MB Trading

data feeds & order interfaces discussion

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TheLonelyTrader
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Postby TheLonelyTrader » Tue Apr 03, 2007 10:21 pm

trader_hal wrote: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?


The point is that you'll need to find a good broker for futures/stocks, and a good broker for FX. There aren't any that offer it all, as far as I know, and that are competitively priced in both areas. TradeStation is one such example. (Their futures data/fee structure is OK, but their FX service is horrible.) Ninja allows you to use more than one broker and data feed simultaneously, in one integrated interface. But first, you have to have good data (from a good broker) if you want to autotrade. That is essential. Otherwise, you're taking a risk that you cannot control or account for...and I don't think MB is going to refund you every time your system executes off of a bad tick. You can have the bestest, most bootyful trading system in the algorithmic universe, but in the end with bad data you are effectively defeating the purpose. A broker's rudimentary charting package is probably more effective for you in this kind of scenario.

In a perfect setup, NeoTicker still won't chart both feeds, even with Ninja as the interface. So, you'll still have to have another charting/autotrading package set up for whichever instrument is not quoted through NeoTicker...

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michal.kreslik
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Postby michal.kreslik » Tue Apr 03, 2007 10:25 pm

Trader hal,

I guess TheLonelyTrader scared you a little bit too much :)

Currently I'm using a simple tick filter that ignores all ticks that are more than 1% off of the last not-ignored tick. This works without any problems.

For GBP/USD, 1% is almost 200 pips now and the market does not make moves like that on a tick to tick basis.

Of course, this does not recreate the probable correct price (as would be the case with the FPI tick filter), but at least keeps the cat in the bag.

Michal

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Postby trader_hal » Tue Apr 03, 2007 10:33 pm

Hi Michal,

Yes. Scared indeed. Should I be comfortable with hooking up my systems to the tick filter based feed? It sounds great, I will give it a go... this is one of the main issues really, everything else about NT/MB is all ok, and tolerable if not.

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Postby TheLonelyTrader » Tue Apr 03, 2007 10:34 pm

michal.kreslik wrote:I guess TheLonelyTrader scared you a little bit too much :)


If you are going to turn an automated system loose on your trading account at a broker with bad data, then you should be scared. Unless, of course, you either make a living by developing systems and selling them to other traders, or you have a small account and want to piss it away on bad fills.

I think I've overstayed my welcome here. I'm somewhat alarmed myself that this issue isn't scaring more people.

Good luck to all.

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Postby michal.kreslik » Tue Apr 03, 2007 10:51 pm

TheLonelyTrader,

this issue IS scaring people that are concerned about it. But the problem is not in MB/EFX, but generally in having to cope with bad data anywhere.

Even the most expensive variety of the eSignal feed is giving you bad data sometimes, so it's not the question of finding the "ideal" datafeed. And also, this is the case not only for retail data feeds, but for the interbank feeds, too. My friend who had traded 200 billion EUR during the last year in a bank says that from time to time even the Reuters matching system or EBS or whatever goes dead on you or delivers nonsenses to you.

We are not living in an ideal world. The solution is not to wait for the ideal conditions to come to us (they never will), but to actively search for ways on how to cope with the problems.

Which is generally true not just with trading I guess.

Michal

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Postby trader_hal » Tue Apr 03, 2007 11:27 pm

So bottom line:

Neoticker - Analysis, algorithms, Backfill data, and sending order to the interface
MB - live data feed, order interface linked, broker

Questions: Is the analysis in NT done on the backfill data or MB data? for eg. when i tell neo to load 250 days, it does.. but its alllll jacked up. Is that NT data? Will one be better off buying Quote.com or something for that?

So for now we will assume MB is the best data available in a free market as long as I have a good tick filter - given that I should be able to let my system on auto?

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Postby michal.kreslik » Wed Apr 04, 2007 3:08 am

Trader_hal,

NeoTicker calculates the algorithms based on the data that it finds in the disk cache or based on the data that you directly load into the current chart from some data file (csv, for instance). If the requested data is missing, it goes ahead and tries to get that data online. If it goes online and finds the crippled EFX data, NT uses this crippled data.

So one of the ways on how to prevent having your algorithms calculated out of nonsensical historical data is (and NeoTicker programmers highly recommend this) is to keep your disk cache up to date and clean. I'll be happy to provide my SQL database for you, but you would either have to stop by me here in Tucson or you would have to send an external hdd over here so that I can copy the huge amount of data onto it.

Without any doubt, the question of EFX data "quality" is one of the frustrating elements of having NeoTicker hooked up to EFX.

Michal

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Postby trader_hal » Wed Apr 04, 2007 7:49 am

Michal,

Thank you for summing this entire thing up. I am heading out east on the road next month or so.. maybe I will stop by and see your magic with the SQL..

BTW I have been playing around with SQL 2005 Analysis Services.. very cool, so I am really interested in plugging this data and trying to make sense out of it in there..

I hope that makes sense. Thank you again for being so patient, and a teacher.

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Postby hawaiiantrader » Thu Jun 14, 2007 3:11 pm

as someone who is just starting out with MBT, this is quite disturbing - How can they not supply accurate data? It's like producing an automobile with nice seats and body trim - that doesn't actually run.
I think there is a thread somewhere else about whether or not Neoticker can interface with two feeds - but can you get your chart data from one feed - say tickquest, e-signal, or IQfeed - and still interface your order entry platform (within NeoTicker) with MBTrading? :?:

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Postby michal.kreslik » Thu Jun 14, 2007 5:32 pm

hawaiiantrader wrote:as someone who is just starting out with MBT, this is quite disturbing - How can they not supply accurate data? It's like producing an automobile with nice seats and body trim - that doesn't actually run.
I think there is a thread somewhere else about whether or not Neoticker can interface with two feeds - but can you get your chart data from one feed - say tickquest, e-signal, or IQfeed - and still interface your order entry platform (within NeoTicker) with MBTrading? :?:


The problem is more complex, but in a nutshell, one should strive to have the best quality data available in his NeoTicker cache.

The data that you can see on your chart and the broker that you're sending the orders to can be two independent things as the data might be coming from cache that's been built with other broker's data.

Right now I'm testing Interactive Brokers order interface for NeoTicker. Their data is perfect so far.

Michal

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