Listen DTN, sometimes there is a real problem with the bid/ask data you distribute. I was online with tech support Ken Heinze on Friday and he claims to me that the data matches CQG and Reuters feed. I do not know what he checked. I had asked him to specifically check the first 2 hours of trade. It seemed to get better after that. I don't know that he (or market data center) did that.

Why do I think something is wrong with it? Because I'm doing bid/ask volume analysis with marketdelta and the Euro Bund (BDZ6) was in a strong up trend but your data was showing way way more selling then buying. Markets do this about as often as water runs uphill. I compared this with my friends esignal feed which was showing the correct bid/ask values.

Please see my posting on this subject at EliteTrader starting here with my posted screenshot towards the bottom:
http://www.elitetrader.com/vb/showthread.php?s=&threadid=78980&perpage=10&pagenumber=26

Several people commented that the data is faulty, my friend posts a chart with his esignal data here:
http://www.elitetrader.com/vb/showthread.php?s=&threadid=78980&perpage=10&pagenumber=28

The rising blue line in the sub pane is showing that buyers are hitting the offer, not sellers hitting the bid as mine shows! Further down you will see a post by MPxtrading who has had similar experiences with your DTN bid/ask data and found it totally unreliable. So far, I am tending to agree.

This isn't the first time it has happened, but is the first time that I am following it up so diligently. I notified my charting vendor about this back in the middle of October to see if it was fault on their end. They did some checking and confirmed that it was coming from your data, not from their processing. Maybe his comments can help you with your investigations.

".... Now looking at your data, it does appear that your dtn data is changing
bid/ask one tick ahead of that of eSignal. This would certainly explain why
you were seeing more negative deltas on uptrends and more positive deltas on
downtrends (that is what you said, correct). Basically, the single tick
after any bid/ask change is generally going in different directions between
the two feeds. This appears to be happening on your eurex, but not for ES.

Bill is also going to pass this info along to his contact at DTN to see what
he has to say. If you speak to DTN again, the information above should be
helpful."

This was dated October 13th and apparently you guys where notified of this yet the problem persists and is costing me money as my trading model is heavily dependent on bid/ask anlaysis. The problem doesn't occur every day, but when it does occur, it tends to last for several hours or all day. I'm only trading eurex and sgx products. Not sure if it is only affecting certain products of what. I've noticed it on BDZ6 and EXZ6.

Please setup some sort of sanity checking for a while in your bid/ask data collection so you can verify the integrity of the data distributed so the error can be trapped and fixed. Otherwise, let me know who I can send the bill to at DTN when I incur losses due to your faulty data.

Generally, I like it here at DTN and would hate to switch vendors, with continued data like this though - you will leave little choice for anyone using bid/ask analysis, which is becoming quite popular these days.

Regards,
MK

The time span to analyze on Friday was the area between 0400 - 0630 EST when it rallied up 30 ticks while your data is showing a steady stream of selling the whole way up that is grossly outweighing any buying.

Dear MK,
Thank you for posting. We certainly apologize for this. We will look into this issue immediately. We will follow up with the information regarding this issue as soon as it is available. Thank you again for bringing this to our attention.

Thank you,

Mike Driscoll
DTN

Any info on this Mike? Btw, what ever happened to that phone call you wanted to do, or did you find all the info you needed from your team there?

I am left (and every other customer using bid/ask data on eurex) completely without confidence of the data provided for my bid/ask analysis and would appreciate a resolution or at the very least some sort of logging on your part to trap this situation if it occurs again.

Kind regards,
MK

thanks for the post midknight,
We certainly can still do the phone call. I had suggested that since our emails were getting spread out over too long a period. Lets touch base again this morning and we can go over this so there are no more questions on the data.

Thanks again for your business
Mike Driscoll

So far Mike you are treating me like all the girls, saying you will call and you never do.

Guys this is beyond a joke. I mean seriously, as if I can make a spreadsheet and verify HUGE differences between esignal data and yours which both apparently receive their data direct from EUREX then surely you 'techs' can sort it out? If you and esignal both get your data from the same place, why are then so very different? I'm pissed off to learn that you guys are basically ripping me off (and every other eurex user) and costing me money by using your faulty data to make my decisions on. Give me the name of the head guy at DTN and I will send him a bill for some of my losses from this crappy data. I'm livid about this. All the while I thought I was using quality data when I clearly have not. I wouldn't be so annoyed if you guys made a sincere effort to sort it out but you are not. This is all just politically correct lip service.

Why do I think your data is faulty and not esignals? Because day after day I am watching price go UP while your data is showing that traders are hitting bids. It is glaringly obvious if you study the data. You guys are supposed to be the data experts right? Then surely you can do some simple investigation as I have done with just a simple spreadsheet.

Here is a screenshot one instance of many for the first 2 hours of DJ Euro Stoxx50 data for the cash session 9-11 CET. There are many many occurrences of this over the 2 hours. Over that 2 hour period, the DTN data has an accumulated delta of +6108 while esignal has an accumulated delta of +12842. This is a massive difference and shows just how far out of line they are!

http://i16.tinypic.com/2cdy007.png

You are leaving me and all your Eurex customers very little choice on what to do for a data provider come the new year.

If you want the full spreadsheet, I will gladly send it. But you guys can also get off your butts and do some investigation of your own. Or what the heck are we paying you for???

MK

MK,

Send the spreadsheet to me at jay.froscheiser@dtn.com. I have been "off my butt" looking into this. Earlier this week, I installed a second version of IRT/Market Delta, so I can compare the difference the delta charting is showing between feeds. I was in Chicago for the past 2 days with Chad and Trevor from Irt/Market Delta, and I discussed this very issue with them. I plan to sit down with the product and our ticker team this morning and try to determine what could be causing the difference.

---

Jay Froscheiser
DTN - Trading Markets

And here is a graph of the data comparison

http://i16.tinypic.com/2qcqr6d.png

ok Jay. Sorry I didn't know anyone was looking into this - no one has told me anything. Please understand from my perspective on the other side of the world all I'm seeing is someone saying they are doing stuff but not seeing any results, not even able to communicate with me when they say they will. I'll send you an email.

Easiest way to see it in the delta Jay is with the VB indicator on range, volume, or tick chart. Set the indicator to accumulate delta and you will often see huge differences. This is what the spreadsheet is showing - the accumulated delta.

Update for anyone following this thread.

I am happy to say that Jay has made some great progress in figuring out what the problem is. He has been providing detailed emails outlining the efforts they have taken and what they have found out. I appreciate being involved in the investigation, and including the input from MarketDelta and the Investor R/T development staff before making any decisions of how best to handle the bid/ask data. Very thorough.

Thanks Jay, and thanks DTN for responding to this issue.

Kind regards,
MK

For some reason, this morning on the DJ Euro Stoxx50 is particularly bad. Delta is consistently going the opposite direction to price - i.e. price is going up, but bid/ask data is showing it hitting the bid.

Some days are definitely far far worse then others.

Regards,
MK

I have the data team researching it. I'll let you know as soon as I have something.

Edited by DTN_Tim Walter on Dec 8, 2006 at 07:45 AM

No worries Tim,

Jay apparently is doing some heavy research in this area so I just posted this for his benefit...

MK

ok, I will have them report thier findings back to him then. Often times we get a report after the damage is done and it is so hard to troubleshoot that way. By getting to it while the problem is happening it allows many many more options for us to narrow it down and isolate the issue. So thanks for the heads up regardless. We'll keep working for you.

Was this issue resolve? I am considering to subscribe dtn service for delta usage.

Hi stevebong,

No it is not resolved yet and I still haven't had word from DTN if it will be resolved. While they have acknowledged a difference between esignal and they have even found out why there is a difference, I have yet to hear them admit the data is in error. I'm also still waiting to hear if any changes will be done and when they would be completed.

As I have previously stated, until this is changed, it is impossible for any traders using bid/ask analysis on Eurex products to believe what they are seeing. If there is no change soon, I will be forced to change data vendors as this has cost me too much money in losses from using the data (before I did my own investigation to discover a difference with esignal) and also lost revenues from the past month while awaiting a resolution.

DTN offers stellar customer service and up until this, I have had great data in terms of delivery speed, uptime, and accuracy. Because of these reasons I would like to stay with them as a customer but am not being left much choice. The scary part to me is how long has the data been like this, and how many traders have been trying bid/ask analysis on Eurex products and perhaps pointed the blame that bid/ask analysis is crap when instead it was the data. They never checked the data to verify it as being accurate and correct.

IMO stevebong, with the current data being distributed - it is not worth subscribing. Maybe DTN can shed more light on a resolution so you can plan when/if you will subscribe.

Kind regards,
MK

Stevebong and mk,

I want to clarify a few statements in this thread, and give an update on the progress.

1) This only affects Eurex data when doing Market Delta analysis. If you aren't using Market Delta analysis on Eurex, this won't affect you.

2) We won't admit the data is in error until we receive confirmation from the exchange. As it stands right now, it appears we match CQG and Reuters data. Most would consider their data to be top tier, and we match them. However, we don't match Esignal, and it does appear that this difference throws off the Market Delta analysis of the Eurex markets.

3) The reason this problem won't be seen using other charting methodologies, is because we have all of the data Esignal and other vendors show. It is just a matter of us sending the bid/ask changes BEFORE or WITH the trade. We are sending them in the order we received it from the exchange. It appears there is a message type however, that may require that DTN send the trade BEFORE the bid/ask update even though the exchange sent them together. We, of course, send them together if received together from the exchange as we don't like to split (or delay) messages. However, adding an additional processing step may be the only way to get our data to match that of Esignal and thus produce better Market Delta charting. The key here is that we won't change this processing until the exchange confirms that this is acceptable.

4) Hopefully I will know more on Monday. We have placed numerous calls and emails to the exchange, and have a ticket number with their operations staff. Unfortunately, it has taken much longer to get an answer than we hoped. Once we have an answer from them, we will act accordingly and I will provide details of that action to this forum.

---

Jay Froscheiser
DTN - Trading Markets

Thanks for the update Jay.

Best regards,
MK

We have a ticker release scheduled for this weekend that we are confident will correct this situation when looking at IQFeed Eurex data via Market Delta. Starting on Monday, the data should look as expected!

---

Jay Froscheiser
DTN - Trading Markets

First day of checking the new Eurex bid/ask distribution model DTN rolled out on the weekend. Here is a simple comparison of the DJ Euro Stoxx50. The comparison is showing refreshed esignal data, refreshed DTN data, live DTN data. Price is plotted to view the correlation. Looks like DTN data is now far superior to esignals. Tracks much closer to price. From watching it live yesterday, I couldn't fault it, that is to say, there was nothing obvious like there was initially. I still want to do this same sort of analysis for a couple more days to compare.

Out of interest, look at the dodgey data that esignal are pushing out. In particular look at the one entry there with a bid 0 / ask 4166 with a last trade of 4167. No idea what they are doing there, certainly dodgey. I think we have the better end of the stick here chaps.

http://i12.tinypic.com/2ligeat.png
http://i13.tinypic.com/4ggu82h.png

Kind regards,
MK

Another follow up on comparing the data feeds. Here is Weds day trading on the DJ Euro Stoxx50. I am satisfied that DTN has fixed this up and thank them for a professional and thorough resolution.

http://charts.dacharts.com/2006-12-11/MK_1.png

Looks great to me, thanks DTN.

Best regards,
MK

Mk,

Thank you for your thorough information as we debugged the issue. It was with your help that we were able to track down the differences and get it resolved. As always, we appreciate your business and wish you luck trading with Market Delta and IQFeed!

---

Jay Froscheiser
DTN - Trading Markets