It seems there's a problem with the DOM

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arnie
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It seems there's a problem with the DOM

Postby arnie » 03 Feb 2012

Hi.

Can you explain what is happening here?

http://www.screencast.com/t/vK7GxF8aJ6o

Unemployment data has just been released and the DOM started to lag (a lot) in terms of last price traded when compared to prices on TWS (IB).

The ticker is 6EH2 (Euro).

Regards,
Fernando

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arnie
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Re: It seems there's a problem with the DOM

Postby arnie » 03 Feb 2012

Here's another video where we can compare the DOM with TWS for better view of the lag.

http://www.screencast.com/t/jmhBlL29

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Re: It seems there's a problem with the DOM

Postby Dave Masalov » 03 Feb 2012

Hello arnie,

Please compare MC DOM with the DOM in TWS and post video showing the lag if any.

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Re: It seems there's a problem with the DOM

Postby arnie » 03 Feb 2012

Dave Masalov wrote:Hello arnie,

Please compare MC DOM with the DOM in TWS and post video showing the lag if any.



Hi Dave.

As you can see in the video previously posted, it's not the market depth itself that is lagging, but rather the last traded price (yellow rectangle) that does not follow the bid/ask as it should. You can see bid/ask moving but the last traded price continued where it was traded previously.

Check the image that I took from the video (6:28 minutes).

Last traded price has a huge difference (MC is at 79 while TWS is already at 84), but the bid/ask is OK, when compared to TWS.

At this moment, as you can see in the video, things are back to "normal". We cannot notice the last price traded lag.

http://www.screencast.com/t/HYvR4QbbS

But independently things look OK now, I never noticed the DOM reacting like this before during high volatile periods such as the unemployment data release. Didn't you changed anything in version 7.4 that might be generating this reaction?

This type of reaction as seen in the image really messes up any type of order we want to give. If the bid/ask moves in tandem with TWS, why that last traded price reaction?

Regards,
Fernando
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Re: It seems there's a problem with the DOM

Postby Dave Masalov » 06 Feb 2012

Fernando,

We failed to reproduce the issue on our end. Please come to our Live Chat Mon-Fri at 9:00 PM EST so we can see the issue live on your machine: http://messenger.providesupport.com/mes ... pport.html

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Re: It seems there's a problem with the DOM

Postby Dave Masalov » 07 Feb 2012

Fernando,

Please uncheck 'Generate a new tick if Total Volume changes' check box in Quote Manager --> Tools --> Data Sources to get the same trade size in MC DOM and IB TWS Time and sales window.

When this option is checked MC generates a new tick (last trade volume changes) only if Total Volume changes.
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Re: It seems there's a problem with the DOM

Postby arnie » 07 Feb 2012

Dave Masalov wrote:Fernando,

Please uncheck 'Generate a new tick if Total Volume changes' check box in Quote Manager --> Tools --> Data Sources to get the same trade size in MC DOM and IB TWS Time and sales window.

When this option is checked MC generates a new tick (last trade volume changes) only if Total Volume changes.


Hi Dave.

That option is and always has been unchecked.

Sometimes there are trades that appear in the DOM but never in T&S and other times the opposite happens.

Yesterday Henry made a video on live chat. Have you seen it?

I've just made a new video where we can clearly see the divergences between the DOM and T&S.

http://www.screencast.com/t/bVzuYJxyJS

Regards,
Fernando

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Re: It seems there's a problem with the DOM

Postby Dave Masalov » 07 Feb 2012

Fernando,

This situation cannot be reproduced in our test environment. Please come to our Live Chat Mon-Fri at 9:00 PM EST for remote connection: http://messenger.providesupport.com/mes ... pport.html

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Re: It seems there's a problem with the DOM

Postby arnie » 07 Feb 2012

OK, accordingly to Katrin in live chat, it seems that the data transmitted by the API differs from the one transmitted by TWS, which is quite troubling to know.

The first question that pops up on my head is which one is the corrected one, the API or the TWS? Which data are we trading?

I've already send a "ticket" to IB requesting information about this. I would advise everyone trading IB accounts and using the API to check this because this is one those things that can completely skew any type of market order flow reading/trading.

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Re: It seems there's a problem with the DOM

Postby SP » 07 Feb 2012

arnie,

the times and sales from the TWS is definitely wrong. You could see it if you use the FDAX. It plots
values like 6760,3333 as it aggregates different levels and sizes.
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Re: It seems there's a problem with the DOM

Postby arnie » 07 Feb 2012

SP wrote:arnie,

the times and sales from the TWS is definitely wrong. You could see it if you use the FDAX. It plots
values like 6760,3333 as it aggregates different levels and sizes.


Yes SP.

But you can also use TWS's BookTrader. If you put it side by side with MC's DOM you'll see how they differ from each other. The traded size is where you can see the biggest difference.

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Re: It seems there's a problem with the DOM

Postby SP » 07 Feb 2012

arnie,
i have the option 'Generate a new tick if Total Volume changes' checked (unlike recommended
in the post above) else the charts sometimes went complete weird on some futures (viewtopic.php?f=1&t=9021). I dont have a difference on the Bookktrader and the MC DOM regarding the trade size shown in the middle. There are sometimes small differences in updating the bid/ask sizes.
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Re: It seems there's a problem with the DOM

Postby arnie » 07 Feb 2012

Regarding the charts, many years ago I decided that I would need a dedicated data feed since I could not trust any data provided by brokers.

Nowadays that I'm trading a market order flow strategy a dedicated data feed is a "must have" service, specially when using CDV.

More and more I'm transferring all my market reading and orders into the DOM and finding out that it's not being accurate regarding the data is really troubling me.

I've made another video where we can see the differences between BookTrader and DOM.

http://www.screencast.com/t/JNOEol38

I continue to wait for IB's response to my inquiry...

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Re: It seems there's a problem with the DOM

Postby SP » 08 Feb 2012

Except for 00:42 the MC Dom seems to show the same values and update frequency as the NT Dom.
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Re: It seems there's a problem with the DOM

Postby Dave Masalov » 08 Feb 2012

IB TWS Time and Sales shows size based on actual ticks ('Generate a new tick if Total Volume changes' is not checked in MC) while the Booktrader shows size based on the total volume ('Generate a new tick if Total Volume changes' is checked in MC).

We have also contacted IB API support regarding the discrepancy between TWS and IB API and are waiting for their response.
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Re: It seems there's a problem with the DOM

Postby arnie » 08 Feb 2012

Hi Dave.

I've just sent to Katrin IB's reply to my inquiry.

Accordingly to them, since BookTrader and Time & Sales are not mapped to the API, all calculations using the API are performed by the third party software, in this case MC, so any discrepancy its their (third party) responsibility.

At least this is my understanding from their reply.

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Re: It seems there's a problem with the DOM

Postby arnie » 08 Feb 2012

Dave just replied, and SP was right, we should have the "Generate a new tick if Total Volume changes" option in QuoteManager/Data Sources/Interactive Brokers checked.

Now both readings, TWS BookTrader and MC's DOM, are identical.

Thanks everyone.

Regards,
Fernando
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