Difference between your brokers/dealers quotes and your charting applications quotes

Hi

I thought I'd create a new thread to address this issue, in order to give this debate greater coverage.

unless you trade the futures, direct market access, or tradewhatever you do trade with a marketmaker such as Oanda, CMC, Capital Spreads etc. (forex, stocks, indices) using the market makers own charts, I suppose that there will always be minor differences between your datafeed, and the tradeable prices available with your broker at any one time. i.e. Trading UK stocks with CMC spreadbet using the esignal charts with the LSE datafeed. Or, trading index futures using the Globex datafeed, but trading with CMC spreadbet. Until a time if/when charting packages have universal access to the quotes of all marketmakers/dealers - this will continue.

With forex for example, I notice that the Oanda spread on EUR/USD was always with 0-3 pips of the CMC quoted price during a short spell of observation. Therefore trading with Oanda while using the Tradestation charts (Gain Capital datafeed/tradeable prices), similar 0-3 pip differences can be expected.

Whether trading a strategy on a discretionary basis, or trading a strategy on a mechanical basis, while this may not be ideal, I do not believe that it is a huge problem, and the longer the timescale that you are trading on, thus the bigger your targeted profits, the less significant an issue this becomes. So while such a difference in prices between your charts and the price you can trade at may cause some problems on 1-minute charts, the price difference may not cause a significant problem on 10-minute charts.

Does this make sense? What is your opinion on this issue? How closely must your datafeed resemble your broker/dealers tradeable prices? Have you looked into this matter in any detail?

Cheers

jtrader.

This may be a bit premature, but it seems possible that people don't want to comment on this matter . If this is the case, please could you offer an explanation as to why people would not want to pass comment on this issue. I just do not see why people would not want to comment on this important matter that probably affects the majority of us .........

I did try to address this issue many months ago, and again got very few responses at the time.

Have I made some HUGE error, that everyone can see except me? Is the joke on me?

Do you not understand the issue I am addressing, and are unsure of how this issue affects you, don't want to look stupid, and so are wary of making a comment in case you end up being criticised by other members?

I'm not being funny, I just cannot believe that no T2W members have an opinion on this important issue that probably affects the majority of private traders. Come on guys, help me out, who wants to get the ball rolling ........................................



Cheers

jtrader.

Hi
I use Sharescope Gold & i have noticed that some prices are different to my spread bet Co. Don't know why, but need to be carefull when adjusting stops etc not to be caught out.

A

I use www.interactivebrokers.com and the charts and prices come from the same source (themselves) so I do not have this problem...

JonnyT

Thanks Panda

so for you is it simply a case of obeying the charts, and when the charts tell you that you should enter and exit a trade, you do this regardless of the spreadbet price?

Or, do you ever let the spreadbet price affect your decision on whether to enter/exit a trade that your charts signals? If so, in what way, how big a difference between the two prices would there need to be?

Cheers

jtrader.

Hi jtrader,

im afraid it's a bit of everything you suggest, but i guess i would pay more attention to the chart. I had not given it much thought to be honest & it was only when i saw you're post that i realised that this was not uncommon.

I have seen a 5 point diff this week which (according to the chart ) should have put me into profit & adjusting my stop, but because of the diff i have not (yet) moved my stop.I didnt notice this diff on entry.

As i am still a learner and i only take small positions i am not sure how to address this situation, i am too busy getting to grips with everything else.

However i would be interested to hear other peeps take on it.

Sorry i can't offer any help.

Regards A

Hi panda

I used to use esignal for intraday trading of UK stocks, using a discretionary and manual trading strategy. The LSE datafeed in esignal plotted the price of trades going through, rather than the bid or offer price that was present on level 2 at the same time. As a result, the price was always around about the same level as my CMC quotes (which, in turn were usually exactly the same as SETS level 2 quotes for many FTSE100 stocks), but often not quite the same. You'd tend to get spikes that might be as big as 3-5 pence away from the CMC tradeable prices.

I did find this a distraction, especially on smaller timescales like 3-minute charts, where your targeted profits are smaller.

I use the Interactive brokers feed as well, so no real problems. I have noticed that when I used the feed through Ensign Charts, there was no delay but with Sierra and Quotetracker, there is a delay of a fraction of a second from the IB quote to what I see on the chart. I used to use Q charts but the delay was longer. I still use livecharts, from quote.com and they have a delay of about 3 seconds.

I also wonder if the quotes from interactive brokers have a slight delay as they travel from the US to my computer. Perhaps someone trading in the US would see the quote a fraction of a second before I do. It is still slightly quicker than CMC but not enough to take advantage of it.

jtrader said:

Hi panda

I used to use esignal for intraday trading of UK stocks, using a discretionary and manual trading strategy. The LSE datafeed in esignal plotted the price of trades going through, rather than the bid or offer price that was present on level 2 at the same time. As a result, the price was always around about the same level as my CMC quotes (which, in turn were usually exactly the same as SETS level 2 quotes for many FTSE100 stocks), but often not quite the same. You'd tend to get spikes that might be as big as 3-5 pence away from the CMC tradeable prices.

I did find this a distraction, especially on smaller timescales like 3-minute charts, where your targeted profits are smaller.

Click to expand...

I think you'll find that all feeds relating to LSE prices will show the last traded price, rather than the spread - it's just the system they use. Most of the time there's little or no discrepancy between the two, but it is perfectly possible for the bid and offer to move without any trades going through, and this is what you were experiencing.

This obviously won't apply to SB feeds or any others who make their own prices.

Simon

turtle trader said:

I think you'll find that all feeds relating to LSE prices will show the last traded price, rather than the spread - it's just the system they use. Most of the time there's little or no discrepancy between the two, but it is perfectly possible for the bid and offer to move without any trades going through, and this is what you were experiencing.

This obviously won't apply to SB feeds or any others who make their own prices.

Simon

Click to expand...

Hi Simon

the CMC spreadbet prices on most SETS FTSE100 stocks did match level 2 prices, on a second by second basis, for the majority of the time. On some of the less popular, and higher priced (quicker moving) FTSE100 stocks, CMC did often add .25-.5 pence premium to the spread, but for the likes of BARC, LLOY, during 2003 at least, they did more or less always match L2.

jtrader said:

Hi Simon

the CMC spreadbet prices on most SETS FTSE100 stocks did match level 2 prices, on a second by second basis, for the majority of the time. On some of the less popular, and higher priced (quicker moving) FTSE100 stocks, CMC did often add .25-.5 pence premium to the spread, but for the likes of BARC, LLOY, during 2003 at least, they did more or less always match L2.

Click to expand...

Yes - CMC should, under normal circumstances, relate very closely to the L2 spread - it's the 'official' price feed (oddly enough) that can vary. It's much more noticable on lesser traded stocks where, for example, you might not get any trades at all for 5 minutes, but that doesn't mean that the market still values the stock at the same level. The price may have risen or fallen by any amount, but if no trades have been placed a chart based on the LSE feed will still show the price as it was at the last trade.
The same applies to all LSE stocks, but you're less likely to notice it on the more active ones because they're traded more regularly and therefore the last traded price is more likely to be at, or very close to, whatever the current L2 spread is.

Simon

Yes simon

I remember being at first puzzled by all the prices going through on the esignal charts that were different to L2, while at the same time as the L2 bid or offer may have had a large chunk bitten off. But then I learnt that the datafeed displayed all trades that were going through, including market orders (not visible on L2) and not just the visible limit orders on L2.

not sure this really fits this thread topic, but here goes: does anyone else see a 175 pip spike on their oanda screens yesterday at 1:45 eastern? Oanda is a java platform, so the data is all on their server, not stored on my machine. other datafeeds do not show this bar.
thanks,
JO

Yes, as you say, it shows on Oanda but not on my other feeds. I hope they didn't stop anybody out on the strength of it!

Simon

JumpOff said:

not sure this really fits this thread topic, but here goes: does anyone else see a 175 pip spike on their oanda screens yesterday at 1:45 eastern? Oanda is a java platform, so the data is all on their server, not stored on my machine. other datafeeds do not show this bar.
thanks,
JO

Click to expand...

I've emailed them to ask if they are going to fix it.
JO

The spike was only seen on oanda. They have since fixed all orders that were affected.

Nathan

Yeah, but I hope they fix the charts too
JO

Bigbusiness said:

I use the Interactive brokers feed as well, so no real problems. I have noticed that when I used the feed through Ensign Charts, there was no delay but with Sierra and Quotetracker, there is a delay of a fraction of a second from the IB quote to what I see on the chart.

Click to expand...

BB Quotetracker up-dates its charts and data every 0.5 seconds by default, so if a price change comes in just after an up-date then you might see a delay before the chart moves. In [Preferences] [Miscl] I have changed this to 0.25 secs on pc., but the pay-off is increased cpu usage.

Also watch your CPU usage on Task Manager at times of rapid market movement. If it hits 100% you will get a big lag in chart updates.

pete