In Investor/RT 13.2.2, the Consolidated Tape feature has only been implemented for DTN IQFEED. IQFEED supplies the Tick ID for each trade which is instrumental in reconstructing the tape. Without this piece of information, it becomes more challenging. We intend to continue to explore different approaches to see if we can make Consolidated Tape a reality for these other feeds. So far we have been unable to identify the presence of the Tick ID on the broker feeds such as OEC but we will continue to explore that as well. There are other approaches that can be used such as looking for matching timestamps (to the millisecond) along with matching price, bid, and ask....on consecutive ticks. We will be looking into this in the coming week and will keep you posted. At this time, our focus is on ensuring the IQFEED implementation is solid and provides the expected data, and then we'll go from there.
I there anyway to verify if Gain/OEC send a already re-constituted trade, or if they are sending them seperate? If they send them seperate, then I'll have to purchase a DTN license.
Chad, some time back I converted from accumulating iqfeed TickID's to accumulating microsecond timestamps. (Requires iqfeed 5.2 or greater protocol) The result is identical for the US indices with the benefit of more accurate consolidation on other iqfeed symbols as well (Europe for instance). I haven't looked into trade feeds such as GAIN, but it might be one possible way to accumulate if they deliver sufficient time granularity
Chad correct me if I'm wrong but if the user clicks "consolidated feed" and then uses DTN to backfill during the day via scheduled event then everything but the data from the last "update" would be 100% correct. This would be more of trading delta and footprint setups but think this is a way to "mostly" get the consolidated feed without having the realtime DTN cost
There is actually a new config variable ConsolidatedTapeDTNM that was added to the previous release. If you are using a broker feed, then this config will dictate whether the backfill from DTNMA will be consolidated or not. It currently defaults to off but would love some feedback. I suspect consolidating the backfill will keep it more in line with the bundled broker data and therefore we may default to true in near future.
After enabling 'ConsolidatedTapeDTNMA' my relative delta chart is in lock step after issuing a DTN backfill. Prior to this, with the OEC feed, there were large divergences between the live DTN charts other posted even after backfilling. Working great so far!
Chad, this consolidated tape option is currently not available for eSignal users? I am getting a lot of inconsistent data which needs refreshing quite oftern, hence asked. Thanks.
I use IQ_Feed realtime but know some traders that are using the consolidated tape on their broker feeds. Morad showed me the trick of the backfill/update via task. Those traders are showing the Delta lots the same as what I show, so it works near real time if you set it up right
I checked with Max from Gain, and their feed is unbundled. Therefore if 1 trader send a 500lot out, and it splits into 50 10 lots, we will not see it being put back together as a 500lot
In Investor/RT 13.2.2, the Consolidated Tape feature has only been implemented for DTN IQFEED. IQFEED supplies the Tick ID for each trade which is instrumental in reconstructing the tape. Without this piece of information, it becomes more challenging. We intend to continue to explore different approaches to see if we can make Consolidated Tape a reality for these other feeds. So far we have been unable to identify the presence of the Tick ID on the broker feeds such as OEC but we will continue to explore that as well. There are other approaches that can be used such as looking for matching timestamps (to the millisecond) along with matching price, bid, and ask....on consecutive ticks. We will be looking into this in the coming week and will keep you posted. At this time, our focus is on ensuring the IQFEED implementation is solid and provides the expected data, and then we'll go from there.
I there anyway to verify if Gain/OEC send a already re-constituted trade, or if they are sending them seperate? If they send them seperate, then I'll have to purchase a DTN license.
Chad, some time back I converted from accumulating iqfeed TickID's to accumulating microsecond timestamps. (Requires iqfeed 5.2 or greater protocol) The result is identical for the US indices with the benefit of more accurate consolidation on other iqfeed symbols as well (Europe for instance). I haven't looked into trade feeds such as GAIN, but it might be one possible way to accumulate if they deliver sufficient time granularity
Chad correct me if I'm wrong but if the user clicks "consolidated feed" and then uses DTN to backfill during the day via scheduled event then everything but the data from the last "update" would be 100% correct. This would be more of trading delta and footprint setups but think this is a way to "mostly" get the consolidated feed without having the realtime DTN cost
There is actually a new config variable ConsolidatedTapeDTNM that was added to the previous release. If you are using a broker feed, then this config will dictate whether the backfill from DTNMA will be consolidated or not. It currently defaults to off but would love some feedback. I suspect consolidating the backfill will keep it more in line with the bundled broker data and therefore we may default to true in near future.
After enabling 'ConsolidatedTapeDTNMA' my relative delta chart is in lock step after issuing a DTN backfill. Prior to this, with the OEC feed, there were large divergences between the live DTN charts other posted even after backfilling. Working great so far!
Chad, this consolidated tape option is currently not available for eSignal users? I am getting a lot of inconsistent data which needs refreshing quite oftern, hence asked. Thanks.
I use IQ_Feed realtime but know some traders that are using the consolidated tape on their broker feeds. Morad showed me the trick of the backfill/update via task. Those traders are showing the Delta lots the same as what I show, so it works near real time if you set it up right
I checked with Max from Gain, and their feed is unbundled. Therefore if 1 trader send a 500lot out, and it splits into 50 10 lots, we will not see it being put back together as a 500lot
True, but the backfill uses DTN and will put them back together
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