Wednesday, June 03, 2009

Interactive Brokers vs. ZenFire Data Feed


HPT compares the two data feeds- ZenFire is notably faster giving tick by tick data where as IB gives 0.2 to 0.3 second snap shots of the data.

6 comments:

Anonymous said...

umm, why is the time different between the two? does not seem like a realtime test.

HPT on 8:33 PM said...

I forgot to set the time zones on the T&S to be the same on the different platforms (NT was PST and QT was EST), but it makes no difference with actual regard to what is being tested.

opw said...

The ultimate test would be when there is news out and the market is going crazy.

I wonder how Zen-fire would keep up under hectic circumstances.
Let me add that I don't have experience with Zen-fire data, and I hear a lot of great things about it, but in my experience feeds that deliver all ticks often have a hard time keeping up in hectic times, often adding much more delay then IB's (compressed) feed.

HPT on 12:37 AM said...

Zenfire keeps up at the open. Much faster then IB IMO.
INFO about Zenfire-
Robust, Managed Infrastructure

With no single point of failure, the Zen-Fire network operates on a fully redundant, professionally managed infrastructure monitored around-the-clock by the industry’s leading engineers. Co-located on the same floor as the major exchanges, the data center provides the ultimate routing and connectivity solution for the fastest and most reliable market data and order routing solution.

Easily scalable to accommodate massive amounts of users and connections, the hardware and software powering the engine are designed to take full advantage of all available resources on any server added to the farm. Utilization is constantly monitored and additional resources are easily added without service disruption.
unfiltered tick data

Many traders have experienced latencies and delayed market updates but few were aware how little of the actual market movement they were seeing even when their platforms appeared to be ‘keeping up’ with the market. Most systems are unable to keep up with volatile markets and compensate by dropping price data only sending the latest updates – sometimes referred to as “filtering.” This helps keep the prices current but doesn’t provide a true look at how the markets are trading.

Zen-Fire provides unfiltered price data. This can easily be seen during active market periods such as economic releases, but is also visible during slower conditions when automated systems are seen rapidly placing and canceling orders at particular price levels. The “fluttering” can often cause the actual quantity to become a blur as it updates in real-time.

Anonymous said...

How about quote data?

Shure, volume and trade data are not reliable at IB.


QT delays IB feed. So it provides a distorted picture.

It would be interesting to compare the IB trading window (fastest component at TWS) B/A quotes
and the Zenfire B/A quotes because focusing on IBs quotes works good.

HPT on 9:10 AM said...

The IB T&S I showed in the video is a waste of an application. I will do as you suggested and compare quotes directly from IB TWS and NT quote windows in a new video very soon.

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