DxFeed needs more data providers for U.S. Equities

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sawtooth500
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DxFeed needs more data providers for U.S. Equities

Post by sawtooth500 » Tue May 12, 2020 9:09 pm

I use DAS Trader for trading and Bookmap as a great liquidity reference. However, comparing the L2 DOM in DAS and Bookmap I've noticed that Bookmap tends to be missing liquidity due to limitations from the DxFeed data source. Look at the attached screenshot, that's REPH on 5/11. There is a huge ask of 11000 shares on ACB at $4.99 and Bookmap is only showing 1290 shares of liquidity at $4.99, that's a huge discrepancy. 

With DAS, I have a subscription to Totalview, Options Level 2, OTC Markets Level 2, ARCA Book, IEX Deep, Imbalance, Forex, and e-Mini Level 1, 

Whereas dxFeed I have:
 NasdaqNasdaq TotalView & Nasdaq Last Sale: Full market depth & Traded volume
 EDGXCboe/EDGX (BATS): Full market depth & Traded volume

The dxFeed stuff is great, but it's critical that Bookmap integrate more data sources for U.S. equities. If we are to harness the real power of bookmap to make trading decisions, we need a complete view of U.S. Equities liquidity, or as complete as possible. Our trading is only as good as our information. 
Attachments
REPH L2 Data.png
REPH L2 Data.png (849.76 KiB) Viewed 5254 times

bmTrader99
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Re: DxFeed needs more data providers for U.S. Equities

Post by bmTrader99 » Sun May 31, 2020 2:42 pm

Hi.

That's strange, I had assumed that DXFeed provided the full market depth ?

I've been doing some research into this and it does seem slightly confusing with the various different exchanges and providers and what is included and what isn't.
As I understand it, IB do provide it all as long as you subscribe to all the different options.
I've used DAS trader and noted that they don't actually provide data from BATS and NYSE Open Book. However, lot of people use it, so maybe it's not such a big deal.

I am considering using Bookmap with DXFeed for my US Equity trading, assuming that full market depth would be provided.
 

sawtooth500
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Re: DxFeed needs more data providers for U.S. Equities

Post by sawtooth500 » Mon Jun 01, 2020 4:33 pm

When you trade with DAS trader and IB, the market data is supplied by DAS, not IB. You need to make sure that you have subscribed to all the L2 feeds with DAS however, if you have not subscribed you will not get them.

Equities market depth can be confusing because there are multiple exchanges. Currently, Bookmap does not support full market depth on the NYSE/ARCA exchange - it does with NASDAQ and EDGX/BATS, which are both big, but NYSE/ARCA is also huge and missing in Bookmap. 

I still think bookmap is very useful however. 

bmTrader99
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Re: DxFeed needs more data providers for U.S. Equities

Post by bmTrader99 » Mon Jun 01, 2020 5:22 pm

Y. I tried the two week free trial with DAS and compared the data feed quotes with what I was getting with IB.
So I was comparing DAS-Market Depth with IB-Market Depth in real-time.

I queried with DAS support directly because the two seemed to be different in some circumstances. And they confirmed that they don't have the BATS and NYSE OpenBook feeds (even in the fully paid product), whereas I know that IB do as I subscribe to it.  
I guess maybe it is not a big deal as DAS has a lot of users and seems to be highly regarded and I guess NBBO sort of levels out the playing field a bit.  

When Bookmap get NYSE/ARCA, that will make it more complete for stocks.
Futures is a lot easier with one exchange...but a lot harder to trade (imo).
 

sawtooth500
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Re: DxFeed needs more data providers for U.S. Equities

Post by sawtooth500 » Fri Jun 19, 2020 7:55 pm

I didn't formally know that DAS didn't have the full EDGX/BATS and NYSE Openbook feeds, but that makes sense. Sometimes I see liquidity in Bookmap that I don't see in DAS, and other times I see liquidity in DAS that I don't see in Bookmap. 

It would be great if you could see ALL the liquidity in a single product, but DAS and Bookmap really do complement each other pretty well. And in terms of trade execution time, you absolutely cannot beat DAS. That's why I use, and always will use DAS as my trading platform. 

xiviii
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Re: DxFeed needs more data providers for U.S. Equities

Post by xiviii » Sat Jun 20, 2020 8:11 pm

Seconded on this, this software is brilliant and I love it but it does feel like it's only getting you halfway there if it's not showing all of the data...?
Is this something that is likely to be added?  Seems a real shame if not..

hds
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Re: DxFeed needs more data providers for U.S. Equities

Post by hds » Sun Jun 21, 2020 7:26 pm

+1

Hitt025
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Re: DxFeed needs more data providers for U.S. Equities

Post by Hitt025 » Sun Aug 16, 2020 4:58 pm

Hi Sawtooth500, 

I'm using DxFeed for BM to help me with US Equities trades by Stocks and Options.  Do you think I need both the Nasdaq and EDGX data?  I'm currently using the Nasqdaq data feed only.

sawtooth500
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Re: DxFeed needs more data providers for U.S. Equities

Post by sawtooth500 » Tue Aug 18, 2020 1:46 am

The more data you have, the more complete picture you have. 

svenstrup10
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Re: DxFeed needs more data providers for U.S. Equities

Post by svenstrup10 » Tue May 11, 2021 5:46 am

Doesn't the NBBO-feature in bookmap solve this problem?
I mean; you have the most data possibly, if you both have nasdaq dxfeed AND the NBBO-subscription

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