tradersimon 

First day live on AMP. No complaints whatsoever.

Please read Mike's message on this thread!

Apologies Mike. Have deleted and posted on correct thread..

Silvester17 

oh thank you, but I know the term offer and ask but that's not the point here. if you talk about bid and ask(offer), you refer to the limit orders. widely known as level II. unless you know something I don't, limit orders don't show up on a footprint chart. like I said before, VOLUME at bid and ask (what's actually executed) will show up on a footprint chart. maybe the pic below will help you better understand:

sigh.....

So how do you know whether a trade hit the bid or the offer?

By having an accurate bid & offer....

Trades come in on the level 1 feed with 3 pieces of information - time, price, volume - there is no "side" on the level 1 feed.

This is not sufficient information to tell whether a trade hit the bid or the offer.

The level 1 feed has different message types, not just trades. Two of the other message types are INSIDE bid & offer updates - telling you when the INSIDE bid & offer is updated.

It is only by having an accurate, up to date view of the inside bid & offer that you are able to build an accurate footprint chart. Especially as you move through prices.

Inside bid & offer is level 1 feed. Few level 1 feeds have accurate or timely enough bid/offer updates to create a footprint chart. IQFeed, Kinetick, CQG are the ones for Ninja that are very accurate.

Specifically this is what will happen on Zen/TT/Rithmic:

bid update 1810.25
offer update 1810.50
trade 1810.50
trade 1810.75
trade 1810.50

This is what you will get on Kinetick/IQFeed
bid update 1810.25
offer update 1810.50
trade 1810.50
bid update 1810.50
offer update 1810.75
trade 1810.75
trade 1810.50

The first case will put that last sell market initiated trade @ 1810.50 as a buy. That is the information that footprint charts operate off.

None of this has anything to do with a level 2 feed or market depth feed. For various reasons you cannot combine depth from Level 2 with trades from Level 1 to create a footprint chart.

DionysusToast 

sigh..... So how do you know whether a trade hit the bid or the offer? By having an accurate bid & offer.... Trades come in on the level 1 feed with 3 pieces of information - time, price, volume - there is no "side" on the level 1 feed. This is not sufficient information to tell whether a trade hit the bid or the offer. The level 1 feed has different message types, not just trades. Two of the other message types are INSIDE bid & offer updates - telling you when the INSIDE bid & offer is updated. It is only by having an accurate, up to date view of the inside bid & offer that you are able to build an accurate footprint chart. Especially as you move through prices. Inside bid & offer is level 1 feed. Few level 1 feeds have accurate or timely enough bid/offer updates to create a footprint chart. IQFeed, Kinetick, CQG are the ones for Ninja that are very accurate. Specifically this is what will happen on Zen/TT/Rithmic: bid update 1810.25 offer update 1810.50 trade 1810.50 trade 1810.75 trade 1810.50 This is what you will get on Kinetick/IQFeed bid update 1810.25 offer update 1810.50 trade 1810.50 bid update 1810.50 offer update 1810.75 trade 1810.75 trade 1810.50 The first case will put that last sell market initiated trade @ 1810.50 as a buy. That is the information that footprint charts operate off. None of this has anything to do with a level 2 feed or market depth feed. For various reasons you cannot combine depth from Level 2 with trades from Level 1 to create a footprint chart.

So does it mean I donīt see the correct data on NT Time and Sales when using Zen?
I thouht its clear when offers go in to the bid or in to the ask.

TradeGamer 

So does it mean I donīt see the correct data on NT Time and Sales when using Zen? I thouht its clear when offers go in to the bid or in to the ask.

Correct - occasionally you will see green instead of red and vice-versa.

In fact, there's a video that explains some of the differences between data vendors (IQFeed) and trading engines (Zenfire).

Upshot is you can choose most accurate or best performance. You can't get both.

IQFeed will lag more than Zenfire but Zenfire will not be as accurate.

The video is from Mirus. Here it is: https://ninjatrader.com/

TT has the worst Level 1 feed - but look at how popular MD Trader is - yet it's based on fairly poor but very timely data.

My opinion as an order flow trader, I don't think it really matters which you use - I personally use IQFeed/Kinetick - I don't think it's going to be the thing that makes or breaks your trading.

I could be wrong though.

As mentioned before IQFeed and CQG are about the same. The old Zen/Rithmic I'd put next, then TT was down the line.

DionysusToast 

I don't think it's going to be the thing that makes or breaks your trading.

One year survived on trading with false data

TradeGamer 

One year survived on trading with false data

It does depend on the feed. Zen data, however, appeared to be mostly ok, in a sense that bid/ask events were properly interlaced with trade events (LAST, in NT terms). Occasionally, there would be an inside quote trade, or a trade well above the ask, or below the bid. The percentage of those was very low, well below 1% in terms of volume.
But that's based on NT replay files and may be some cleaning is done by NT itself, as one can certainly 'fix' illogically sequenced events with a lookahead.

jbarr 

It does depend on the feed. Zen data, however, appeared to be mostly ok, in a sense that bid/ask events were properly interlaced with trade events (LAST, in NT terms). Occasionally, there would be an inside quote trade, or a trade well above the ask, or below the bid. The percentage of those was very low, well below 1% in terms of volume. But that's based on NT replay files and may be some cleaning is done by NT itself, as one can certainly 'fix' illogically sequenced events with a lookahead.

In that case its a point which can be neglected.

DionysusToast 

sigh..... So how do you know whether a trade hit the bid or the offer? By having an accurate bid & offer.... Trades come in on the level 1 feed with 3 pieces of information - time, price, volume - there is no "side" on the level 1 feed. This is not sufficient information to tell whether a trade hit the bid or the offer. The level 1 feed has different message types, not just trades. Two of the other message types are INSIDE bid & offer updates - telling you when the INSIDE bid & offer is updated. It is only by having an accurate, up to date view of the inside bid & offer that you are able to build an accurate footprint chart. Especially as you move through prices. Inside bid & offer is level 1 feed. Few level 1 feeds have accurate or timely enough bid/offer updates to create a footprint chart. IQFeed, Kinetick, CQG are the ones for Ninja that are very accurate. Specifically this is what will happen on Zen/TT/Rithmic: bid update 1810.25 offer update 1810.50 trade 1810.50 trade 1810.75 trade 1810.50 This is what you will get on Kinetick/IQFeed bid update 1810.25 offer update 1810.50 trade 1810.50 bid update 1810.50 offer update 1810.75 trade 1810.75 trade 1810.50 The first case will put that last sell market initiated trade @ 1810.50 as a buy. That is the information that footprint charts operate off. None of this has anything to do with a level 2 feed or market depth feed. For various reasons you cannot combine depth from Level 2 with trades from Level 1 to create a footprint chart.

now you're making sense.

I made a lot of tests, especially with zen-fire. I've never seen (not saying it never happened) a trade on the wrong side. on the bid side instead the ask or vice versa.

what I've seen are buys above the ask and sells below the bid.

when analysing my zen-fire feed, I got bid/ask updates after every trade. so for me, zen-fire was perfectly fine for order flow. actually liked it better than IQfeed/kinetick

i use tick charts. iqfeed, cts t4 and SC futures feed all worked for me. last year i tried pulling up a tickchart with zenfire, chart looked totally different, data looked squeezed and incomplete. i didnīt bother investigating where these differences originated from.
shouldnīt zenfire deliver exactly the same chart as the other feeds if all ticks are sent?