MB Trading

data feeds & order interfaces discussion

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trader_hal
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Postby trader_hal » Tue Apr 03, 2007 5:01 pm

ok, thats fine.

But the real question is- Since the EFX data is bad.. will it affect auto trade, or indicator calculations because its bad? or those things dont matter in real time..........?

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Postby TheLonelyTrader » Tue Apr 03, 2007 5:37 pm

trader_hal wrote:ok, thats fine.

But the real question is- Since the EFX data is bad.. will it affect auto trade, or indicator calculations because its bad? or those things dont matter in real time..........?


They absolutely matter. And the problem exists in real time as well as in "demo time." This data is simply not tradable either on EFX or MB with automated trading and position management systems. But don't take my word for it. Ask around and you'll see what I mean.

I have a hard time believing any tick filter, even based on FPI rings, will solve this problem. What you are in effect doing is creating your own in-house quote data with that methodology...which, again, is not tradable using automated systems because of discrepencies with broker and interbank spot data.

EFX and MB simply have to get their acts together and provide a cleaner data feed if they wish to truly support the kind of clients they are trying to attract. I suppose you get what you pay for, so I'm not optimistic.

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Postby michal.kreslik » Tue Apr 03, 2007 9:32 pm

trader_hal wrote:ok, thats fine.

But the real question is- Since the EFX data is bad.. will it affect auto trade, or indicator calculations because its bad? or those things dont matter in real time..........?


Yes, it will matter as a bad tick valued "0" will totally throw apart your trading system.

Filtering out bad ticks based on FPI rings will not make the bad ticks the real market ones, but at least it's not gonna send your trading system to pieces.

Michal

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Postby trader_hal » Tue Apr 03, 2007 9:36 pm

So, what does one do?

Write a tick filter? Is that the only way to actually use NT for auto trading?

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Postby TheLonelyTrader » Tue Apr 03, 2007 9:48 pm

trader_hal wrote:So, what does one do?

Write a tick filter? Is that the only way to actually use NT for auto trading?


Finding a good broker with a top-rate data feed should eliminate much of the problem. You can close the holes in NeoTicker, except that I've already forgotten how to do this. I remember the support people at TickQuest being helpful with this.

I'm fairly certain discount brokers like MB and IB won't be able to offer a clean, professional feed anytime soon. At the end of the day and depending on the requirements of your systems, you might actually be more successful in your trading by paying a bit more for data and other fees. You could use NinjaTrader for autotrade interfaces with multiple brokers and data feeds, and NeoTicker for writing and executing your algorithms through NinjaTrader.

Hope this helps. I just don't see any way to circumvent, via tricky code-writing, a bad data feed...except to actually pay for a professional data feed, offered by a full service broker. If you know of some other way, I'm listening...

But if you were just interested in not freaking out NeoTicker, and writing elegant algorithms, then Michal's solution is more than adequate. This won't make a successful autotrading platform, however.

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Postby trader_hal » Tue Apr 03, 2007 9:58 pm

Well, I think most of us if not all of us are on the quest for a stable auto trade system. besides all of our learning curves, techniques, we all want to be able to auto trade one day.

I was under the impression that Michal's and every one else who boasts NT already has a successful Autotrade system on NT.

If so... how are they doing it? A tick filter solves those problems? Would TQ be of any help?

I thought MB/NT combo is the First Class of trading systems.

So if I get this correct I am looking at this scenario

MB Datafeed + Order Interface > Ninja Proxy > NT Algorithms?

I am confused as to where Ninja fits in and what will it do for me if my data is bad to begin with?

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Postby michal.kreslik » Tue Apr 03, 2007 10:04 pm

I agee to TheLonelyTrader that nothing matches a clean data feed. One hits a hard rock when one switches from Tradestation to NeoTicker as TS being backwards in many ways and it delivering artificially marked up forex data, that data is alwyas coming to your TS chart and there is a minimum of bad ticks.

I disagree with TheLonelyTrader on the question of using a datafeed that's different than the one that you can execute your trades upon. This depends on the nature of your trading system, of course, but me being a scalper, I can't use any other datafeed than the very same one that is executable for the trading system calculation.

Michal

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Postby TheLonelyTrader » Tue Apr 03, 2007 10:07 pm

michal.kreslik wrote:I agee to TheLonelyTrader that nothing matches a clean data feed. One hits a hard rock when one switches from Tradestation to NeoTicker as TS being backwards in many ways and it delivering artificially marked up forex data, that data is alwyas coming to your TS chart and there is a minimum of bad ticks.

I disagree with TheLonelyTrader on the question of using a datafeed that's different than the one that you can execute your trades upon. This depends on the nature of your trading system, of course, but me being a scalper, I can't use any other datafeed than the very same one that is executable for the trading system calculation.

Michal


Not sure that we disagree at all on that point....

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Postby trader_hal » Tue Apr 03, 2007 10:17 pm

Ok,

So if I have to setup an auto trade system, longer timeframes and some scalping abilities - here are my options:

1. get tradestation and automate nothing
2. get mb/efx and NT and wizard out the tick filter / hack it to get clean data feed to send orders against
live data through MB (bad), Backfill through NT(bad),
3. get mb/efx/ , NT and NinjaTrader - hack that out as well

am I missing something? so basically we can't use MB with NT? what is the bottom line?

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Postby trader_hal » Tue Apr 03, 2007 10:19 pm

http://www.ninjatrader.com/web/futures_ ... rading.htm

Per that link, we can automate Tradestation using NinjaTrader.

Granted the data is marked up, for longer term strategies Isn't this a blessing?
- Clean, reliable data that will never go away, simple coding language, mixed with a complex interface...

Sounds like a deal, how can NT/MB combo break that deal? Is the only advantage with MB is that its spot data and not fake markup?

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