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Futures Trading Intraday Historical Data Alternatives

Is anyone else having issues with the reliability of the IH server?

I’ve only been using it for a few weeks and it is buggy. During busy times (e.g. 4pm eastern) I’ll request ticks for the day, and it will either return empty (with no errors) or return only a few minutes worth of ticks. You can always tell the data is bad when it returns in <1s.

So in my code I have a loop, that if tradesReplay callback returns too soon, delete data logout and wait 30 seconds and try again. Just today I it had to attempt 5 times.

I have not gotten much help from RApi support at all, every day for the past week and a half I’ve emailed them and sent them my logs. To simplify things I wrote code just to download data.

I logged the start/end epoch values from the TradesReplay return class to confirm the epoch values were correct.

First it was suggested that I maybe sending the request before IH server logged in. I was not, but since I had a conditional wait that would trigger the replayTrades method nanoseconds after logging in, I thought maybe it was happening to fast. So I added a one second wait. Then it was suggested that I should just record the earlier trade data rather than request it! I have not heard much since other than they have not been able to replicate and despite the logs showing the callback is returning in milliseconds they have offered no suggestions. They did claim to have some hardware issues last week but no advice. I even sent my source code today!

I’ve seen in other forums that those who use rithmic with sierra have also had issues with intraday historical ticks. Sierra’s answer is basically not to use rithmic but to use denali.

Downloading ticks at the end of the day for optimization purposes is not a big deal. But I start my trading at 11:00, and my system downloads earlier trades. Since historical ticks and live ticks use the same callback, unless I check every tick, I have no way of knowing if I am getting crap data or no data at all. Checking every tick is expensive.

So for now, I’m forced to start my system before RTH and have it record ticks so I do not have to request. This is not right considering I’m paying for the RApi and datafeed.

I am at my wits end, any suggestions?

P.S. I should add, when the data does come in ( which takes a few seconds ) it seems pretty accurate, as I checked it against my IQfeed data, which has not expired

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Hi @MarcValme, We understand the frustration you are experiencing, and we’ve shared our concerns with Rithmic. In my opinion, Rithmic has become a go-to for all the “funding schools” so essentially; server resources are spent on paper traders who are trying to get funded. Unless more resources are added to the system, this will continue. I do not know as a fact that this is what is affecting you specifically, but I have a feeling it may be the case.

Just like yourself, I do value the accuracy that Rithmic provides to those who need tick data. Knowing Rithmic, they will do what it takes to fix it, and I am sure they are aware of this issue and will take corrective measures.

In the meantime, what I would recommend is that you get additional tick data to test your systems. You can always use the Rithmic execution while data comes from another source. I am unsure if you are at the trading stage or just building a model at this point. You can build your model with IQfeed, DXfeed, etc.

As for Sierra chart, they prefer to support data and APIs that are known to them. Denali provides market data, while Teton gives you the execution.

I’ve been working with APIs for years, and at the end of the day, I am always flexible in moving APIs if a certain arrangement does not work. Since I do not have the full details of your method’s specs, I can not comment on behalf of Rithmic, and you are very technical with your requirements which could be beyond the scope of our knowledge.

Lastly, just to show you that we follow this advice, our platform, Optimus Flow, has Rithmic, CQG, and Optimus Connect. This is to allow people with different requirements to meet their needs.

Best,
Matt Zimberg
Optimus Futures

@Mod-MattZ ,

Thank you for you’re understanding, and encouraging words, I’ve been happy with Optimus asides from my issues with Rithmic which isn’t at all the fault of optimus.

I will say that today I did make some progress with RApi support ( probably tired of my emails ), and they claim the some of the members of their load balancing group may be having issues and they are looking into it.

I transitioned from IBKR/IQFeed into optimus/Rithmic and I have no plans on ever looking back. If I were to rewind the clock, instead of spending many hours of the past month coding for Rithmic I would have spent the time with Sierra Teton/Denali. However c++ programming is long and tiresome, and I’d much prefer not to have to develop for a new platform.

To be fair, my ONLY issues with rithmic has been the glitchy data feed, and perhaps the documentation could be a bit more complete (relative to the TWS API), but the execution speeds and market data speeds are fast.

I trade algorithmically, so I do not look at charts. Because I do not yet have full confidence yet in Rithmic, although I am trading live (profitably thus far), I’ve kept the bulk of my account with IBKR. And I’m forced to continue to pay $200 per month for my iqfeed which is unpleasant.

I hope Rithmic will fix the bugs in it’s platform or I will have to redevelop for sierra charts. and learn DTN

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We appreciate that you have given us some of your business, and we are happy to receive the rest from your current broker :smiley:. However, we also respect that you may wish to trade other asset classes we do not offer yet. If you save money on data, you’ll have more money to trade with or fewer expenses—and that’s a prospect worth looking into.

Rithmic breaks down its demo servers from its production servers, and I agree that the execution speed for Rithmic has improved for many traders. For one, they trade directly to the CME Aurora data center without rerouting through other cities first. Their historical data, in my opinion, is shared by everyone.

Keep us posted as to your progress, and just a few points of interest:

  • We do have Sierra Chart with Denali and Teton.

  • You can always separate execution (Rithmic) and Data (DTN, DXfeed, etc.).

Above all, I appreciate you entrusting your business with us at Optimus Futures.

Best,
Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

Update on the situation, RIthmic informed me that a bug in their historical data server has been corrected. And so far I have not had any issues with retrieving historical data. Which is great!

I am going to continue letting my system run in Rithmic for now, but I think it is in my best interest to investing Sierra Charts with Denali and Teton before I fully transition. Its great that Optimus supports many options. Not looking forward to spending the next few weekends learning the DTC protocol but it is what it is.

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Mattz,

In an unexpected twist it appears as though Sierra Charts with Denali no longer allows real time market data to be requested programmatically via their DTC protocol. I was experimenting with SC and got a strange error which led me here

Which seems to pretty much eliminate SC/Denali as an option for me. I guess I can investigate a hybrid approach like you said and separate execution from feed.

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Thank you for sharing this! This is very interesting, and I guess that each API has his/her arrangement with the exchanges it must adhere to. I respect that.
Another thing to consider is Certigo API from Iron Beam, which will not have any execution fee as well, similar to Denali. If you want a test drive to that API, I can arrange that.

Keep us posted on your progress.

Thanks,
Matt Z
Optimus Futures

Sure, I’d give it a shot, do not know much about it, but please do. Considering today the glitch I had with Rithmic’s intraday historical data seems to have returned, I’m left with few options to trade.

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