I am comparing T&S between Charles Schwab and BookMap. See attached. I am trying to figure out why CS shows so much more T&S action than BM. For CS, I am using Total view. For BM, I am using DxFeed for full OpenView data set.
Thanks
Time and Sales
Re: Time and Sales
If you subscribe to Nasdaq, you'll get the T&S from Nasdaq only.
In order to get the T&S from all US exchanges, you have to subscribe to NBBO
see more details on the other thread https://www.bookmap.com/forum/viewtopic.php?f=18&t=222&p=662&hilit=nbbo#p662
In order to get the T&S from all US exchanges, you have to subscribe to NBBO
see more details on the other thread https://www.bookmap.com/forum/viewtopic.php?f=18&t=222&p=662&hilit=nbbo#p662
Re: Time and Sales
Okay...thanks for the reply. I tried to access the link but I got a messaging saying I wasn't authorized to read. I didn't see that option when I signed up for the DxFeed. Must have over looked. No problem, I just signed up. Will report back if any issues.
- Global Plus (Monthly) next bill 09/20/20
- dxFeed US Equities Data Bundle (Nasdaq + EDGX) next bill 09/21/20 Includes Nasdaq Depth and EDGX Depth
- dxFeed NBBO data feed next bill 09/24/20 The NBBO feed requires an existing valid subscription to Nasdaq and/or EDGX data feed
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donkeykong
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Svyatoslav
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Re: Time and Sales
I don't have an explanation for CQG vs Rithmic (since there are no multiple exchanges there). Could you please post a screenshot with those two side by side? Just make sure T&S settings are the same. I have some guesses (related to settings) but want to see it first.
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donkeykong
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Re: Time and Sales
https://www.youtube.com/watch?v=23t3yU-XU5U
i recorded this a few months ago.
rithmic on the left on optimusFlow platform (T&S is the same when i compared it to bookmap)
tradovate in the middle
and Interactive brokers on the right.
no filters turned on.
i recorded this a few months ago.
rithmic on the left on optimusFlow platform (T&S is the same when i compared it to bookmap)
tradovate in the middle
and Interactive brokers on the right.
no filters turned on.
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Svyatoslav
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Re: Time and Sales
Ah, so there was no bookmap there? But from what I can see - platforms probably aggregate events differently. On the left you can see raw events, in the middle - looks like events are aggregated + somehow filtered (I know Rithmic shows implied order book, i.e. one from spreads integrated, not sure if it somehow affects trades). About IB - not really sure what it shows, but looks like it's also applying some aggregation.