Tradestation vs Rithmic data speed/aggregation

[kevinm]

I have been using tradestation as my data/broker with motivewave for a bit now. I was curious about rithmic so I wanted to give it a try and link it up to motivewave.

It looks like tradestation is aggregating the data per second and rithmic is just printing as it comes in. The time and sales for tradestation in motive wave prints every second(aggregates the orders in looks like) and rithmic just spits them out with speeds varying based on price. I dont have any aggregation settings(that I know of) set in motivewave for tradestation. If I login to tradestation and open a time and sales its acts more like the rithmic data. I appreciate all your help.

 

[Donovan2580]

I have been using tradestation as my data/broker with motivewave for a bit now. I was curious about rithmic so I wanted to give it a try and link it up to motivewave.

It looks like tradestation is aggregating the data per second and rithmic is just printing as it comes in. The time and sales for tradestation in motive wave prints every second(aggregates the orders in looks like) and rithmic just spits them out with speeds varying based on price. I dont have any aggregation settings(that I know of) set in motivewave for tradestation. If I login to tradestation and open a time and sales its acts more like the rithmic data. I appreciate all your help.

This was what I was told from Moteivewave Support a few years back.

"The Tradestation API does not support historical ticks in the feed therefore tick charts are not available via MotiveWave.

The lowest time interval supported historically would be based on seconds."
So while you are able to see tick charts / data / time and sales while in Tradestation, you will not be able to see that using TS as a data feed in MW.

 

[kevinm]

I dont really care about historical ticks.....there is just a big discrepancy between the cadence of the data feed. In real time it looks like the TS api data feed into motivewave is aggregated into 1 second blocks. The setting in motivewave for aggregation in the time and sales setting is not enabled so it has to be in the feed from tradestation. The time and sales prints every second regardless of the speed of price action and is aggregating the sizes for that second(I assume). Rithmic feed and inside tradestation is just spitting out the orders as they come out (usually smaller size at speeds that reflect the price action).

The problem I have is I have a setup I've been backtesting and trading for a bit now and it is based on the aggregated data that motivewave is displaying from tradestation. It is a nuanced signal in the orderflow that Ive worked into my strategy. Is the data still reliable especially how it prints on the footprint which is what my strategy is based on? Just raising my brow now and would like the understand the differences between the 2 feeds....

btw...thank you very much for this info Donovan

 

[Donovan2580]

I dont really care about historical ticks.....there is just a big discrepancy between the cadence of the data feed. In real time it looks like the TS api data feed into motivewave is aggregated into 1 second blocks. The setting in motivewave for aggregation in the time and sales setting is not enabled so it has to be in the feed from tradestation. The time and sales prints every second regardless of the speed of price action and is aggregating the sizes for that second(I assume). Rithmic feed and inside tradestation is just spitting out the orders as they come out (usually smaller size at speeds that reflect the price action).

The problem I have is I have a setup I've been backtesting and trading for a bit now and it is based on the aggregated data that motivewave is displaying from tradestation. It is a nuanced signal in the orderflow that Ive worked into my strategy. Is the data still reliable especially how it prints on the footprint which is what my strategy is based on? Just raising my brow now and would like the understand the differences between the 2 feeds....

btw...thank you very much for this info Donovan

I believe the wording on that statement from MW support is a little confusing. Here is the way I see it:

The Rithmic feed is the reliable feed and is displaying trades as the actually occur. The way MW displays your Tradestation data feed is in 1 second bursts because that is the lowest time frame it can handle. The time and sales and the way data is coming in from Tradestation is unnaturally altered because of the limitations of the API.

 

[MrSharky]

I dont really care about historical ticks.....there is just a big discrepancy between the cadence of the data feed. In real time it looks like the TS api data feed into motivewave is aggregated into 1 second blocks. The setting in motivewave for aggregation in the time and sales setting is not enabled so it has to be in the feed from tradestation. The time and sales prints every second regardless of the speed of price action and is aggregating the sizes for that second(I assume). Rithmic feed and inside tradestation is just spitting out the orders as they come out (usually smaller size at speeds that reflect the price action).

The problem I have is I have a setup I've been backtesting and trading for a bit now and it is based on the aggregated data that motivewave is displaying from tradestation. It is a nuanced signal in the orderflow that Ive worked into my strategy. Is the data still reliable especially how it prints on the footprint which is what my strategy is based on? Just raising my brow now and would like the understand the differences between the 2 feeds....

btw...thank you very much for this info Donovan

It depends on your strategy, In some cases a aggregated data will do. But if you want as pure data as possible by the tick as well as a correct footprint or volume/TPO/delta profile you need Rithmic or CQG data.

 

[kevinm]

It depends on your strategy, In some cases an aggregated data will do. But if you want as pure data as possible by the tick as well as a correct footprint or volume/TPO/delta profile you need Rithmic or CQG data.

Thanks for your response. It’s nothing special just a little added layer of confirmation. It’s basically a gap made in the footprint and now I understand why that happens with Tradestation and not rithmic. Mostly due to the way the data is being recieved in 1 second intervals and aggregated. If large enough size moves price in fast move the footprint leaves a gap.

I may try to aggregate the rithmic time and sales in motivewave with a similar 1 second aggregate to see if I can get them to match. Has anyone tried to do this before and if I aggregate in time and sales will the footprint match this aggregation? I was having issues with Tradestation feed dropping off at a couple specific times during the day which is why I explored rithmic as an alternative. Support hasn’t really given me an answer as to why this happens but again more than likely on the api side of things.

 

[Donovan2580]

In Rithmic you can "aggregate by order" in the Time and Sales or DOM preferences. I don't believe you are going to manually force the Rithmic feed to mimic Tradestation since what you are seeing is essentially a "bug" for lack of a better word.

What's New In Version 6.3 | MotiveWave Docs

docs.motivewave.com

 

[BillBaloney]

Is it the same case for IQFeed datafeed. I believe not? Tick chart are tick chart with IqFeed. Aggregated data is only aggregated when the Rithmic option is check before logging into R Trader Pro.

 

[MrSharky]

IQFeed is also a quality datafeed, I mentioned only Rithmic and CQG since those are the most commons ones with brokers.