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MBT/EFX Quote Data

  • Post #1
  • Quote
  • First Post: Feb 27, 2008 9:20am Feb 27, 2008 9:20am
Hi,

i'm looking for MBT/EFX live account holders that are interested in harvesting live quotes from MBT 24/7 and are willing to share the data with other members of the group - in case someone has an interruption in the harvesting process (internet connection outage etc.), other members would supply him with the missing data.
The goal is to get data without any holes that would be usable for tick by tick backtesting (even using Level 2 data if desired).
I have written an application that is able to harvest the data (both Level 1 and Level 2) from several quote servers, recover from disconnects, check the correctness of the data received etc.
I will give the application to anyone that is willing to participate and share the data.

Anyone interested please send me a PM, i will get in touch with you.

cheers
RoBiK
I'm not insane; my mother had me tested.
If I wanted to trade at the same time that your program is running, would I have to arrange a second login username?
your data will always have gaps with mbt/efx since they have scheduled outages twice a day. 5pm and midnight eastern. 5-10 minutes each. No way around that gap.
Quoting drummer486
If I wanted to trade at the same time that your program is running, would I have to arrange a second login username?
That's what I did. I capture quotes, using two live logins linked to one account (to avoid issues using a demo feed). Send them a request, and they set it up in a day or so.

I'm not running RoBik's tool, though I am interested.
Hi guys,
Quoting drummer486
If I wanted to trade at the same time that your program is running, would I have to arrange a second login username?
the secondary login is indeed necessary... if you try to connect to the same server twice, the first connection stops receiving data.
Also it needs to be a live account, not a demo. Demo data is useless because anyone can put up a demo order and that order is reflected in the quotes, so the quotes do not represent real market.
Quote
your data will always have gaps with mbt/efx since they have scheduled outages twice a day. 5pm and midnight eastern. 5-10 minutes each. No way around that gap.
These outages are no problem, because it is the order server that is down, not the quote servers. Anyway, if i want to trade with MBT, than if there are outages and if banks pull their orders for a few minutes, than that is how it is and my automated system must be able to handle it.

Now i am going to answer the PMs i received. I have prepared a ftp server where the software is ready to be downloaded and where data can be uploaded if needed. I also have uploaded all my data to the site, that i harvested until now (started in july 2006... until now over 8GB of compressed data and counting )

cheers
Robik
I'm not insane; my mother had me tested.
RoBiK, could you write an program to use the MBT quote server data with my charting software..Ensign and Fibonacci trader, I am tired of the free fxcm data they both supply, even thou it fun to watch the real market price on the MB quote feed , and watch the FXCM data candle lag , 5-15 seconds, before they wip it to the real market price .

Actually they make the candle tick down a few times, most likley to get a poor trader to go short before they wip it up to the real market. Manipulation is a art form you know.

Thanks in advance
I see that Jleblang is reading this thread...maybe he can say if its possible to pull quote data from my navigator, since the data is on my computer anyway..and feed it to my charting aplication. Fibonacca trader can use DDE server info..

Thanks .
Quoting seeit
I see that Jleblang is reading this thread...maybe he can say if its possible to pull quote data from my navigator, since the data is on my computer anyway..and feed it to my charting aplication. Fibonacca trader can use DDE server info..

Thanks .
I guess the navigator has no DDE capability.
I have looked at Esign, and it seems that it has no possibility to use custom quotes source. Fibonacci can connect to custom source over DDE, so one could write an application that would make a DDE bridge between the MBT Quotes server and Fibonacci.

cheers
RoBiK
I'm not insane; my mother had me tested.
Thank you for the info RoBiK. I will put contact info in my profile if you ever had free time to do this.
Quoting RoBiK
I have prepared a ftp server where the software is ready to be downloaded and where data can be uploaded if needed.
where, please?
your ftp address, I mean.

Thank you.
I realized the weakness of my request for MB quote server data is that they do not supply history back fill. Thats why RoBik is trying to capture data amoung friends.

Have you concidered that EFX uses the same mb quote server, but also will have charting, feed with the MB quote and maybe have MB back filling.
Quoting Zen
your ftp address, I mean.

Thank you.
Hi Zen,
if you have a real MBT or EFX account and are able to run the application 24/7, than send me a PM with your contact information and i will send the info to you.
Quoting seeit
I realized the weakness of my request for MB quote server data is that they do not supply history back fill. Thats why RoBik is trying to capture data amoung friends.

Have you concidered that EFX uses the same mb quote server, but also will have charting, feed with the MB quote and maybe have MB back filling.
I'm not particularly interested in charting and i doubt we get backfill on the tick data from MB anytime soon. EFX is just an IB for MBT, so on the backend the infrastructure is the same (same quotes source).
The reason why i have written this application is, that harvesting quotes using the navigator api is pretty unreliable. MBT quote servers often drop connection especially during fast market moves (those are exactly the times where tick data is of most importance), which suggests that MBT has an infrastructure problem with the quotes distribution under heavy load. I do not expect that they solve these problems in the near future, so i will do my best to work around these problems with my solution.

cheers
RoBiK
I'm not insane; my mother had me tested.
Quote
If you have a real MBT or EFX account and are able to run the application 24/7

Not yet. Planning on EFX as soon as possible. I'll contact you again when I did. Thanks, Robik.
2008-02-29t20:00:00.16 1|1003=nzd/jpy;2006=3000000;2014=15:00:00;2015=02/29/2008
2008-02-29t20:00:00.16 1|1003=aud/nzd;2002=1.1676;2003=1.1676;2005=5000000;2006=3000000;2056=1.1676;2013=20020;2014=15:00:00;2015=02/29/2008
2008-02-29t20:00:00.27 2|2024=o;2033=f;1003=usd/jpy;2016=tdfx1039700000;2017=20011;2018=103.97;2019=11000000;2020=15:00:00
2008-02-29t20:00:00.27 1|1003=cad/jpy;2005=7500000;2014=15:00:00;2015=02/29/2008
2008-02-29t20:00:00.27 2|2024=o;2033=f;1003=gbp/jpy;2016=tdfx2067300000;2017=20011;2018=206.73;2019=3030000;2020=15:00:00
2008-02-29t20:00:00.27 2|2024=o;2033=f;1003=gbp/jpy;2016=tdfx2066700000;2017=20010;2018=206.67;2019=3005000;2020=15:00:00
2008-02-29t20:00:00.27 1|1003=usd/jpy;2005=10500000;2014=15:00:00;2015=02/29/2008
2008-02-29t20:00:00.27 1|1003=usd/cad;2006=2000000;2014=15:00:00;2015=02/29/2008
2008-02-29t20:00:00.27 2|2024=o;2033=f;1003=usd/cad;2016=tdfx09832000;2017=20011;2018=.9832;2019=2000000;2020=15:00:00
2008-02-29t20:00:00.27 2|2024=o;2033=f;1003=usd/cad;2016=tdfx09833000;2017=20011;2018=.9833;2019=12500000;2020=15:00:00
2008-02-29t20:00:00.27 2|2033=f;1003=nzd/usd;2016=tdfx07994000;2017=20011;2018=0;2019=0
2008-02-29t20:00:00.27 2|2033=f;1003=nzd/usd;2016=tdfx07984000;2017=20010;2018=0;2019=0
This is another pain i have with mbt/efx.

How come its our own retailers who are providing such data? Whats so hard abt getting a server to offer 72 hours of backfilled tick data to customers?

RobiK great work! PMed you.

jest
Bump! After one year, the request/offer is still actual.
I'm not insane; my mother had me tested.
Historical tick, minute and daily data is now available via api on an alpha basis. Has been since months.
Quoting shrike
Historical tick, minute and daily data is now available via api on an alpha basis. Has been since months.
I will have to check out the API. It seems that the records contain only level one data, no level two... but i would have to get a data sample to check it out.
Shrike, can you comment on the quality of the data? How far back does it go? Any gaps or inconsistencies? Is the data somehow filtered or is it the exact copy of the real time data? Any discrepancy from real time data stream would be a show stopper for me.
thanx
I'm not insane; my mother had me tested.
Quoting RoBiK
I will have to check out the API. It seems that the records contain only level one data, no level two... but i would have to get a data sample to check it out.
Shrike, can you comment on the quality of the data? How far back does it go? Any gaps or inconsistencies? Is the data somehow filtered or is it the exact copy of the real time data? Any discrepancy from real time data stream would be a show stopper for me.
thanx
As far as i can tell, its unfiltered live data, including spikes that occur often around roll-over time. I didn't check how long it goes back really. A few months for ticks. Ticks only contain level-1 bid/ask data and their size.
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