recomanded data feed for live trading

[nfeldberg]

this is a general question on data feeds.

I have finally manage to fully migrate my strategy from tradestasion to NT.

I currently have TS which I am trading live on
I also have an IB account.

my objective is to trade a strategy (mini S&P) which use tick charts. clearing should be with IB.

the feed that IB provide for tick charts is different from TS. what are my best and most robust option to trade this strategy live with NT over IB?
1. there is an option for TS to send tick chart data to NT - any experience with this in live trading automated environment? are there any delays in performance as the connection from NT to TS looks like it is not a native connection. any plans to have native connection to TS data feed?
2. any other data provider that the tick chart they provide would look similar to TS? preferably also with continues contracts for back testing?
3. is there any option to identify the equivalent IB tick data length to be identical to TS feed?
4. any other option which I have not thought of that can make it work in the most robust way?

thanks for any experience or ideas on this topic
Nir

[NinjaTrader_Ben]

Hello,

Thank you for your post.

Tick data with an IB connection is not supported. Any tick data that you are seeing on the chart through IB is recorded because you have: Tools>Options>Data tab>Store real time data checked.

Here is a link that details this for all of our supported data providers:

http://www.ninjatrader-support.com/HelpGuideV6/HistoricalData.html

[nfeldberg]

Ben thx for your reply,

however I am referring mainly to real time tick charts, which I believe IB do support however, they filter the data, while TS not filtering the data.

I am looking for the next level of details that you don't have in the ref link (how do they present their tick data), and if possible to get some info on the future plans of your integration with TS as data feed in a native format.

I am sure I am not the first to try and move from TS to NT. anyone with experiance and some knowledge that willing to share would be highly appriciated.

thx
Nir

[NinjaTrader_Ben]

Hello,

Yes, IB real-time tick data is supported (but historical data is not), and recordable as mentioned.

Although I am not 100% sure, I believe TS filters their data as well. However they may have a more relaxed filtering methodology.

You are correct I cannot characterize the data feeds...I'll let a fellow trader comment on this.

I will submit your request to have TS data provided natively. Thank you. However, I am not aware of any plans to do so.

Lets see if any other traders will comment on this for you.

[nfeldberg]

Hello,

I have hit another wall... when you connecting to the TS feed via the external feed you can't connect to another provider therefore can't run a strategy over IB using TS feed....

you should have mentioned that in the documentation, it means that if you have TS feed, you can only have charts with ninja, and nothing more than that......

so back to square one, anyone could possibly recommend a good data feed, that resemble the tick charts generated by TS and not using the external feed? again preferably with continues contracts.

Ben or any other NT expert, as you can see the fact you don't have a TS native connection means you can't trade using this feed, could you please check and let me know if there are any plans to create one, or enable a connection to the externalfeed and to IB for execution?

thx,
Nir

[NinjaTrader_Ben]

Hello,

You can use your strategy with TS and place trades in your live IB account. Here is a link that provides more detail on TS interfacing:

http://www.ninjatrader-support.com/HelpGuideV6/Overview31.html

...these are you only options to trade via a TS strategy.

As mentioned prior, there are no plans to provide TS data natively as you suggest. However, I have sent your request in to our development team as a suggestion.

[mrlogik]

feldberg,

1. I'm not sure how TS or IB filters their tick data. Can you elaborate please.
2. Whatever you trade, I recommend you use the datafeed from your broker to trade on. I have done some statistical analysis about the differences between TS and MBT data and have found depending on the time of day the delta between these two data feed quotes can be anywhere between 0 to 5 pips. Depending on how your strategy trades, this can be very detrimental to the performance.
3. The differences between IB and TS data; do they reduce the performance of your strategy? Is that why you're trying to stick with TS data?

-mrLogik

[nfeldberg]

Ben,

I am trying to use the flexibility and superior execution of NT.... I have spend the last two months converting my strategy, overcome several obstacles, etc', just to get a response that I can use the email interface.....
This is a limitation that you have, it is not documented in any of the connection documentation that you have, it would have been nice if you could acknowledge it as limitation and modify your documentation / provide an update on your future plans.

mrlogik,
thx for joining this discussion.
1. I am not sure about TS, I was under the impression that they are not filtering the data, however on IB they will combine several ticks together, not sure which logic they are following. if you are using a tick chart and trying to look at 512 tick charts of the ES, you will get 3-4 times the bars on TS feed compared to IB.
2. I am less concerned about the difference between the real-time data, my strategy using mainly limit orders which will be place above or below the current price, however if the tick charts are not similar, I would need to re optimize the strategy to use the new feed (signals are generated based on Oscillators that use close price as entry), with IB and to that extent so far to all of the other data feed providers that I looked at there is historical tick data of only 10 days, compared to TS which have 6 months. which means impossible to back test properly.
3. I don't know, I can start forward test, but it was not what I was hoping, I have a strategy that working very well on TS feed, I would like to use ninja as it will enable me more control on the execution, avoid the need to transfer to market orders limit orders that not been filled, etc'. also IB is more reliable and provide better performance compared to the clearing of TS.

does MBT data feed look similar to TS on tick charts? (not sure if MBT is data feed or just a broker).

thx for your support both,
Nir

[mrlogik]

Nir,

1. Which broker are you using?
2. MBT is a broker. I'm not sure how their tick data look in comparison to TS; I can take a look and see if they're similar. What do you recommend I look for so I can give good feedback. I can do a side-by-side comparison and take a screen shot.
3. I wouldn't use the email interface between NT and TS. Its good for sending orders yes, but becomes difficult in determining whether the position was ever filled, and at what price, etc. I have been in engineering for the past 10 years and have experience in automating a strategy from TS to NT. I created an external interface to have a bidirectional communication between the "sourcing" program (TS) and the "receiving" program (NT) and it still had its downfalls. Your best bet is using 1 platform if you plan on automating 100%.

If you need help automating PM me.

[nfeldberg]

Hi mrlogik,

Broker is IB - InteraciveBrokers
an ES 512 tick charts is the chart I am after....
have no plans to use the email interface, hence my response, and last 2 months of learning how to program with NT... so far happy with performance, I also have other charts which I am using with intra day data and that working fine with the data feed from IB. I am relay after a decent data feed provider similar to TS.

thx for your support,
Nir

[NinjaTrader_Ben]

Hello,


The functionality that is possible with a TS connection is provided at the top of this link when establishing the TS connection:

http://www.ninjatrader.com/webnew/support_TradeStation.htm

Note, that anything not listed here is not supported. Sorry for the inconvenience.

[mrlogik]

Nir,

I'm not familiar with ES contracts. Please give me a symbol and i'll see if I can map it to MBT and TS to take a screen shot for you.

[nfeldberg]

thx again and sorry for not providing the info before.

ES is for the e-mini S&P 500 future contract.

ES is the symbol on the CME (globex platform)

on tradestation the symbol would be @ES for the continues or ESU08 for the front month.

am not sure what MBT would call it.. but IB use ES as well.

thx again for your efforts,

Nir

[NinjaTrader_Ben]

Hello,

Maybe the attached screen shots will help.

[mrlogik]

yes, that does.

Thanks. I'll post some screenshots comparing the two when I get home.