Hi

I hate to make my first post here a whine but....

I'm using Ninja & I/RT. I've been using Ninja and your data for quite a while. From 9:30am EST I am focused mostly on the ES..

In extreme cases, the L2 feed drops behind the L1 feed. You can see trades on Time & Sales going through many ticks away from the inside bid/offer. You can also see the last traded price on the DOM way off the inside bid/offer too and you can see that price being actively traded. This happens when there's news and a lot of trades are going through.

The past 2 weeks though, it has been pretty rough, every little surge of trading causes this issue. I managed to grab a picture (attached) which shows the Ninja DOM - this was during market hours and you can see the inside bid/offer is 1366/1366.25 and the trading is going on a few ticks above.

The machine I'm running this on is an i7 with 8GB of Ram. It was running at about 4% CPU Utilization when I took the picture. I had I/RT off and I had all other instruments off too, basically it was just Ninja and the ES.

I was watching bandwidth utilization, it was very low but the internal loopback connection for iqfeed was about 4 times higher than the external bandwidth, which I thought odd.

Like I said, this was happening all last week. I spoke to a fellow trader who's been a DTN.IQ customer for a month and he was under the impression this was normal. I have been using Kinetick for the past year and although I have had this issue, it's been at times I wouldn't trade anyway, it's not been each time there's a flurry of trading.

Anyway, it seems that something was definitely off last week and I have looked into it being on my side but have drawn a blank so far.

Thanks

Pete
Edited by pedro01 on Apr 22, 2012 at 10:46 AM

Hello Pete,

We are looking into this and will get you a response soon.
Do you happen to know roughly when (in eastern US time) and
on what day your screenshots took place?

Thanks.

Hello again,

Pete, in general, the bid and offer data comes from the exchange on a separate feed from the trade data and, yes, it is possible that the bids and offers fall behind the trade data in busy market periods. Even just in Level 1 data, there will be times when you can see trades outside of the given bid and offer levels.

Thanks for the reply.

Does that mean I just have to live with the issue and that you guys are not looking into it?

Watch this video from 1:15-> 2:00

For a day trader/scalper, it's impossible to trade from it.

Even when I cut down to just 1 DOM for the ES, all other data off, it is like this. The bandwidth utilization on my end is very low when this occurs too.

Hello again,

When the bid-offer data trails transacted prices from the exchange, there is nothing we can do - we deliver the data as we get it. It is possible that your internet service, computer resources, and/or charting software may contribute to the delays that you are experiencing, but none of those issues will overcome the fact that sometimes, during busy market periods, bid-offer data from the exchange trails the data for the transacted prices.

I hear you.

It's a bit frustrating. The "filtered" feeds out there are more in synch but their Time & Sales data is out.

The ideal service for anyone using order flow would be an unfiltered L1 feed combines with a filtered L2 feed. No-one needs every depth message.

Is there any way to throttle back the L2 feed? For example, you don't really need every change to every level. You do need to know when price moves but you could filter out a lot of the L2 messages....
Edited by pedro01 on Apr 24, 2012 at 08:49 AM

Pedro01 -

Its not likely that we are going to filter the L2 data, but I have a resource here that would like to see the video that you made for us and take a closer look on our end to see if we can find anything more helpful. I did not get the video in chat. Could you please email it to me at Support@IQFeed.net , Attn: Todd ? If you have specific time and date of recent data periods where you saw this, that would be especially helpful. Thanks.