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I don't know what "use with IB" means. But it sounds like you think you can use a data feed other than IB with TWS, and that is definitely never going to happen.
If you mean "use with IB" as in IB for execution, and data feed for data, then of course that is fine so long as you don't use TWS. You can do it with Sierra Chart for example (which I use) or with NinjaTrader for example (which many others use). Both of which are off-topic for this thread, which is supposed to be about unfiltered data.
Hi is someone able to provide any more recent info on this:
I am looking at the options offered by AMP Global. I am looking for an unfiltered feed and the options are CQG , TTnet and Rithmic.
Latency of the feed would be less of a concern on my side. More of a concern would be all the ticks should be non aggregrated. Accurate Bid / Ask trade classification
Can anyone advise if these feeds are all unfiltered? Any views on the Bid Ask trade classification
I use the CQG from Amp option, as provided to it's Ninjatrader users (now only available to new NT7 users that have purchased their own NT7 license.). The feed is slightly different from the full (and much more expensive) CQG datafeed: it is made up of realtime incoming data and is provided by CQG directly - it is completely unfiltered, meaning you get all trade ticks and all the bid/ask info in that is available. This allows me to have completely accurate footprint charts showing exact buyers and sellers at every price level (which I record via GOM, for the entire opening duration of the market through each and every week). I have compared my footprint charts to the other datafeeds you have mentioned, and they are almost always exactly the same.
The difference with the Amp CQG feed for NT7 users is that whenever NT7 makes a request for historical data, it comes from NT's own housed servers, from data they have recorded for that instrument. They used to have issues where their servers would go down every so often on the weekend or an overnight and then when you request historical data, it is not available to you: this problem appears to have been rectified by them and it has been quite some time where this has now not been an issue.
Thank you Beljevina for providing some more insight.
I am wanting to use it with IRT who routes CQG data through the marketdelta trader platform. Interestingly I got a reply from IRT which said I should go with Rithmic.
With IRT there is the option to backfill through I believe DTN. The only concern with Rithmic is the additional per side pricing fee which adds up over time.
When you have tested you CQG feed, have you eyeballed it ( which I tend to do) or have you dug into data on different feeds with excel or something similar. What sort of discrepancies have you noticed or picked up with regards any of this?
I am still having a problem with NT7 & NT8 requests to the Ninja servers. They have been missing some data and I have been getting an error on the front month contract since the last week of December. @NinjaTrader siad there is a problem , but they do not have an ETA on a fix. It has been a week already so I don't think they are in a hurry.
I don't know enough about MarketDelta and how it does it's cumulative delta/footprint (if you are using that feature), and hence how it builds, collects, stores that data, either real-time or historically; I mention this as a contrast to GOMi's fabulous tools for NT footprint and delta, which I completely depend on, and find essentially flawless in their operation. Hopefully you have a technical understanding of why they would recommend Rithmic; I mention that because help-desks usually have a bias and often steer their customers one way, for non-technical reasons.
My CQG/Amp usage over the past 4+ years I'd say is somewhat beyond generic eyeballing: I've compared the footprint chart's bid x ask prints in entire bars, trying to focus in on what I knew to be fast moving periods in the market, and comparing colleague's charts either on SierraChart and/or MarketDelta, and matching up those bid x ask levels. I've done this for ES, CL, ZN, 6E and others. Yes, there are rare differences, but, on say a $CL print of 720 x 674 at $34.70, if it's 5 to 10 to 20 contracts more or less, I don't see a reason to be concerned; usually I can find the discrepancy in the tick above or below, which, is indicative of an incredibly fast moving market as well as uncontrollable software where the GOMi indicator 'slotted' the up/down ticks perhaps in the opening or closing seconds into a price level above or below, or, it is in the next bar if that was the opening or closing tick. In other words, because delta is not part of the datafeed, there can be minor software impacts that will make a 5 minute footprint chart appear different on NT vs SC vs MD. My sense is that it is better than 99% similar. And, if one is different versus the other (by 1% at an incredibly fast point in the market), the question is ... so what? Will it impact one's profitability? I don't think so. My advice is that there is a far greater spectrum of impact we as a trader introduce to the mix, making potentially bad decisions completely unrelated to incredibly small variances in a footprint or delta print: note I am assuming your chart's individual bar's high, low and other non-footprint data is completely the same. Also, things like OCO-server side, and latency frankly I feel are more important. I hear you on the pricing differences, but brokers can adjust those for their clients to be more competitive (just ask them) and, with ES at $12.50 per tick, I will put in limited effort/concern towards a 20¢ full-turn price variance.
I'm not aware of any chart gaps, but, I could be wrong and not seeing it, or, because I also run my NT7 during every waking minute of the futures markets and my charts will get built from historical data when I do restart NT7, perhaps I am not impacted. If you want to PM with details, I'd be happy to see if I'm experiencing the same issue, or, if I could help or somehow shed light on the topic.
You've obviously spent some time with this by the looks of things , and bring through some great understanding.
You point as well on the tick size and price per trade is a valid one as well. i sometimes tend to forget its just the cost of doing business.
Thanks for the lucid explanations, Good luck with your trading
This is a helpful post. I was looking at charts/data in tradestation and then going into Interactive Brokers to place some trades and I realized that the high and low of day columns did not match. At first I thought it was due to IB considering the premarket and tradestation using the actual trading day.
I then looked at 5 min charts in both platforms and those don't match either. I find that disconcerting since many traders use 5 min bars and there is no way to know which one is accurate.
I downloaded about a year's worth of daily prices of BIIB from both brokers' software and compared them. I am surprised to see that even on daily bars there is a decent amount of difference, particularly in the opening prices. I have attached the sheet with differences. Tradestation is the first set, IB is in the second set starting in column G and the IB Value less the respective Tradestation Value is the third set starting in column M.
As an aside, I find that Tradestation and ThinkorSwim data matches for whatever that is worth.
The following user says Thank You to mks212 for this post:
I am not exactly sure how to determine the precise price for an equivalent CQG set of instrument and data feeds; their page at Products | CQG, Inc. doesn't seem to specifically offer pricing solely for the datafeed, but may bundle it with their other products. In general terms and without doing specific research for you, the cost for datafeeds can be as little as $60/month (Kinetick?, but may not include markets like the Russell, Brent, FDAX, etc) and from past memory, Rithmic, which is likely upwards of $90). Bear in mind too, that a datafeed is one thing, but, entering and exiting trades is determine by whatever broker you choose, and thus their infrastructure to successfully route your trade to your instrument's exchange.
My point simply in my posts(s) was that there are many bundled solutions from brokers or other sources, that will provide for an incredibly high quality datafeed at minimal cost. And, my advice is to pick a reputable unfiltered data source, and not spend silly amounts of time exploring that avenue, when, it is the quality and success of each of our abilities to successfully trade in to and out of positions, that are the real cornerstone of making it or breaking it as a trader.
