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Hello,
Using IB data, I also get a delay of when the chart shows the price and when
Bracket Trader says the order is filled. Sometimes the filled price does not
show on the chart which I believe is an IB 'thing'. Then when running Ninja
Trader charting on the same computer, first Bracket Trader, then AB and at
busy times Ninja way way behind. Can do Sim and make lots of money:)
So I think the problem is how many other programs one is running at the same
time.
Jerry Gress
Stockton, Ca.
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Ara Kaloustian
Sent: Thursday, April 03, 2008 2:07 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: TransAct and AmiBroker Data Feed
if your analysis results appear 1 to 3 seconds fefore charts are updated,
you must have a delay in AB - that you can not overcome by using different
data feed. IQfeed seems to perform pretty well for me.
The delay is probably within Windows rather than AB.
Also very curious about you specifying that Limit orders are earlier than
charts, but you made no mention of market orders. I would think they both
would be early by same amount
Ara
----- Original Message -----
From: "Dennis Brown" <see3d@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, April 03, 2008 2:01 PM
Subject: Re: [amibroker] Re: TransAct and AmiBroker Data Feed
> Thanks for following up on this Dan. I have been trading my ER2
> system live for a few days now. It barks out commands for me to send
> market or limit orders. However, I have noticed that my limit orders
> are acknowledged 1-3 seconds before the charts show the price hitting
> the limit price (I have 1 second refresh on AB). So there is quite a
> measurable delay on my system. I have IQ Feed for AB. My broker's
> charts also have a similar delay from Comstock as a feed. It would be
> interesting to see if the TransAct feed would perform better.
>
> Best regards,
> Dennis
>
> On Apr 3, 2008, at 12:33 PM, ab319320 wrote:
>> Tomasz, Dennis, Jerry and all
>>
>> Just got off the phone with Bob at TransAct and they are working on
>> the data plug-in for MY AMI, Amibroker, and not to hold anyone to the
>> time table but we should have it sometime in May.
>>
>> Dan
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>>>
>>> Dan,
>>>
>>> I called Bob at TransAct and asked a few questions. He said that
>> a
>>> proposal is in the works for making a data feed plug-in for AB.
>> More
>>> will be known in a week or two as far as a schedule if it is
>>> approved. This is a data feed plug-in only and not a trading
>> API.
>>> Getting access to their trading API interface is something that has
>> to
>>> be negotiated and approved.
>>>
>>> I asked about AMP Futures as an introducing broker. He said they
>> had
>>> worked to bring them up, but did not know anything more. Looking
>> at
>>> the AMP sight, it does not look like they offer TransAct.
>>>
>>> Zen-Fire is for Ninja Trader only. I ask him if TransAct had
>> anything
>>> to do with that, and he said no.
>>>
>>> OTOH the Ninja Trader program looks like it provides the ATI COM
>> for
>>> custom trading program use, and has the trading console there to
>>> monitor or override the AB trading. If a plug-in was available
>> for
>>> the Ninja data feed for AB, it looks like a complete futures
>> trading
>>> platform could be constructed around AB for a reasonable monthly
>> fee
>>> (less than my DTN right now).
>>>
>>> A lot more follow up will be required to weave all these pieces
>>> together yet.
>>>
>>> Best regards,
>>> Dennis
>>>
>>>
>>>
>>> On Mar 21, 2008, at 10:22 PM, Dennis Brown wrote:
>>>> Dan,
>>>>
>>>> Thank you for the detailed reply.
>>>>
>>>> I have done a lot of simulating of futures strategies in AB over
>> the
>>>> last year. I have also traded the more traditional day trading
>> way --
>>>> just time charts with a couple of indicators and a lot of S/R and
>>>> trend line drawing. If I do manual trading, I call AB my trading
>>>> buddy. One I watch for confirmations of my choices, but in
>>>> competition to beat every day. I rarely lose to the machine,
>> because
>>>> I know its moves, but I also have other information that is hard
>> to
>>>> program in.
>>>>
>>>> I fed AB with eSignal for about a year, and recently started
>> feeding
>>>> it from DTN IQFeed. I see little difference between them so far.
>>>> However, I do my trading at thinkorswim. They provide all the
>> tools
>>>> and charting (including futures and options feeds) at no charge.
>> The
>>>> caveat is that their chart feeds have locked up during extreme
>> moves
>>>> (like a Fed rate announcement). However, their quote interface
>> keeps
>>>> running for trading. They feed their charts (two packages) from
>> two
>>>> feeds and the quotes from another. They do not have the lowest
>> prices
>>>> for futures ($7 round trip all inclusive). However, I have
>> backtested
>>>> my results with various commission rates, and even at 42 RT
>> trades a
>>>> day, the commissions are a manageable overhead (about half a
>> tick). I
>>>> am also sure they will offer me a substantial discount if I am
>> trading
>>>> at that rate. BTW: I exit my positions before scheduled big news
>>>> events.
>>>>
>>>> Thinkorswim is the best all-around broker that I have dealt with.
>>>> They are not the least expensive on commissions, but their rate
>> and
>>>> structures are very simple to understand and you don't have the
>> hidden
>>>> charges, inactivity, software fees, extra for phone orders, etc.,
>> that
>>>> the others get you for. Their customer service is the best I have
>>>> ever experienced. They will even help you with option execution
>>>> strategies on the phone, and trade for you at no extra charge.
>> They
>>>> also have weekly live web tutorials. You can log onto your paper
>>>> trading account to practice on. Oh, and by the way, I have even
>> had
>>>> them lower my rates before without even asking --just because I
>> am a
>>>> good customer. They also upgrade their tools about 11 releases
>> per
>>>> year. Tops for options.
>>>>
>>>> So, I will likely always have TOS as my primary trading broker for
>>>> general whatever trading. I appreciate being treated like a
>> prized
>>>> customer, and that generates loyalty. Perhaps they have me
>> confused
>>>> with the CEO, and that is why they treat me so good. LOL
>>>>
>>>> Now, for a specialized deal, like auto trading futures, TOS is
>> not my
>>>> first choice. For that, I would want a reliable supplier of both
>> the
>>>> the data (tick), and the execution with minimum lag in each. I
>> want
>>>> AB to be the biggest lag in this case. I am quite happy with my
>>>> simulated results at this point, and my next move is to start
>> thinking
>>>> about how to auto trade with it, or at least integrate the trading
>>>> platform with the AB charting platform. IB does not excite me in
>> this
>>>> regard, because of their data feed. However, I can do it
>> manually for
>>>> a while --with a bit of huffing and puffing.
>>>>
>>>> Many futures trading houses work with specialized futures trading
>>>> platforms that are needed to gain that little edge to scalp the
>>>> market. They have a very responsive and informative UI, much
>> more so
>>>> than currently possible with AB. However, they are not
>> programmable
>>>> to the extent of AB. AB could surpass them all (in my mind) with
>> a
>>>> few more targeted releases and a quality vendor of data and auto
>>>> trading. However, this is a narrower customer base (futures
>> trading),
>>>> so I don't know the size of the market potential for Tomasz.
>>>>
>>>> For pure day trading, I prefer the e-mini futures, because the
>> quality
>>>> of the data streams (few bad ticks) and the tight bid/ask
>> spreads, and
>>>> the good leverage on my trading funds (put the rest to work in a
>> low
>>>> risk investment). Risk management is vital. All things that are
>>>> important for automated trading.
>>>>
>>>> So, I see that Amp Futures has an API available for auto
>> trading. It
>>>> is not clear if that is really TransAct or they wrote their own.
>> I
>>>> see that the Ninja Trader platform offered by them also has file,
>> DLL,
>>>> and COM interfaces to allow auto trading from your own charting
>>>> software, while leaving the manual trading window up for
>> overrides.
>>>> That would be very interesting if AB could use that. It seems as
>>>> though more research is required, but this is looking more
>>>> interesting.
>>>>
>>>> Best regards,
>>>> Dennis
>>>>
>>>>
>>>> On Mar 21, 2008, at 8:07 PM, ab319320 wrote:
>>>>> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@> wrote:
>>>>>>
>>>>>> Dan,
>>>>>>
>>>>>> I visited their website yesterday. It was not clear to me what
>> I
>>>>>> would be getting if they were to provide this plug-in. Also
>> they
>>>>> did
>>>>>> not publish their commissions like most others do.
>>>>> *****************
>>>>> Hi Dennis
>>>>> TransAct is a Clearing Firm that Programs their Data Feed
>> Platform
>>>>> which is on the floor of the Exchange. If you do a Lot of
>> trading
>>>>> then maybe working directly with them would be your best
>> ($400/mth)
>>>>> choice. That is not for me so one of the several Interducing
>>>>> Brokers is for me. One, actually the first, was GoTrade,
>> starting
>>>>> at 4.30 for emini, but I have been been applying at Amp Futures,
>>>>> starting at 4.70 emini and 4.24 YM. No other charges unless you
>>>>> select the Ninja platform but, with MY AMI and a Good cheap data
>>>>> feed - no ninja. I have had eSignal, IQ, & TradeS. But I am a
>> slow
>>>>> learner and gun shy from 1979-1983 TBonds - may never get my
>> ducks
>>>>> in order. So for me I am willing to pay per trade or no trade no
>>>>> pay - Lost $600 at TS last year and never made a trade. As far
>> as
>>>>> getting the Comm rate they give it when you request it via email.
>>>>>
>>>>> And I understand how not publishing rates can be errating. I
>> felt
>>>>> that way when I was looking at PFG Best. Here again with Trade
>> Nav.
>>>>> from Genisis and Genisis Feed you will pay $120/mth. That combo
>> had
>>>>> me so confused .... Ninja at Amp and Mirus (completed
>> application
>>>>> at Mirus) will cost $60 per mth and not sure if purchased ($999)
>> how
>>>>> much the feed is if any.
>>>>>
>>>>> **************
>>>>>>
>>>>>> Perhaps you need to make a better sales pitch for why we should
>>>>> call.
>>>>>> I am not going to do it unless I think I might use their
>> service --
>>>>>
>>>>>> after they went to all that work.
>>>>>
>>>>> ****************
>>>>> Good for you Dennis I agree.
>>>>> ****************
>>>>>
>>>>>>
>>>>>> Please paint us a picture of how we benefit (other than fast
>> data).
>>>>>>
>>>>>> First of all it appears they only do futures, so that reduces
>> the
>>>>>> number of potential clients (I do trade e-mini futures among
>>>>> other
>>>>>> things like stocks and options), but I use my AmiBroker just for
>>>>>> futures now, and I pay a high price for quality monthly data.
>>>>>
>>>>> *****************
>>>>> Your correct Dennis they just do futures.
>>>>>
>>>>> While editing (doing what? on a forum?) I just thought of some
>>>>> approaches for stocks and options. For Stocks at a retail level,
>>>>> TDAmeritrade over Scottrade. For Options "Think or Swim" for the
>>>>> platform. Could also have TDA options approval but they only
>> think
>>>>> in the box and if you have an IRA you may want someone that isn't
>>>>> so ... how do we say, not so in the box.
>>>>>
>>>>> But the point is We can Feed MY AMI from Quote Tracker (now
>> owned by
>>>>> TDAmeritrade) but no tic data. I have not found a data feed
>> stop.
>>>>>
>>>>> Inbedded above may indicate some of the benefits, no charge at
>> Amp
>>>>> until you trade and the rate goes down as the vol increases. For
>>>>> someone trying to develope their system/method this has an
>>>>> advantage. I have tried to use OpenTick but it stops feeding on
>> MY
>>>>> AMI but not on Ninja. Another is the TransAct DOM/Front-End
>> which I
>>>>> didn't understand why someone would want when first exposed to
>> the
>>>>> DOM -I do now- I am sure that you do Dennis from what I read into
>>>>> your post.
>>>>>
>>>>> ****************
>>>>>>
>>>>>> So would we end up with just a data feed? At what price?
>>>>>> How much historical data would be available for backtesting?
>> What
>>>>> are the time/tick/volume increments available?
>>>>> *******************
>>>>> Not just Data Feed but Front end and other window that you can
>> try
>>>>> for the asking. Not as developed as OpenEcry but OEC does not
>> seem
>>>>> so receptive as TransAct towards MY AMI.
>>>>>
>>>>> Historical data, I hope I am not short changing but, I remember
>> Bob
>>>>> saying 15 days which is enough for discreationary trading, to use
>>>>> the copout, IMHO. You can see from the post by me in the Photo
>>>>> Section that TransAct gives as Complete a Total Vol as OpenEcry
>>>>> (also fed from the floor), and Zen Fire. Genisis and MB Trading
>> (I
>>>>> have a MBT acct) were way behind. I would like to see a photo of
>>>>> eSignal and IBrokers against any or all of the three.
>>>>>
>>>>> The Price as mentioned above, (starting at 4.70 emini/4.24 YM and
>>>>> lower as >vol) is in the Comm. Fee as are all other charges with
>> no
>>>>> minimum activity.
>>>>>
>>>>> It appears to me that tic, vol and time are a part of the plug-in
>>>>> and if so all the more reason to be there during the writing. I
>> say
>>>>> this because my Quote Tracker does not allow tic. The Range Bars
>>>>> seem to be something that Tomaez has given us.
>>>>>
>>>>> ***************
>>>>>
>>>>>> Would the plug-in provide for automated AmiBroker trading? At
>> what
>>>>>> commission?
>>>>>
>>>>> ***************
>>>>> Not even close to understanding "how to" automated so I have not
>>>>> asked. But, Bob could tell you when you call.
>>>>>
>>>>> ***************
>>>>>>
>>>>>> What are you expecting to get personally out of this for your
>>>>> trading setup?
>>>>>
>>>>> ******************
>>>>> As mentioned above I hope for and expect a reliable data feed and
>>>>> DOM to practice with before trading live.
>>>>> ******************
>>>>>
>>>>>> Perhaps, just a little better packaging of your request to
>>>>> support
>>>>>> this effort with the whole picture and the benefits will yield
>>>>> better results.
>>>>> ******************
>>>>> I guess I am just a county bumpkin that does not like sales
>> pitches
>>>>> and the glossier they are the faster I run so maybe.... But,
>> thanks
>>>>> Dennis for the questions as it may help others.
>>>>>
>>>>> I have spent several weeks trying to find a combination that
>> suits
>>>>> me. 1)MY AMI 2)reliable data feed - not locking up all of the
>>>>> time. 3)Front end that I can practice with and later trade with.
>>>>> 4)Does not cost me when I am not trading. I could have more than
>>>>> bought the multibroker Ninja for what I have wasted with eSignal
>>>>> (platform resource hog - Ninja takes for ever to load), DTN IQ
>> Feed
>>>>> (data I have heard has improved), TradeStn (No sym, scared to
>> pull
>>>>> the trigger). Then there is MY AMI - fast, in the last 4 years I
>>>>> have liked just the charting, there is so much that can be done
>> with
>>>>> AmiBroker, MY AMI, as I am sure you know Dennis. Let me mention
>>>>> that Trade Nav is slow also. (I have dual xeon 3.6 in a dell
>> ws670
>>>>> w/2 gig).
>>>>>
>>>>> Hope this long winded reply is of help to somebody.
>>>>> Dan
>>>>> ******************
>>>>>
>>>>>>
>>>>>> Best regards,
>>>>>> Dennis
>>>>>>
>>>>>>
>>>>>> On Mar 18, 2008, at 8:11 PM, ab319320 wrote:
>>>>>>> I posted the screen shot in the Photo section. Call and make
>>>>> this
>>>>>>> thing happen. TransAct does not want to work on writing a data
>>>>> plug-
>>>>>>> in if nobody is interested so Call on their dime. Send an
>> email
>>>>>>> Support@ if you cannot use the 800 number. 877-872-
>>>>>>> 3303 for Bob at ext 1936. There are interducing brokers
>>>>> associated
>>>>>>> with TransAct do some research for one in your country.
>>>>>>>
>>>>>>> What you can see in a good photo is that TransAct is one of the
>>>>> top
>>>>>>> equal 3 out of the 5. I do not have a TransAct acct yet but if
>>>>> they
>>>>>>> start feeding MY AMI which is an understatement to say, I do
>> not
>>>>> want
>>>>>>> to leave her, I will have an acct.. I now have a MB Trading
>>>>> acct and
>>>>>>> they are not interested in writing a plug-in even after Tomaez
>>>>> sent
>>>>>>> them an approval email - they are close to history - anyway
>> look
>>>>> how
>>>>>>> far behind their vol is. Here is what the screen shot reads in
>>>>> the
>>>>>>> original at 1338, 12 Mar 08 - Data Provider, Total Vol, Ask,
>> Bid,
>>>>>>> Last Price:
>>>>>>>
>>>>>>> OpenEcry - 1,893,694, 1320.75, 1320.50, 1320.50
>>>>>>> Zen Fire - 1,893,694, 1320.75, 1320.50, Last was covered up but
>>>>>>> should be same since bid and ask same.
>>>>>>> TransAct - 1,893,694, 1320.75, 1320.50, 1320.50
>>>>>>> MBTrading- 1,747,747, 1320.75, 1320.50, 1320.50
>>>>>>>
>>>>>>> Trade Nav
>>>>>>> By Genisis
>>>>>>> Feed - 1,747,865, 1320.75, 1320.50, 1320.50
>>>>>>>
>>>>>>> I would be the last to argue that this is of any importance to
>>>>>>> trading success, others can argue about that. Hope it is of
>> some
>>>>>>> interest.
>>>>>>>
>>>>>>> Dan
>>>>>>>
>>>>>>>
>>>>>>> --- In amibroker@xxxxxxxxxxxxxxx, "ab319320" <ab319320@> wrote:
>>>>>>>>
>>>>>>>>
>>>>>>>> Maybe this can help in getting another Data Plugin. If I have
>>>>> time
>>>>>>> I
>>>>>>>> will try to post in the files section a screen shot of 5 same
>>>>> time
>>>>>>>> data feeds. TransAct, OpenEcry and Zen Fire have the same vol
>>>>> and
>>>>>>>> data. Note Genisis and MbTrading way behind.
>>>>>>>>
>>>>>>>>
>>>>>>>> "I just got off the phone [last thu.] with Bob at TranAct and
>> he
>>>>>>> said
>>>>>>>> after talking to his people that if enough people call-in
>>>>>>> expressing
>>>>>>>> an interest in a TransAct data Plug-IN for AmiBroker that they
>>>>>>> would
>>>>>>>> develope a plug-in. He used words that rang sweet to my
>>>>> ears,"oh
>>>>>>> yes
>>>>>>>> it is definitely do-able."
>>>>>>>>
>>>>>>>> CALL 800-560-1640 and ask for Bob at ext. 1936 or call 312-
>> 431-
>>>>> 1936
>>>>>>>>
>>>>>>>> Call Now Lets Get This Going.
>>>>>>>>
>>>>>>>> One of the TransAct introducing brokers is Amp Futures call
>> 800-
>>>>> 560-
>>>>>>>> 1640"
>>>>>>>>
>>>>>>>> It was nice talking to you wed afternoon.
>>>>>>>>
>>>>>>>> Dan Miller
>>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>> ------------------------------------
>>>>>>>
>>>>>>> Please note that this group is for discussion between users
>> only.
>>>>>>>
>>>>>>> To get support from AmiBroker please send an e-mail directly to
>>>>>>> SUPPORT {at} amibroker.com
>>>>>>>
>>>>>>> For NEW RELEASE ANNOUNCEMENTS and other news always check
>> DEVLOG:
>>>>>>> http://www.amibroker.com/devlog/
>>>>>>>
>>>>>>> For other support material please check also:
>>>>>>> http://www.amibroker.com/support.html
>>>>>>> Yahoo! Groups Links
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>
>>>>>
>>>>>
>>>>>
>>>>> ------------------------------------
>>>>>
>>>>> Please note that this group is for discussion between users only.
>>>>>
>>>>> To get support from AmiBroker please send an e-mail directly to
>>>>> SUPPORT {at} amibroker.com
>>>>>
>>>>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>>>>> http://www.amibroker.com/devlog/
>>>>>
>>>>> For other support material please check also:
>>>>> http://www.amibroker.com/support.html
>>>>> Yahoo! Groups Links
>>>>>
>>>>>
>>>>>
>>>>
>>>>
>>>> ------------------------------------
>>>>
>>>> Please note that this group is for discussion between users only.
>>>>
>>>> To get support from AmiBroker please send an e-mail directly to
>>>> SUPPORT {at} amibroker.com
>>>>
>>>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>>>> http://www.amibroker.com/devlog/
>>>>
>>>> For other support material please check also:
>>>> http://www.amibroker.com/support.html
>>>> Yahoo! Groups Links
>>>>
>>>>
>>>>
>>>
>>
>>
>>
>> ------------------------------------
>>
>> Please note that this group is for discussion between users only.
>>
>> To get support from AmiBroker please send an e-mail directly to
>> SUPPORT {at} amibroker.com
>>
>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> http://www.amibroker.com/devlog/
>>
>> For other support material please check also:
>> http://www.amibroker.com/support.html
>> Yahoo! Groups Links
>>
>>
>>
>
>
> ------------------------------------
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
> Yahoo! Groups Links
>
>
>
------------------------------------
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
------------------------------------
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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For other support material please check also:
http://www.amibroker.com/support.html
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