Blog

Record data volume spikes on 6th Feb 2018

Posted on March 29, 2018 by Adam Smith

As many industry participants observed, the 6th February 2018 was an interesting day in terms of record high trading and data volumes.

The CME Group announced a new record high of total open interest record of 129.5 million contracts, and a new daily volume record for its options complex of 9.2 million contracts.

For Nanotick, we observed a significant data spike on the CME MDP3 feed on the 6th February – this was particularly heavy on the MDP3 Channel 311 Options channel. The total quantity of CME MDP3 data packets on Channel 311 for the single day of the 6th February 2018 was equivalent to the total of the data packets for the entire previous week - 165,790,115 to be concise.


And we know this number because we analyse the Nanotick capture plant for any missed data packets to ensure lossless historical Tick and Price data is available to Nanotick subscribers.

For anyone who suffered data loss in their own capture plants during this peak, we'll be happy to help

0 CommentsContinue Reading →

Building XGBoost Backtests with nanoBars [Video]

Posted on March 22, 2018 by Adam Smith in backtesting

In our first video demo, we use the advanced features of nanoBars to simulate trading based on models which use XGBoost. nanoBars are enriched intraday bar data derived from high resolution Nanotick tick data. They contain high frequency book pressure and trade signals derived from the raw tick stream as well as precise market spread information. 

1 CommentContinue Reading →

Is Your Low Quality Volume Data Damaging Your Trading Strategy Backtest?

Posted on February 28, 2018 by Adam Smith

Strategy and Signal Research with nanoBars & Python: Part III

In a previous blog post we explained how to create naive standard bar data from nanoBars. We then went on to look at some signal ideas that predicate upon the nanoCube and nanoSlice data to generate orthogonal alpha.

0 CommentsContinue Reading →

Visualisation of nanoBars with Bookmap

Posted on February 13, 2018 by Rob Woodmansey

What is Nanotick ?

Quite simply the most comprehensive source of atomic tick data for all CME group futures and options available. Captured at the Aurora data centre with nanosecond atomic clock synchronised time stamps.

0 CommentsContinue Reading →

Are All Your Alphas One Alpha Source?

Posted on January 18, 2018 by Adam Smith

Strategy and Signal Research with nanoBars & Python: Part II

In a previous blog post we described how to load nanoBars data artefacts into python to make them ready for research and analysis.

In this blog we build on this and we examine standard indicators that are typically generated from traditional naïve intraday bar data containing only open, high, low, close and volume values (OHLCV).

We evaluate these indicators and then compare them to potential sources of alpha contained in the extended and enriched nanoBars data artefacts.

0 CommentsContinue Reading →

What is Trading Slippage & Modelling Strategy Execution Without the Full Tick Data Stream

Posted on January 11, 2018 by Adam Smith

0 CommentsContinue Reading →

How do I simulate passive executions with intraday bar data?

Posted on January 5, 2018 by Adam Smith

A traditional industry standard market data bar contains Open, High, Low and Closing traded prices and traded Volume (OHLCV). They are constructed without consideration for the bid offer spread in the market. This can induce errors when using intraday and daily bar data to simulate the execution of a strategy.

0 CommentsContinue Reading →

Strategy and Signal Research with nanoBars & Python: Part I

Posted on December 19, 2017 by Adam Smith

Nanotick's proprietary timestamping solution means our nanoBooks Replay and Raw packet capture products have the most precise and consistent timestamps available. These data formats give maximum resolution but are necessarily very large and require decoding logic to render market data events from them. Whilst this is perfect for simulation and replaying trading strategy behaviour from live they are not ideal for researching signals and strategy ideas.

0 CommentsContinue Reading →

Nanotick with Bookmap

Posted on December 12, 2017 by Rob Woodmansey

Every now and again you come across a solution looking for a problem. This certainly was the case with Bookmap. However when we initiated the Nanotick development project we knew that we had the right tool for the visualisation of the data.

0 CommentsContinue Reading →

Introduction to nanoBars

Posted on December 5, 2017 by Adam Smith

We are all familiar with graphical representations of historical price data as both bars and candlesticks. They contain the open, high, low and closing price within a specified time period. The lapse time between the opening and the closing price of a bar is known as the width. The traded volume within that time period may also be included.

0 CommentsContinue Reading →