Does Ninjatrader still accept a market data feed from CQG?

[GLFX005]

And I'm not talking about the CQG Continuum that Ninjatrader Brokerage offers by default. I am asking about CQG that will allow me to receive data from all the exchanges they have listed here https://www.cqg.com/partners/exchanges.

[NinjaTrader_ChrisL]

GLFX005, you can still connect to the standard CQG connection by going to Tools>Options>Enable "Multi Provider". After this you will be able to set up the CQG connection.

[GLFX005]

Hello Chris,

Thank you for writing back to me!

This option is not visible in my Ninjatrader platform. I am using the old version of Ninjatrader 8, not the upgraded Ninjatrader 8.1.

Does it mean I do not have a multi-broker license? Or is there a different method to connect with CQG on the old version of Ninjatrader?

[NinjaTrader_ChrisL]

Hi, I must apologize because I misspoke in my first reply. I asked a colleague for confirmation about the CQG-only data and this has never been possible. CQG data for NinjaTrader has only ever been available through an account with a supported broker. The "CQG" connection within NinjaTrader is only for AMP Futures accounts, and AMP Futures is only available for clients grandfathered prior to March 11th, 2015.

CQG data from any other FCM is through Continuum
Continuum data from a third-party FCM would only be available for clients grandfathered prior to July 2014.

[GLFX005]

Hello Chris,

Thank you for explaining.

So which data provider has the ability to deliver real-time tick-by-tick data for the following exchanges?

- Singapore International Monetary Exchange (SIMEX)
- Hong Kong Financial Exchange (HKFE)
- Osaka Securities Exchange (OSE)

- EuroNext Indices & Commodities (EUIDX)
- Eurex Indices & Interest Rates (EUREX)
- Intercontinental Exchange (ICE-EU)
- Nasdaq Nordic Exchange (OMX)

CQG is able to provide all of the above, but I do not know which other data provider can give me data for the instruments that are listed in the Ninjatrader instruments list.

[NinjaTrader_ChrisL]

Hi, We support many data providers, so you will need to research which one will be best for you. We support data-only providers Kinetick and IQFeed which will likely be able to pull data from these exchanges.

https://ninjatraderecosystem.com/market-data/

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[GLFX005]

Hello Chris,

It looks like Interactive Brokers has all the exchanges I am looking for. Does Interactive Brokers populate Ninjatrader charts through the IB GateWay? Is data from Interactive Brokers considered tick-by-tick?

[GLFX005]

I can't find a single data provider that offers Osaka Stock Exchange (OSE) tick-by-tick data.

[NinjaTrader_ChrisL]

Hi, You can get real time tick by tick data from Interactive Brokers, they just do not provide historical tick data.

[QuantKey_Bruce]

NinjaTrader_ChrisL Technically what they provide in realtime are snapshots, approximately every 1/4 second for futures.


https://interactivebrokers.github.io...ta.html

[GLFX005]

QuantKey_Bruce Hello Bruce, thank you for sharing this information with me. Do you know if eSignal offers tick-by-tick data?

[QuantKey_Bruce]

Yes, eSignal offers tick data. https://kb.esignal.com/hc/en-us/arti...c-History-Data

Bear in mind this won't match up perfectly with CQG/Continuum but that is one of those cases where neither side is provably correct - there are just a large number of small design decisions that get made in providing an historical tick data feed where there is no clear "correct" choice just a lot of choices that must be made and each feed does them slightly differently.

If you are doing system trading, it is quite important to use the same feed for your historical testing and your live trading - otherwise you are testing one thing and then trading another.

[GLFX005]

Hello QuantKey_Bruce, thank you for your helpful answer! I am not looking to backtest strategies on historical data, but only to trade live with real-time data. The data does have to be tick-by-tick because of my strategies' needs. Do you know if it would be possible to use Ninjatrader as my execution platform, eSignal as my data provider, and Interactive Brokers as my broker? (Trading Futures contracts) Would there be any discrepancy between eSignal and Interactive Brokers?

[QuantKey_Bruce]

Yes, that combination is possible, but there are real concerns about using tick data from eSignal then placing orders at IB if your strategy is one that requires tick data. That implies you are analyzing things pretty closely, yet, IB only has snapshot data available - I understand you are using eSignal instead on the feed side - but what can really happen if you are trying to be precise is that you will place orders thinking they should be filled and they will not be, or they will be filled where you are not expecting, because IB and eSignal are out-of-sync when you look at it with a magnifying glass. Yes, there will be discrepancies between IB and eSignal data. Only you can evaluate whether this is important. If you choose to proceed, I would recommend trading small size or even in simulation for a good while to establish a proof of concept that your specific strategy is not affected by these issues.

It would be different if this were a swing trading strategy or you were trading daily bars but you say your strategy requires tick data which could mean you are trying to do short-term intraday trading - if that is the case I would be cautious about this and evaluate very carefully.

[QuantKey_Bruce]

If this is discretionary trading, and you are also going to refer to the IB prices on TWS before your final order confirmation, then this is fine. If it is system trading (automated) then you will need to test very carefully. I am not the only one who thinks this. Ask around - it's understood that there are potential pitfalls in this area - it doesn't mean it can't be done, but it does mean you need to proceed cautiously and expect to require extra time to test and resolve issues around your data if your data feed is not your broker's data and you are designing a systematic trading approach that requires tick data.