Volume dots: why sell dots on ASK line?

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berenis
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Volume dots: why sell dots on ASK line?

Post by berenis » Thu Nov 21, 2019 10:24 am

Hi,
as you can see on image, there are some mix or pure sell dots on ask. How is this even possible?
This is using no clustering setting for volume dots and is max zoomed (on th ES).
Attachments
puresell.JPG
pure sell on ask
puresell.JPG (32.32 KiB) Viewed 465 times
sellatoffer.JPG
mix sell on ask
sellatoffer.JPG (34.74 KiB) Viewed 465 times

AndreyR
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Re: Volume dots: why sell dots on ASK line?

Post by AndreyR » Thu Nov 21, 2019 10:51 am

Hi berenis,
What is the full alias (what exactly is written on its tab, for example ESZ9.CME@RITHMIC ...) ?

berenis
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Re: Volume dots: why sell dots on ASK line?

Post by berenis » Thu Nov 21, 2019 10:56 am

Hello Andrey,
please look image.

Using bookmap 7.1 (but had it with 7.0 also).
Attachments
alias2.JPG
alias2.JPG (11.39 KiB) Viewed 463 times
alias.JPG
alias.JPG (116.67 KiB) Viewed 466 times
Last edited by berenis on Thu Nov 21, 2019 10:57 am, edited 1 time in total.

AndreyR
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Re: Volume dots: why sell dots on ASK line?

Post by AndreyR » Thu Nov 21, 2019 5:20 pm

This is caused by DxFeed depth data quality. Take a look at these screenshots. ES data is visualized. DxFeed data is on the left and Rithmic data is on the right. We can see a trade bubble at 18:26:16.500 for both data providers but notice a BBO bump behind the bubble on the right (Rithmic). Zoomed in, we can see a trade (12 at 3101.75) for both. For Rithmic best bid is bumped to 3101.75 so the sell dot lies on the best bid line. There's no BBO bump for DxFeed so the sell dot lies on the best ask for DxFeed which looks incorrect.
Attachments
volDots01..jpg
volDots01..jpg (237.49 KiB) Viewed 446 times
volDots02..jpg
volDots02..jpg (240.15 KiB) Viewed 446 times
volDots03..jpg
volDots03..jpg (229.9 KiB) Viewed 446 times
volDots04..jpg
volDots04..jpg (240.73 KiB) Viewed 446 times
volDots05..jpg
volDots05..jpg (231.72 KiB) Viewed 446 times
volDots06..jpg
volDots06..jpg (236.2 KiB) Viewed 446 times

berenis
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Re: Volume dots: why sell dots on ASK line?

Post by berenis » Fri Nov 22, 2019 12:19 am

Thanks for the details.
I've sent fund to a trading account, I will try to test Rhitmic data and see how it goes.

I'm a bit disappointed by DXFEED, I thought it was supposed to be feed of exceptional quality, the best of all.

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Re: Volume dots: why sell dots on ASK line?

Post by AndreyR » Fri Nov 22, 2019 7:48 am

Their trade data seems to be very detailed, see the screenshot #3 (volDots03..jpg). Only depth data seems to be lacking some details.

berenis
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Re: Volume dots: why sell dots on ASK line?

Post by berenis » Fri Nov 22, 2019 8:09 am

Yes, this is true. Do you mind if I point them to this thread?

About rithmic, indeed there seem to be much less volume reported.
Does this affect historical downloaded data, or also real time data?

AndreyR
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Re: Volume dots: why sell dots on ASK line?

Post by AndreyR » Fri Nov 22, 2019 9:22 am

thx, we have already contacted DxFeed and we will get back to you as soon as we know what actually caused the issue.
It is realtime data on the screenshots. Historical data loaded from DxFeed is aggregated by seconds so it may look less detailed.

Code: Select all

About rithmic, indeed there seem to be much less volume reported
Volumes are the same but the number of trades makes the difference. DxFeed has nearly a dozen of trade dots or more while Rithmic has about five. But these screenshots are not enough to make a conclusion about a permanent data quality.

Svyatoslav
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Re: Volume dots: why sell dots on ASK line?

Post by Svyatoslav » Fri Nov 22, 2019 9:27 am

Let me put in my two cents. As far as my experience with Rithmic data goes, the trades will usually be unaggregated. I am not 100% sure about DX data, but I believe trades aren't aggregated there too. The reason for different number of trades on the screenshots is most likely zoom level and delays between trades being transmitted, not the actual number of trades - if zoomed in further those are most likely going to split.

berenis
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Re: Volume dots: why sell dots on ASK line?

Post by berenis » Fri Nov 22, 2019 9:28 am

Ah! I learn a lot on this thread, thank you for your support.
When I record data for replay, is the recorded data aggregated by the second also, or is it as same resolution as live?

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