Datafeed Vendor Comparison

TradeOptions

Well-Known Member
#51
@bpr, I have uploaded the LT Futures Data for 1 Aug 2014 in 1 min format and 1 tick format. Please check it out and let us know.

if seemakm can also post the 1 min and 1 tick format data then a comparison between esignal and neotrade can also be done for both the data formats.

Thanks and regards

https://www.se----------ndspace.com/file/p3mrge
pls remove the spaces from the link
 

Jai Mata Di

Well-Known Member
#52
Hi, bpr,

Thanks for opening another good thread. :thumb:

Please keep a separate group for Direct Meta Trader Data Feeders like First Charting, GLS, Risingcomtrade etc for Meta Trader Lovers. :)
Don't mix them with Amibroker/Meta Stock Data Feeders like E signal, Globaldatafeeds etc.

Keep Going...

Happy Trading.
 

bpr

Well-Known Member
#53
@bpr, I have uploaded the LT Futures Data for 1 Aug 2014 in 1 min format and 1 tick format. Please check it out and let us know.

if seemakm can also post the 1 min and 1 tick format data then a comparison between esignal and neotrade can also be done for both the data formats.

Thanks and regards

https://www.se----------ndspace.com/file/p3mrge
pls remove the spaces from the link
Thanks TradeOptions

Looks like esignal is also missing the tick

This is anilsingh's contract note which did show the trade happen at 1487 at around 11:02:53 AM



So the one minute chart the11:03 candle should have a high value of 1487.

EDIT: or may be the 11:02 candle anyways the high value is not captured.


Esignal data



I am waiting for the Neotrade data
Also if some GFDL subscriber post this data for this same issue that would be great.
 
Last edited:
#54
Bpr/TradeOptions

Please find the comparison between Neotrade and Esignal for LT 01-08-2014, do check different xl sheets with timeframe mentioned. I am not seeing any difference at the marked timeframe 11.03 bw Neotrade and Esignal.

I found 18 different mismatches out of (375*4 i.e 375 1min X O,H,L,C values) 1500 values.

I am not sure if Esignal and Neotrade both have missed the tick, but to say atleast Neotrade has passed the comparison of being close to 99% to Esignal in this as well. :clap::clapping::thumb:

https://www.send---------space.com/file/6k4uiz

remove ----- from above link to download the file
 

bpr

Well-Known Member
#55
Bpr/TradeOptions

Please find the comparison between Neotrade and Esignal for LT 01-08-2014, do check different xl sheets with timeframe mentioned. I am not seeing any difference at the marked timeframe 11.03 bw Neotrade and Esignal.

I found 18 different mismatches out of (375*4 i.e 375 1min X O,H,L,C values) 1500 values.

I am not sure if Esignal and Neotrade both have missed the tick, but to say atleast Neotrade has passed the comparison of being close to 99% to Esignal in this as well. :clap::clapping::thumb:

https://www.send---------space.com/file/6k4uiz

remove ----- from above link to download the file
Thanks

Neotrade too missing the tick

 
#58
Also if some GFDL subscriber post this data for this same issue that would be great.

Exchanges use multiple servers to broadcast trading data. This data is further filtered and a subset is sent to members (brokers) and data vendors - again through different servers. Suppose there are 100 trades during a second then to convert them into 1 sec data, exchange sums up the volume of all 100 contracts and publishes average price (probably weighted average of those 100 trades). However if a new high of the day or new low of the day is found within those 100 trades, exchange publishes that price as the value - discarding weighted average. As I can see, 1487 was not the high of the day hence exchange published weighted average in their 1sec snapshot data.

When it comes to data vendors, they follow their own mechanism to timestamp the incoming data. Data transfer between exchange and members / vendors is through tcp/ip, which is extremely reliable and it ensures delivery but that does not mean that packets are received in order. A lot depends on how tcp stack is implemented. Again, processing and handling so much of information coming every second is extremely complex and there is no thumb rule how it should be done. Each software vendor follows his own experience and mechanisms to handle it.

Because of size and complexity of the data handled, minor differences are bound to exist between different data vendors. This is my personal opinion.

But how do I handle this as a trader ? Well, I think having robust and as much fault tolerant trading strategy as possible is the solution IMHO. Different indicators which work on averages of many time periods probably do this job - what say ?

GFDL data snapshot is attached BTW.
 

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bpr

Well-Known Member
#59
Exchanges use multiple servers to broadcast trading data. This data is further filtered and a subset is sent to members (brokers) and data vendors - again through different servers. Suppose there are 100 trades during a second then to convert them into 1 sec data, exchange sums up the volume of all 100 contracts and publishes average price (probably weighted average of those 100 trades). However if a new high of the day or new low of the day is found within those 100 trades, exchange publishes that price as the value - discarding weighted average. As I can see, 1487 was not the high of the day hence exchange published weighted average in their 1sec snapshot data.

When it comes to data vendors, they follow their own mechanism to timestamp the incoming data. Data transfer between exchange and members / vendors is through tcp/ip, which is extremely reliable and it ensures delivery but that does not mean that packets are received in order. A lot depends on how tcp stack is implemented. Again, processing and handling so much of information coming every second is extremely complex and there is no thumb rule how it should be done. Each software vendor follows his own experience and mechanisms to handle it.

Because of size and complexity of the data handled, minor differences are bound to exist between different data vendors. This is my personal opinion.

But how do I handle this as a trader ? Well, I think having robust and as much fault tolerant trading strategy as possible is the solution IMHO. Different indicators which work on averages of many time periods probably do this job - what say ?

GFDL data snapshot is attached BTW.
Thanks for the GDFL data.
I could not fully understand what you are saying.
How somebody designs the system is another question. Here we are discussing only datafeed.
If I need weighted average and I would use line chart not candlestick chart.


But whatever is the reason in this situation it is very clear that both in 1 Minute and 5 minute chart the high is not captured for the respective candel.
In candel sticks chart high low values are crucial to the trader.
All traders following such timeframes are big time trolled by NSE and data vendors.
There is nothing called 99% correct it is either 100% correct or incorrect.

IMO All data vendors should include disclaimer that their datafeed are inaccurate.

Unless disclaimers are provided class action suite can be brought against NSE.
They should not charge for something which is inaccurate.
 
Last edited:
#60
@bpr

Yes totally agree with you. Disclaimers should be added. At the end of discussion, which vendor is accurate is the question?

Even Zerodha Nest traders did not detect 1487, so who is correct now?

Esignal is best as per various ppl so just did a comparison with it. It is very hard to afford a esignal data feeds, only CEO's, big time traders use Esignal.

@chartanalyst

Can you put the comparison b/w GDFL and Esignal or share the data in xls format to do the comparison
 

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