Trading ES on IB using dxfeed data

JoshS

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Hello!

I am attemping to utilize the superior data from dxfeed while still trading on my IB account.

the issue I'm hitting is that I don't know how to properly load data for ESU1 on IB, which is /ESU21 on dxfeed.

I tried adding it as a connection, but get duplicate orders if I use /ESU21 + IB (they never submit)
alternatively I don't get proper data loading if I used ESU1 + dxfeed

1627276032427.png

1627276072224.png

what is the right way to go? I was using the Trade Manager when just IB alone, but it's data is not great... so hoping to get up and running IB + dxfeed

any and all help appreciated!
 

JoshS

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For additional info on the data being incorrect -- it only shows the most recent bar in after hours, ignoring all prior. This makes it so I cannot use any of my orderflow tools in MotiveWave. Here's an example of what I'm seeing
1627277295605.png

begs to ask -- is there a much better way to do futures in motivewave? I'm down to switch brokers/data providers if absolutely required.
 

JoshS

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1627280140540.pngThis hack works, but not ideal. still happy I can see proper P/L, order labels on the chart for /ESU21
I'd love to just have a single chart open however.
 

jspot99

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I trade (have traded) Emini futures and US equities with MotiveWave, IB and dxFeed. Here’s my findings FWIW:

Emini – could never get this to work reliably with IB. Similar problems to what you’re describing. Eventually, I gave up on IB and went with Rithmic data and Ironbeam (broker). Rock solid and super reliable. Yes, it’s another brokerage and the commissions are higher (although competitive for a dedicated futures broker) but I now have peace of mind on order execution. OCO orders with multiple exit strategies work flawlessly and Rithmic data includes full market depth.

dxFeed – there is a known problem with how dxFeed bid/ask data appears in MotiveWave. It seems the bid/ask values get muddled. One example: for US equities, everything in level 2 (Order Book) shows as ask. Note that MotiveWave shows this data just fine from Rithmic, so it’s a dxFeed problem. I created a support ticket with MotiveWave on this a few weeks ago and they are looking into it.

IB order execution – generally, I find this to be unreliable. I especially have problems with setting and moving stop losses (I get duplicate order ID errors and order not found errors).

I tried connecting both NinjaTrader 8 and Quantower to the IB API and continued to have problems. I am not a fan of NT's or Quantower's UI, but you could test and see where the problem lies in your use case.

Bottom line – I suspect IB’s API is the problem. I tried changing several configuration settings in TWS but to no avail. My conclusion is that the IB API works for low frequency execution, but it's just not reliable for scalping or other fast day trading.

I am in Canada, so my platform/brokerage choices are limited. Moving forward:

- For futures, I will stick with MotiveWave + Rithmic + Ironbeam.

- For equities, I am probably going to throw in the towel and go back to DAS Trader Pro + IB (DAS supports direct order execution while using IB account funds) or try TradeZero. Unfortunately, many of DAS’ features are outdated, but I will take reliable execution over a modern interface.

Unfortunately, I don’t have a real solution to offer. But hopefully this information helps.
 
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JoshS

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Hey jspot99,

Thanks for sharing your experience. As I'm quite interested in futures trading, it sounds like I should be switching over -- possibly on both fronts.

I've heard that both Rithmic and QCG are good matches for futures, with Rithmic costing a bit more in fees but being better overall.
I'll look into Ironbeam + Rithmic as it has been working well for you.

Once again, I appreciate your response :)
 

JoshS

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Follow-up question: Ironbeam isn't listed in the providers list for motivewave -- does it end up just being that you'd select Rithmic and the account is via Ironbeam?
 

jspot99

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I opened an account with Stage5. For BC-Canada residents, Stage5 uses Ironbeam for clearing.

So Stage5 is the brokerage, but the transactions actually are processed through Ironbeam, and I log into Ironbeam to view/download transaction records.

This arrangement seems to be common for several US-based futures brokerages that serve Canadian residents. I think AMP and Optimus do something similar.
 

JoshS

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Ahh. I'm Canadian, but a US resident -- might be that I go through IronBeam directly.
 

JoshS

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signed up with IronBeam -- they called and made sure I didn't have questions -- hooking me up with Rithmic CME (I'm trading ES and NQ)
Can't wait to try the orderflow tools with full book!
 
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