Level2 market data showing only 10 levels ?

[patricia70]

Hi all,

I am using NT brokerage with Level2 market data for EUREX. But when opening the SuperDOM or market depth window I get only 10 levels of depth. I already right-clicked into the window and under Properties I raised the default level value from 10 to 50. That doesn't change anything, I get only 10 levels. Am I missing anything? how can I show more levels, ten are not enough IMHO.

thank you

[NinjaTrader_Jim]

Hello patricia70,

Thanks for your post.

The number of depth levels available would be controlled by your data provider. As you are with NinjaTrader Brokerage, you could inquire with them on using a Rithmic based connection to receive more depth levels. brokeragesupport [at] ninjatrader [dot] com would be your point of contact to ask NinjaTrader Brokerage about your data feed.

We look forward to assisting.

[Hyper]

Hi all,

I am using NT brokerage with Level2 market data for EUREX. But when opening the SuperDOM or market depth window I get only 10 levels of depth. I already right-clicked into the window and under Properties I raised the default level value from 10 to 50. That doesn't change anything, I get only 10 levels. Am I missing anything? how can I show more levels, ten are not enough IMHO.

thank you

Yes, they don't provide more than 10 levels. Although there may be others, my solution required me to move
to Rithmic's feed, which had the side-effect that I was also forced to Rithmic's Order routing, etc. However, with
that feed, more than 40 tiers of DOM are available (each side), but with a very high incoming data rate. In my case, I need
exactly that, because the "distant DOM" and DOM behavior in general can be used to determine Market
trend.

With the NQ futures contract, I am seeing peaks of up to 1000 callbacks per second in OnMarketDepth, so that is a lot
of data to handle; and I assume built-in Ninja elements handle the Rithmic DOM well.
[edit2] I looked at the Level 2 and selected 30 or 40 levels, and Ninja's Level 2 does show all
of that in a scrolling window. However, there may be better ways of visualizing, so you might
need to do something custom, perhaps with a custom indicator. DOM processing is an "art" and
a "science" but there is a lot of information in there for price prediction. Don't think you can
get anything useful from just "eyeballing" the DOM; it's way more difficult than that...

[edit] I process everything in a Custom Indicator or Strategy module; so things need to be
well optimized for the high data rates, if you do that.

hyperscalper

[patricia70]

what are pros/cons and comparison between my actual CQG and Rithmic data feed?

[NinjaTrader_Jim]

Hello patricia70,

If you are using NinjaScript strategies, the ordering of Order, Execution and Posiiton updates will come into play and will be minded since Rithmic has different event ordering for these events. If you are not using NinjaScript strategies, this is not as impactful.

Rithmic and Interactive Brokers Users: Due to provider API design these adapters do not guarantee the sequence of events of OnOrderUpdate, OnExecution, and OnPositionUpdate. Therefore when working on a strategy that will run on these connections it is best practice to only work with passed by value data from that callback to eliminate the dependency on the sequence of events.

https://ninjatrader.com/support/help...rderupdate.htm

Differences on data provided can be referenced here - https://ninjatrader.com/support/help...y_provider.htm

If you have additional questions, I suggest having that conversation with NinjaTrader Brokerage.

We look forward to assisting.

[Hyper]

what are pros/cons and comparison between my actual CQG and Rithmic data feed?

I have a specific need for the Rithmic DOM data, which is a need that almost no one else will have, perhaps including yourself.
Unless you have a genuine need for DOM tier widths > 10 then I don't see why you would want to bother. I'm saying this only
because 1) I believe you can't usefully eyeball the DOM for trend direction, and 2) an algorithmic analysis of the DOM which I
am doing, is so hyper specialized that it is really not practical.

Nevertheless, having said that, you may still feel that Rithmic is worth it as an option, and perhaps you have requirements for
very fast Order processing which, again, most traders will not have. NinjaTrader support will be the most robust on their
standard Order and Market Data options, as opposed to Rithmic or some other provider via NinjaTrader brokerage;
and that should be made clear.

[edit] Additionally, to get the Rithmic feed, you will be forced to use Rithmic Order routing
and that will be subject to much higher margin requirements than the standard offering,
so that is another consideration against doing that. In short, you need a very real, and
very specific reason to go that way; so I'd recommend you stay with what you've got...

hyperscalper

[patricia70]

If you are using NinjaScript strategies, the ordering of Order, Execution and Posiiton updates will come into play and will be minded since Rithmic has different event ordering for these events. If you are not using NinjaScript strategies, this is not as impactful.

Rithmic and Interactive Brokers Users: Due to provider API design these adapters do not guarantee the sequence of events of OnOrderUpdate, OnExecution, and OnPositionUpdate. Therefore when working on a strategy that will run on these connections it is best practice to only work with passed by value data from that callback to eliminate the dependency on the sequence of events.

https://ninjatrader.com/support/help...rderupdate.htm

if understood correctly: whenever I'd change from Continuum to Rithmic I will not realize anything unless I use strategies or scripts that make use of the call OnOrderUpdate()
right?

Differences on data provided can be referenced here - https://ninjatrader.com/support/help...y_provider.htm

thanks for the link, unfortunately the rows for Continuum and Rithmic are exactly the same with no differences shown. So I am still asking what exactly the differences between those two datafeeds are. Until now we know two differences: Continuum provides only 10 levels in DOM whereas Rithmic can provide up to 40 leves. Continuum and Rithmic handle differently the call OnOrderUpdate/() in scripts and/or strategies. Those are the only two differences? Is there any change in monthly pricing when switching from Continuum to Rithmic?

Yes, they don't provide more than 10 levels. Although there may be others, my solution required me to move
to Rithmic's feed, which had the side-effect that I was also forced to Rithmic's Order routing, etc. However, with
that feed, more than 40 tiers of DOM are available (each side), but with a very high incoming data rate. In my case, I need
exactly that, because the "distant DOM" and DOM behavior in general can be used to determine Market
trend.

With the NQ futures contract, I am seeing peaks of up to 1000 callbacks per second in OnMarketDepth, so that is a lot
of data to handle; and I assume built-in Ninja elements handle the Rithmic DOM well.
[edit2] I looked at the Level 2 and selected 30 or 40 levels, and Ninja's Level 2 does show all
of that in a scrolling window. However, there may be better ways of visualizing, so you might
need to do something custom, perhaps with a custom indicator. DOM processing is an "art" and
a "science" but there is a lot of information in there for price prediction. Don't think you can
get anything useful from just "eyeballing" the DOM; it's way more difficult than that...

[edit] I process everything in a Custom Indicator or Strategy module; so things need to be
well optimized for the high data rates, if you do that.

Of course eyeballing would not suffice. Do you use exclusively Ninjatrader for your DOM handling or other additional tools (ATAS, SierraChart, ...), too ?

[edit] Additionally, to get the Rithmic feed, you will be forced to use Rithmic Order routing
and that will be subject to much higher margin requirements than the standard offering,
so that is another consideration against doing that. In short, you need a very real, and
very specific reason to go that way; so I'd recommend you stay with what you've got...

now there you go. I didn't know the order routing has such a big impact. As I understand, Rithmic order routing is much more expensive than Continuums one and the margin will get higher. Well then, I guess I have to stick with Continuum

thank you so much, very helpful explanation and answer.

[NinjaTrader_Jim]

Hello patricia70,

if understood correctly: whenever I'd change from Continuum to Rithmic I will not realize anything unless I use strategies or scripts that make use of the call OnOrderUpdate()
right?

The difference in Order/Execution/Position ordering is most notable in scripts that mix using OnOrderUpdate, OnExecutuionUpdate, and/or OnPositionUpdate, yes.

Those are the only two differences? Is there any change in monthly pricing when switching from Continuum to Rithmic?

Other than slight variances in how data is timestamped, you should not expect large differences in data between providers and functionality would be the same on the platform. Please inquire with NinjaTrader Brokerage on pricing related questions with your brokerage account.

We look forward to assisting.

[Hyper]

"Of course eyeballing would not suffice. Do you use exclusively Ninjatrader for your DOM handling or other additional tools (ATAS, SierraChart, ...), too ?"

To answer your question it's full C# custom indicator analysis. Originally I started with ATAS, until they couldn't hold the data feed, and it was clear that there was basically no support. My partner had Ninja Trader but was not technical enough to impress upon me what it could do. But once I looked into it, it was clear that I needed to adapt my code to Ninja Trader and not look back. Getting Rithmic at Ninja was a bit of a folly; but eventually it became clear that the only hit was some margin leverage.

It's full proprietary analysis, so really not worth going into it; except to say it's Inventory Analysis and DOM Analysis, the latter of which is the most difficult, but the DOM yields clear trend information although the necessary analysis is extremely difficult. But Ninja Trader 8 is the perfect host for this analysis, and integrated Order processing; there really isn't a better platform to have, and the Rithmic feed is essential for what I'm doing.

hyperscalper