Open Tick Feed, DrawTool Flicker, Fast Markets, Tick Pool Replaced, Max Bars

Oct 31 , 2007

Welcome to today's training class. This is Howard and I will be the trainer. Considerable progress on the Beta version of the program has been made since we last met

Open Tick:

There is a 11-01 Beta version which can be downloaded now, and the significant recent changes are listed on the top of the What's New page.  The most significant is Ensign now supports the Open Tick data feed, which is a free feed, but you still pay for the real-time exchange fees.

For example, if you only trade the CME emini exchange, you can have a feed for that for the exchange fee cost of $15 per month.

odds_on: Excellent -- thanks H

You would subscribe to Open Tick using the open tick web site, complete the exchange agreement, and Open Tick will do the billing for the exchange fee and remit it to the CME for you.  You would also have your subscription to Ensign Windows.   Open Tick does not cover all futures exchanges, as you notice on the list shown on this page.  But you can have the CME futures, or just the CME e-mini, can the CBOT e-minis, and US Stocks.  And you get the various indexes from these exchanges as well.

FF: how did it do in today's fast phased market?

I do not know how it did. I was focused on programming, and used the feeds for testing changes, and did not pay attention to markets being fast.   We will have to gather experience by using it, and form opinions thereafter.

Now, I did discover a few quirks about the Open Tick feed, but feel comfortable that Ensign work arounds for the quirks will make them a non-issue.   For, example, the daily refresh for futures used Midnight to Midnight as the chunking, instead of globex session open through day session close.   So that was giving strange ranges, and open and closes based on the price at midnight, eastern time.   Ensign implemented refreshing based on minute charts, in place of their daily refresh.  We want the daily bars in our charts to be based on globex session open to day session close, and not on a calendar day.

2nd quirk is similar to the above, that the daily Open, High, and Low for the quote page would be based on the same calendar boundary of midnight. Again, we implemented our own Open based on the globex session open, and the High on the highest since the globex open, and same for the Low. This makes the quote page values match the official exchange values you are used to seeing with other feeds such as eSignal, IB, IQFeed, DTN satellite, etc.

odds_on: I love the fact that we now can have redundant feeds for trading with Ensign -- one goes down you immediately have the other

Why Open Tick is based on a day boundary from midnight is strange, unique, and the first time I have seen such an implementation.  Open Tick is criticized on their forums by others for these 2 quirks.... and I do not know what other charting packages do about it.  Perhaps they just post what they get from Open Tick instead of implement work arounds like I have done in Ensign Windows.

odds_on: Well very happy Ensign is ahead of the curve Again... thanks

Open Tick has refresh, and that has all been incorporated into Ensign Windows as well, like refresh from any of the other data vendors.  There is lots of historical data for ticks, intra-day, daily, weekly and monthly, and that all blends beautifully into the redesign we have implemented for our databases.   So, if you have Open Tick, give it a try and help us in our Beta testing.

I implemented the futures symbol for the Setup | Manager list to be the same format as used by eSignal and our IB implementation.  So the format is root, space, month, year, Example: ES Z7

I believe Open Tick also has continuation symbols, and that is something I have yet to check out and implement, but I think their symbol is #ES as an example.  If so, I will try to have ES #F get the data from Open Tick's #ES and see how that goes.  In the current release, I do not yet support the continuation symbols, but hope to have that investigated and figured out in the next couple of days.

The new Ensign supporting the TransAct feed in parallel with any vendor feed, such as Open Tick, is a great new combination of features, and should lure some traders away from the products they have used and make Ensign Windows their product of choice.   So help spread the word about Open Tick.  The more that use it, the more quickly I will get feedback about things needing to be polished off.

odds_on: Open Ticks $15 for exchange and Ensign $40 = $55 per month for those without IB or Transact or any other data feed is good choice when trader like to use Ensign Charting and now alternative data feed.

price: Open Ticks $15 for exchange and Ensign $40 = $55 per month for those without IB or Transact or any other data feed is good choice when trader like to use Ensign Charting and now alternative data feed.

If you have TransAct you have real-time CME and would not need to subscribe to real-time CME with Open Tick.  TransAct is a broker feed, and with it you avoid all exchange fees.   So TransAct is like unto IB in having real-time feed and avoid exchange fees.

odds_on: Yes and great brokerage and Clearing Member.  Other savings too on lower commissions from them as well...

The Transact feed has been great from what I have seen so far, and it typically is a split second ahead of the eSignal feed, and has the additional tick trade detail that eSignal is known to have.   So there are several low cost alternatives to consider now: IB, IQFeed, TransAct, and Open Tick.

price: For example, in some countries in the Far East or outside USA, trader that do not have transact account , now they can have Open Tick and Ensign.  This is because over here, many do not have US based account. They have local account and like to use Ensign and now with the open tick this should helps.

MakesOwnWeather: Are there symbols differences and to which current data vendor are the symbols closest?

For Open Tick, I implemented the futures symbol format to match eSignal format (and IB format).  The index symbols have $ prefix as well, and look to be pretty standard, such as $TICK, $TRIN, $NYA.  There are lots of index symbols, and those from exchanges other than the NYSE will require an exchange suffix.  The CME indexes will have a suffix of -MT.   That does make them different that other vendor index symbols.  But the transition should be pretty easy.

MakesOwnWeather: For both Futures and Stock indices?

Yes, the AMEX index symbols will have a suffix of -A.   I implemented the NY stock index suffix of -N as the default, so -N can be eliminated on those symbols.   Thus you can use in Ensign $TICK instead of $TICK-N, though $TICK-N will work.  I just tried to make it a bit easier for the most common index symbols, which are those form the NY stocks, in my opinion.

You can use the Symbol look up form on the open tick web site to see what the exchange characters are, and add these to the end of the Ensign symbol if needed.   And as I get feedback, I can try to make Ensign better and knowing the exchanges as a default for commonly used symbols, so the suffix can be avoided.   Using a suffix is not that big of a deal, in my opinion, anyway.

Other Improvements: 

The current version fixes the draw tools flickering while being constructed on the chart.  This was an issue oft reported about the beta redesign, and it has been resolved in the 10-31 version.    So upgrade, and then I won't hear any more about it.

odds_on: yes tried the drawing tools and the gartley all working perfectly -- thanks

Also, the 10-27 version changed a characteristic about building range bars and trying to avoid inserting a zillion filler bars on a bad tick.  This impacted Index symbols that naturally have big value increments, such as the $ADD, and this was fixed in the 11-01 version as well.

@Buffy2: thank you

The 4th item on the What's New list is that options to build new bars at either session open for ticks, volume and range bars has been put back in the program.  I thought it was a good thing to force the bars to start over at session opens, but not all agreed with that opinion, so the optional check boxes to have or not have the feature have been returned to the Setup | Charts form.

Also, studies such as averages that are left or right shifted would not continue to draw correctly as the chart shifted leftward, and that behavior was fixed as well.   So, with the latest round of fixes, the 11-01 beta version should be is really good shape.

@Buffy2: thank you so so much 
odds_on: Applause !!!

I added to the top of this web page about New Features a directory of links to the various wiki pages that discuss the new feature.  The primary source of the discussion has been in 3 class transcripts over the past 2 months.  Some other pages also exist that document the new feature, such as the R-Squared regression study calculation.  So, use this page heavily, please, to teach yourself about the significant new features in the current beta version, (and which are NOT in the official release version).

Sorry that some have been confused recently to see the official version with a later upload date than the beta version, and they assumed that meant beta had been officially released.   That is not the case. We are maintaining 2 parallel versions, and official release version and an beta version.   Occasionally a change needs to be made to the official release version, and hence it gets a new upload date.   However, the official release version, though more recent in its upload date, does not have the beta release features.   Please don't be confused by which has the most recent upload date. Happens to be that the beta has the most recent upload date, and that is 11-01.

man bear: some of my charts do not show the bars in fast market.  What can be done about that?

odds_on: try lowering the number of charts and studies as well as other computer programs before a big report such as today...

odds_on: also do not have other programs open -- email etc.

Also, if you use the IQFeed data feed, then upgrade to the 4.3.0.1 IQFeed version which you can download from our web site, as that version also has efficiency improvements which means it can process a heavier volume feed than any earlier version.

berma: the main complaint with IB data feed is that they don't supply all ticks, does OpenTick supply different from IB?

Berma, I am unsure about the answer, and in doing side by side Time and Sales comparisons between TransAct feed and the Open Tick feed, I did see more ticks on the TransAct feed.   For example, I would see on TransAct tick volumes of 71 and 25 go by, and on the Open Tick it would post a volume of 96, which seems an obvious chunk of the two ticks.   I do not yet know if that is typical, and indicates a sampling rate or not.  My understanding will increase as I get more experience and learn from others who know the details about Open Tick.

As I polish off existing implementations, then I have a solid foundation and platform from which I can then resume adding new features to.  So, Price Histogram is next on the list when I can resume new features.   The Open Tick project kind of jumped ahead of the PH because of some need by our partners at TransAct.   Now that Open Tick project is finished, I am back to polishing off a short list of things and then ready to start on PH additions.

odds_on: Well I am enjoying the fruits of your labor on Transact as well.   I am sure we all appreciate your unbelievable effort on these major improvements in the program and are grateful for that.  We, are insatiable I guess -- cause we always want more and wish you God-Speed on the PH improvements. Thanks !

MakesOwnWeather: I have another question, Is there a downside to staying with the 5-10 version until after Thanksgiving when the new DB version is released if I am not having any challenges except the ones relating to strange data which I am used to and can bear for the next month?

MOW, 5-10 is fine, but we also have later versions of the official release, and you should upgrade to the latest official release.   You do not have to go to the beta series.  So upgrade to the official release of 10-26 as shown on the Download page.   We are not forcing nor encouraging a mass migration to the beta version.   We are still in beta status, and still have more significant features to add.  And once all is tested and found to be stable, the beta status can be removed and the version will replace the official release version.   See the What's New page for the official release changes over the summer.

Tick Pool Replaced: 

virt5: Howard, in the latest beta #3 in maintenance is missing?  no text.

That is correct virt. #3 was the selection to delete the Tick pool. In the beta the tick pool does not exist as it was replaced by the various database files.   So there is not a tick pool to delete.   Also, the reason why a tick pool might need to be deleted in the past is because the quote table pointers to the tick pool threads would get out of sync.  If a computer crash prevented Ensign from storing the quote table records and the tick pool file in memory.    In the new design, there are no quote page pointers any longer to any tick pool threading.  So this potential for a problem form a crash has been eliminated from the design.   But that is all behind the scene stuff that the user should not have a need to be aware of.... you just want it to work reliably, and the Beta is taking steps toward that end objective.

I may yet have a new maintenance task to add to the form, and it can then use the #3 slot.

Max Bars parameter:

Max: I have 90+ workspaces and it takes about 3-4 minutes for the initial refresh upon initialization Ensign Windows, and I often use 1 to 4 symbols per workspace. I have decided to turn on Ensign 5 minutes before I trade, and that makes everything fine.

One thing to consider is to have a smaller Maximum Bars setting now that the database collection is independent of the chart file size.   Use a smaller size like 2000 instead of an abusive size of 65530.  That will greatly improve speed.  And if and when you ever need a big chart file, you can set Maximum Bars higher again, and rebuild the chart from the database files.

daveM: I have a question regarding max bars.... can the number be as low as, say. 500 bars.?

Yes, Max bars can be a low number like 500.   I guess my theory on that topic of an appropriate max bars setting to use would be around double the number of bars you can show on the screen at once.   So if you can see 500 bars, then have max bars be 1000.  If your chart and screen size is such you would only view 250 bars, then 500 would suffice because you have view of current screen and a prior screen size.  You do want max Bars to be bigger than the number of bars to view on the screen so the studies have some bars to calculate across and stabilize prior to becoming visible at the left edge of the chart.

Max: What is default set to in max Bars?

The default for Max Bars is set by you on the Setup | Computer form.   This default is used by all new charts, and thereafter, it is a private property for the chart that can be edited on the individual chart.


See the frame labeled Max Number Chart Bars.... these are the default values for new charts.   The Tick selection is used by tick based charts, which are tick, range, volume and seconds charts.   The Minute selection is used by intra-day minute based charts.  The Daily selection is used by daily, weekly, and monthly charts. I have my Daily example at a higher value because the daily file is the database for that symbol. Daily does not have a separate database file like has been implemented for the Tick and Minute databases.   30000 daily bars would be over 90 years of daily data, and only $INDU and a couple other charts have refreshes that go that far back. Cycle Forecast Study: 

John: I could not find any info anywhere on using the cycle forecast study tool...can you tell me what this thing does

The cycle forecast study is based on finding waves in the chart file, such as X-A-B, where X and B are swing lows, and A is the swing high in between those 2 lows.   A cycle forecast can be made by measuring the X-B width, and then doing some fib rations on that width, and posting the measurement from the A swing high as the forecast.

The analogy is we are doing the Fibonacci Forecast on Time instead of on Price.  It is the same principle, but with the measuring tool turned horizontally instead of vertically.

odds_on: I use that tool and is well respected by Larry Pesavento as he is always stressing importance of measuring both time and price.

This is the Cycles Forecast study.  For each swing pattern in the chart, there will be multiple forecasts made, such as at .618, 1.0, 1.618 etc.   That is why the chart will have more arrows than swings.   What we look for is a congestion of arrows.   The green arrows pointing up were all measured from swing lows.   The red arrows pointing down were all measured from prior swing highs.   The chart is considering swings that are off the left hand side as well.

odds_on: confluence then shows greater support and resistance -- excellent

Some find the tool of little value because it has too many points marked and they overlook the confluence factor, or they are confused by having both red and green arrows at the same point.   Another way to view that is you have two time markers indicating a turn, and just disregard that fact one was measured from a prior high and the other from a prior low.

Max: Go to the Mountains Howard and take another rest and relaxation break as it is obvious the quality of your effort and your time you are putting in producing solid trading tools for us users - thank you