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What's in the Futures and Commodities Data Feeds?


#1

My primary question what is in the different data feeds. In each record there is going to be fields like date, time, symbol, bid, ask, last, etc.Is there any difference from one to the other as to what information is received?
DOM ,LEVEL 2? What about historical data?

Does DTN-IQ provide more in depth information than say Sierra Charts? How far back does it go?

What format does it come? (ASCII flat file?)


#2

Each future and commodities data feed has a few crucial components:

  1. Historical data. Transactions, time, and sales that have occurred in the past.
  2. Streaming data from the exchange that are reflected live prices on the DOM, Quotes, and Charts.
  3. The execution to the different exchanges.
  4. Risk management. For example, the FCM (Futures Clearing Merchant) decides how many lots you can trade with your capital, Day Trading Margins, etc.

From here some of the variables above could vary for each data feed. For example, How far back does the data go? How many levels can you see on the DOM? Is the data unfiltered or aggregate? Does risk management work with SPAN margins? Etc.

From our experience, it seems that most Futures traders care about stability, good clean data and some who do a lot of backtesting want to make sure that past data whether tick, minute or hour is accurate.

We are in the process of creating a table that would let customers know how far does the data go back on each platform. It may take us a few weeks to finish this project.

As for DTN/IQ data: I am going bring my colleague Dave from DTN to address your questions. He could tell you about the data.

Let me know if I can get a bit more specific with you.

Kind regards,
Matt Z
Optimus Futures
www.optimusfutures.com


#3

As always you answer my questions with addressing my follow up question as well. I appreciate your digging into this as it could affect my choice of data feeds. One area to dig into is specfically what data (fields) are in each record. Some feeds may have more information that can be beneficial to identifying good entry and exits. Who knows until we dig into to it deeper. I am especially curious about DTN IQ depth of market info and how far back it goes. Generally, I think stocks & ETF’S historical data in 1 minute increments is more than adequate. However, cash indices, futures and forex may require tick data to be able to properly analyze the information and devlop successful algos. It would be interesting to hear what the data providers think based on what they sell to the big boys. As they have said from the beginning of the computer age “gigo” or garbage in garbage out. You can’t fix bad or incomplete data and it will cost you dearly.

No other broker that I know of goes the extra mile like all the folks at Optimus.

Thanks for all your help.

BTW it might be really cool to have your friend do this as a webinar??? Sign me up.

Tunetyme


#4

@Tunetyme, Thank you for the kind words! We appreciate it.

Two points about what tick data:

  1. Whether you trade stocks or futures, the shorter the time frame of trading the more micro traders may get.
  2. When you trade a leveraged product like Futures (in our opinion) most traders who day trade or scalp do not have the luxury for a large margin of error when entering a trade, so again they look at backfills, ticks and other micro variables that may help them.

I already asked Dave from DTN/IQ to come here and provide you with the data requested.

Thanks,
Matt Z
Optimus Futures
www.optimusfutures.com