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MB Trading

Posted: Fri Aug 11, 2006 12:51 am
by brwkem
Anyone using MB Trading Brokerage as a data feed for equities and/or eminis?
Was the data ok today and yesterday?

My experiences with the software, so far, have been unpleasant.

Posted: Fri Aug 11, 2006 11:49 am
by aspTrader
Hi,

Experiences with MB brokerage software, MB brokerage interface, NeoTicker?

Not sure which you mean... Maybe all of them.

Posted: Sun Aug 13, 2006 1:46 pm
by michal.kreslik
Hi, brwkem,

my experience with MBTrading/EFX FOREX data feed in Neo is good. The only troubles I am experiencing are bad ticks and nonsensical data during FOREX off-trading time (between Fri/5 pm and Sun/5 pm EST). But this can be cured effectively by setting up appropriate tick filter in Neo.

The day before yesterday a new NeoTicker order server for MBTrading/EFX has been released by TickQuest - maybe you would like to check that new release:

http://newsletter.neoticker.com/?p=258

Michal

Data backfill and real time feed problems

Posted: Mon Mar 19, 2007 1:21 am
by TheLonelyTrader
Hi all,

I'm having horrible problems getting clean, accurate data with FX. The backfill from NT is awefull, full of holes and sometimes as much as an entire handle off the mark. The real time feed is not properly updating, depsite following instructions to the letter in the help files.

Is there any central file with good documentation on getting good data backfill and a good broker feed?

Sincerely frustrated...and NT folks are not being very helpful. They are running me around in circles with the instructions that I have already followed...

Any insight / ideas would be appreciated.

Posted: Mon Mar 19, 2007 3:12 am
by TheLonelyTrader
michal.kreslik wrote:The only troubles I am experiencing are bad ticks and nonsensical data during FOREX off-trading time (between Fri/5 pm and Sun/5 pm EST). But this can be cured effectively by setting up appropriate tick filter in Neo.


Michal, tried different variations on the tick filter and it didn't work. How did you set yours up?

The Friday 16 March close is all over the map, with some pairs closing properly and other closing as much as 100 pips off of the real close.

J

Posted: Tue Apr 03, 2007 8:42 am
by trader_hal
Hi Lonely,
I am having the same trouble. The data is HORRIBLE. I have to get TS just to get clean data.

The tick filter does nothing at all. The time settings have cured the weekend gap issue somewhat, but its still VERY VERY horrible data.

screenshot examples

Posted: Tue Apr 03, 2007 8:44 am
by trader_hal


that long line is not a weekend trade.. there are hundreds like this, and lots of holes....... no one has addressed this long standing issue.

Posted: Tue Apr 03, 2007 8:49 am
by michal.kreslik
Unfortunately, EFX data is not good at all as I stated before.

I'm using my own SQL database with over 260 million+ clean ticks in it for this purpose.

When I got some more time for this, I'm going to develop some cunning tick filter for EFX data based on FPI rings. I'm going to publish it here.

Michal

Posted: Tue Apr 03, 2007 8:51 am
by trader_hal
hi michal, can you share any stored procs or any other scripts for me to clean data ? is the best way Tradestation only? .. how does this affect live trading algorithm calculations?

Posted: Tue Apr 03, 2007 9:45 am
by michal.kreslik
Hi, trader_hal,

it's quite a complex procedure that involves C# and SQL code. I'd be happy to share that, but the entire structure with data's got 60GBs.

Michal