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DOM Levels, Gain API Data Versus DXFeed Bookmap

Depth-of-Market

#1

There is a difference in the data feeds of Gain API and DXfeed which is apparent when working with Bookmap.
DXFeed offered by bookmap shows all price/tick levels live, I would cal that a total view…
The standard data feed for Gain API only shows 10 levels from the current tick up/down which limits all of the levels being displayed in Bookmap.
I wonder if there is a setting in the Gain feed that can match its data to DxFeed.

You can see the diference here one is of DxFeed, the other of Gain feed
image001%20(2) image002


#2

Thank you for your question @frostjay1
We will inquire with Gain whether the Gain API has the capability to have more than 10 deep on the DOM.

Thank you,
Matt Z
Optimus Futures
www.optimusfutures.com


#3

Hello @frostjay1

I’ve just spoken with a representative at Gain Capital. According to their representative, "Depth depends on the contract. Most only have 10. Some, like Crude show about 15."

So it appears that the current contract you currently have opened will only display about 10 levels of depth. I do not believe there is a setting within Bookmap that would allow you to change this.

Let us know if you have any further questions.

Thanks,
Jake
Optimus Futures Support :optimus_logo_no_backroug:
(800) 771-6748


#4

Thanks for checking, great work as always.


#5

@frostjay1, @Mod-JakeM “Depth depends on the contract. Most only have 10. Some, like Crude show about 15.” - this is the limitation of Gain API - they didn’t manage to handle full market depth from CME, which consists of thousands of pricelevels for each contract, so they are showing only limited depth of 10-15 pricelevels/marketmakers. dxFeed connectivity provides Full Order Depth for each contract, that’s why you see such great difference in quality of data.


#6

@frostjay1, @alekko, @Mod-MattZ,

Very interesting thread guys.
I also have been figuring out how deep can you see the Market Depth and after initial
setting up I finally was able to see the full market depth on ES (see pic) where I seem to
be able to see not only the 10-15 deep but all the way to High/Low of Day Vols.

I am using Sierra Chart with their BarChart data and OEC / Gain Capital for execution data.
I am curious which of the two are responsible for such deep liquidity data
Sierra (BarChart) or OEC / GainCapital (CQG based)?
I am venturing a guess it’s Sierra/BarChart - a non execution and clean/granular data (?)

Best Regards,

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P.s. I had to take 3 snap shots and patch it roughly together.


#7

@frostjay1, @Project11
Hi Folks,
Take a look at this article, interesting reading regarding comparison from bookmap team of different DOM analysis tools (bookmap vs DOM, Footprint and Volume Profile).

It looks like using Bookmap with our dxFeed data there are plenty of insights which are unlikely to be found with other tools and data vendors.


#8

@alekko ,
Cool stuff, thanks for sharing.
Regards,

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#9

To summarize the topic…
Gain API would be the one responsible for how many levels they show.
Gain API while limited to 10 levels with contracts like Eminis and Crude 15 levels is a very stable lightning fast feed. I actually have noticed a tiny speed advantage (1/10 of a second or so) with Gain API comparing the DxFeed. This maybe do to the way my system is setup or not.

DxFeed does provide a full/live spectrum of all order levels and is perfectly suited for Bookmap, together all 3 are fantastic tools to help with sharp entries and exits imho.

Thanks Matt, Jake, Alekko, for looking into this, greatly appreciated.

Jerry


#10

@frostjay1
Thanks for sharing. Very useful.
Regards,

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