problem in zenfire datafeed and not Ninja 6.5. Do you know when the zenfire team would fix this. It is tough to trade any of the Eurex products with bad volume and Time & Sales data.

Is it possible you can please open a ticket with zenfire team? I hope they fix zenfire feed and transmit correct volume data. I will also put in a request through my broker, but would appreciate if you can please open a ticket directly with the zenfire team.

Thanks
RK

[NinjaTrader_Ray]

It is on their list already.

[RK_trader]

Thanks Ray.

Thanks
RK

[RK_trader]

Hi Support,

Has this problem been fixed in zenfire datafeed for eurostoxx market and other Eurex markets? Is there anyway to request zenfire, to expedite the fix.

I plotted a tick chart with volume, and it still shows volume of each bar identical.


Thanks
RK

[NinjaTrader_Jason]

I have contacted Zen-Fire and they informed it is stil in testing phase. They expect to have it in production mid September.

In addition, they will be the first to offer the EBS feed to retail traders; it will be streaming data.

[trader65]

RK trader the problem unfortunatly is not only with the volume from eurex...it loses the corect highs and lows of the bars also ...couse it's just a snap shot feed...updating at intervals like IB 's feed. Just test it side by side with a real eurex feed and you will see....

kon

[RK_trader]

Thanks Jason for the zenfire information, I hope they fix the zenfire datafeed problems for Eurex in the mid September update.

Trader65,.. thanks for bringing this up. So you noticed high/low of each bar is not necessarily correct with zenfire feed for Eurex markets ? How often does this happen intraday ?

Did you notice this on a time based chart or a volume/tick based chart? What datafeed do you use for Eurostoxx and Eurex, with ninja? Do you know how good is IQfeed and transact feed (although not sure one can use transact with ninja) for Eurex ?

Thanks
RK

[NinjaTrader_Jason]

Since the EBS feed will provide streaming Eurex data, it will take care of the behavior regarding the highs and lows as well.

Currently, the data is being received as pulses that update about once every second. This can result in filled orders at prices that 'never traded' because it occurred between pulses, which subsequently can result in incorrect display of the high and low.

[trader65]

RKtrader,
it happens very often....has nothing to do with periodicity on chart.....IMHO that feed is not tradable for intraday traders...i cheched
throught other platform...not Ninza.