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AndyG has contributed to 3 posts out of 21185 total posts
(0.01%) in 5,337 days (0.00 posts per day).
20 Most recent posts:
Data and Content Support »
Continuous futures contract symbols often not useful Sep 18, 2009 08:34 AM
(Total replies: 3)
For some reason the chart didnt upload to the forum, please try this link: http://www.freeimagehosting.net/uploads/350513cf91.jpg Or just look at a @ZG# daily chart with volume.
Data and Content Support »
Continuous futures contract symbols often not useful Sep 18, 2009 08:26 AM
(Total replies: 3)
Hello, the problem with some continuous futures symbols is that it often uses the 'wrong' contracts. The continuous symbols should "roll" into the next contract when the majority of the volume trades in the next contract, not when until it expires. I have attached a chart showing the problem in ZG (electronic 100oz Gold futures). As you can see, at every other month there is nearly no volume in the contracts you use, since everyone already trades in the next contract. Which makes these charts somewhat useless. Alternatively, you could make historic data available on a per contract basis, instead of only the continuous data, so that every user can construct his own continuous symbol locally. Here are some of the symbols(exchange tickers) with this problem: ZG, GC, ZN, Zs, ZW
IQFeed Datafeed Wish List »
Add MB Trading FX to Basic Forex Service Sep 15, 2009 08:16 AM
(Total replies: 0)
Hello, i think the MB forex datafeed would be an ideal candidate to add to the basic fx service. It should be easy and cheap to get, they have a lot of quote-updates compared to other firms, they have fractional quotes (1/10) - and they are a multibank/ecn platform that displays the best bid/ask from multiple sources. So it is a very good representation of the overall market. The MB datafeed is available via the premium service/Tenfore (i.e. EURUSD.EFXG) - but there are some problems with that: it is slow, quotes are lagging up to 1 second compared to what i see on the MB order-entry platform itself. I'm guessing that's Tenfores fault. In addition to that, Tenfore rounds the quotes to the nearest pip (MB quotes in 1/10 pips) and thus drops most of the quote-updates. So it is not an accurate representation of the mb datafeed. I'm sure DTN could do a much better job than Tenfore, should you decide to add this (which i hope). Regards, Andy |
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