Trading Platforms and Data

My requirements

Over 5 years I've tried many software platforms and data feeds, trying to find a technical Edge. After much trial and error, I've concluded that the primary requirements I have for a trading platform are:

When I scroll the DOM price ladder, the candlestick, footprint and historical level 2 prices must also scroll in sync. This is so I can see at a glance which level I want to place an order.
I can view and interact with the ES DOM while the trading platform automatically substitutes my orders for MES contracts.
I can configure 30 second Footprints without flashing lights, histograms and trinkets - I only care about seeing clear numbers in one color. I find footprints more convenient than manually clearing a Trades column in the DOM.
Level 2 historical heatmap with at least 1 second resolution, which can be easily viewed alongside the footprint chart. This is so that I can see if orders are being pulled or being filled.
Can connect to a live data provider with MBO (Market By Order) data and full depth of book.
Can connect to a historical data provider with no limitations on historical backfill for tick data.
Can connect to a historical data provider with at least 24 hours of Level 2 depth.
Separate system for charting and technical analysis, viewable on my mobile phone. Trading and charting are two different tasks.

I use TradingView for charting and technical analysis, to identify trends and areas of consolidation, and to plan the price levels I want to trade. When price is approaching these levels, I switch to my trading platform to view order flow and price action using a non-aggregated data feed. This method allows me to trade ES reliably on two small 13.3" laptops, something I've been practicing as I want to trade while I travel.

I prefer TradingView for charting and technical analysis because:

It runs in a web browser, so it is always available at an instant, on any device (including mobile and tablet).
Data feeds are very cheap. I can subscribe to real-time feeds for CME, NYSE, NASDAQ, FTSE and others for an extremely low cost. Although I only day trade ES, part of my strategy is to watch the sectors (NQ, XLF, XLK), so I need more than just CME data in real time.
It is easy to view multiple timeframes (e.g. 1H, 5m, 30s) in one browser window, which suits my trading style.
It provides a 2nd view on the current price, so if there is a discrepancy between Rithmic and TradingView prices, I know something is wrong and can take action.
I can use it for marking up cryptocurrency charts.

Sierra Chart + Denali Data

https://www.sierrachart.com/

Most configurable platform, does everything on my list. Concerning customer service.

Sierra Chart allows me to see the DOM, MBO Order information, Volume Profile, 30s Footprint and Level 2 Historical data at 1 second increments. Most importantly, the prices across all elements are synced, so everything is always perfectly in line. This makes it incredibly easy to see exactly where I want to place a trade, even in fast moving environments.

Surprisingly, I haven't found any other trading platform that allows me to do this.

Sierra Chart is my primary platform for monitoring order flow and placing trades. I am a C++ developer and I appreciate the Sierra Chart API.

Whilst I consider SierraChart to be an excellent product, I am concerned by SierraChart's offensive customer service and questionable policies. At one point they weren't able to connect to Rithmic due to some disagreement, and I believe the same happened to CQG. They have a policy of auto-billing more than stated, then charging a fee if you want a refund. Their public rant about the Covid conspiracy was embarrassing and I genuinely expect them to be blocked and blacklisted by another major institution in the future. I shall continue to use SierraChart as long as it does the job. But I like to ensure I have a backup platform in case SierraChart ever becomes unusable.

Denali Data

Rithmic is not designed to provide historical tick data and it does not provide any historical Level 2 data. Sierra Chart will quickly exceed Rithmic's data allowances which results in a temporary suspension. It is necessary to use SierraChart's Denali Data feed to avoid this.

Denali provides up to 15 days of historical Level 2 data for populating the Historical Market Depth study.

It is not necessary to subscribe to Market Data on the Rithmic feed with Denali. This means the $105 per month professional data fees are not required for Earn2Trade's live account.

Sierra Chart cannot use R-Trader's Plug-In mode, but with Denali it doesn't need to.

My experience with Denali has been excellent - it has proven more reliable than Rithmic. However, this is a Sierra Chart product so my concerns on customer service apply.

Bookmap

https://bookmap.com

Niche product for displaying Level 2 history.

I use Bookmap in two ways:

Running on a TV to show the big picture. I mostly watch this 'zoomed-out', so I can see where there are pools of large and long-standing orders.
As an educational tool for helping other traders understand order flow. It is very easy to explain market mechanics such as market orders, limit orders, pulling and stacking, icebergs and algorithmic activity.

Bookmap runs on a Mac. There is no native build for Apple Silicon M1 processors but there is acceptable performance on my Macbook Air M1. Loading of historical data is fast.

I purchase the Global subscription so I can connect to Rithmic. I don't require Global+ as I don't place orders on Bookmap.

Bookmap provides 1 hour of historical Level 2 data as standard. Purchasing the dxFeed historical data add-on gives 24 hours for Global, and 7 days for Global Plus. For my use case, I do not need this.

I wouldn't consider Bookmap a necessity, but I do find myself flicking between the Sierra Chart and Bookmap heatmaps and sometimes find it easier to identify areas of liquidity on one over the other.

Rithmic R-Trader Pro

https://yyy3.rithmic.com/?page_id=16

A free, essential tool for managing a Rithmic account.

I need this to monitor my account, change password, etc. I run this on a different PC to my primary trading platform. If the primary platform crashes, I can quickly exit a position using R-Trader Pro on the backup laptop. I also connect the backup laptop to a different Internet connection (4G) in case of Internet failure.

I do not connect R-Trader Pro to market data as I do not want to pay additional data fees required for two live accounts. This also reduces the data usage over 4G.

Before finishing for the day, once I've closed the primary platform I'll do a final check in R-Trader Pro to make sure no positions have accidentally been left open.

I also use R-Trader to set daily loss limits and to auto-liquidate before 15:10CT as required by Earn2Trade's rules. Instructions on how to configure this are here.

Other

Jigsaw DayTradr

Note how the Footprint, Level 2 Historical Depth and DOM are not synced and there is no global cross-hair. This makes it hard for me to see at a glance which level I want to trade at. Only the Level 2 Historical Depth (which Jigsaw call their Auction Vista) is synced with the DOM immediately to the right.

It is not possible to view ES contracts and trade MES contracts, so it is necessary to have two DOMs present and place trades on the correct DOM.

Excellent customer service and worth getting for the training material.

It is possible to connect multiple Rithmic accounts, and each DOM can choose which for data and which for execution. Jigsaw meets most of my primary requirements except the ability to sync Footprint charts with the DOM. Jigsaw does not provide any historical data service and relies on Rithmic for tick data backfill. Realistically, this means subscribing to DTN IQFeed, which is expensive. There is no Level 2 backfill, and MBO data is ignored.

It is not possible to view ES and automatically trade MES, but it is easy to place the two DOMs side-by side. The DOMs cannot be linked for scrolling, but it is possible to centre all DOMs with a hotkey, although the result is usually out by a couple of ticks if price is moving quickly.

Jigsaw was primarily designed to be the best DOM, before Footprint charts became popular. Before Footprint charts, it was necessary to watch the Trades columns on the DOM and manually reset as required. I find this is a much higher workload than reviewing a 30s Footprint.

Quantower / Optimus Flow

Optimus Flow is unable to sync prices between charts, so the DOM, Footprint and Level 2 Historical Heatmap are all out of sync. There is a global crosshair, but that doesn't display on the DOM. This makes it difficult to place precision trades quickly.

There is no historical cache, so whenever a chart is closed and opened, all historical data is lost and the chart needs to remain open for some time before there is visible data. See how the leftmost chart is mostly blank, because I just opened the chart a few minutes ago.

Quantower does not allow charts to be synced, so when I scroll the DOM I must manually scroll the footprint and historical depth. This is cumbersome when trying to scalp. It is not possible to view ES while trading MES contracts. This makes it unsuitable for working on a 13" laptop. To watch ES and trade MES would require two screens.

Optimus Flow is a derivative of Quantower, but with a specific package suited to Futures Order Flow. It is better priced than Quantower and includes Optimus Flow's own journaling system.

Quantower/Optimus Flow requires dxFeed for reliable tick data backfill. There is no Level 2 Historical Depth backfill. When you close and reopen a chart, Level 2 depth starts again with no history.

MotiveWave / EdgeProX

The DOM and the chart immediately to the left can be synchronised, but other charts cannot.

Note how MotiveWave has received historical tick data from MotiveWave's servers, but no historical Level 2 data.

I cannot customise all the DOM colors. This makes it hard to differentiate at a glance which column is which. However, note the excellent way MBO data is displayed. I find this very helpful.

I also find there are small 'bugs', for example I can remove the x between the footprint bid/ask columns but I cannot get it to persist. After a restart, the x returns, even though I've checked all the tick-boxes. Also note how the footprints are different widths. I find that annoying.

MotiveWave seems like a good choice and it does nearly everything on my list. However, I didn't like using it, mainly due to small issues. For example, it is possible to customize a color scheme, but the only two options for Bid/Ask prices for certain components are a predefined blue/green or blue/red. When displaying footprints, the width of the chart varied depending on the number of digits. Sometimes the background color of the footprint chart was slightly different at each level, for no apparent reason. Trades only show in the window they were placed, for example it is not possible to see trades placed on the 5m chart in the 30s chart. It insists on displaying the P&L ladder and trade metrics in cash terms, or in points - it is not possible to work in ticks.

MotiveWave does not allow multiple Rithmic connections, so for use on the live account it requires CME professional market data fees. It is possible to connected via R-Trader Plug-In mode without a data feed and trades can be managed, but obviously, the DOM and charts won't be updated. However, this technique cannot be used on a Mac because R-Trader does not run on a Mac. This is a shame as MotiveWave has a dedicated M1 Silicon build, and could be used for emergency management of trades if it allowed Rithmic in execution only mode.

MotiveWave has an excellent view of MBO information and shows your position in the queue. I really like this feature. However, the only way to obtain MBO data is via Rithmic, and that means paying the $105 professional fees.

MotiveWave provides its own backfill for trade tick data, so there is no concern that Rithmic will suspend the account. There is no provision for backfill Level 2 data. If Level 2 history is important, the only options are Bookmap or SierraChart+Denali. Loading historical tick data does take a long time, and the charts do not update during the backfill.

MotiveWave will sync the DOM and one chart across 2 panes, but that is the limit. It is not possible to sync the DOM + footprints + candlesticks across 3 panes.

MotiveWave has available a native build for Apple M1 Silicon.

EdgeProX is a derivative of MotiveWave but is only available to customers of the EdgeClear broker. It is cheaper and has slight customizations and additional indicators.

MotiveWave's vs Bookmap's Level 2 Historical Depth charts

Bookmap is a focused platform for viewing Level 2 historical depth, and it shows. Bookmap provides historical tick data and Level 2 historical depth backfill of 1H, 24H or 7 Days (depending on your subscription). MotiveWave has no historical Level 2 market depth service and it only starts collecting data while the indicator is open on a chart.

Bookmap is very fast when rendering large amounts of data and can display many days of data for the bigger picture. MotiveWave is a lot slower when zooming and moving around a chart with large amounts of historical market depth. The maximum history that can be displayed also seems to be limited to around 6 hours, compared to Bookmap's multiple days.

Where MotiveWave does beat Bookmap is in the customisation of the heatmap colours, including the number of shades. Bookmap only offer a small number of colour sets.

MotiveWave has a more traditional design and feels like a more rounded product, whereas Bookmap feels like a specialized niche product.

ATAS

When I tried ATAS in 2021, it had some reliability issues such as division by zero errors when using the DOM. There are some very nice features but I wasn't prepared to accept lack of reliability. First line customer service was responsive, but unable to answer detailed technical questions.

ProRealTime

When I traded stocks with Interactive Brokers, I used ProRealTime for a while instead of TWS. I found it pleasant, but it didn't offer enough to justify the cost. I wouldn't recommend it for scalping futures.

eSignal

When I used Interactive Brokers, I was looking for a data provider that offered a non-aggregated feed. eSignal is no longer relevant now I use Rithmic.

DTN IQFeed

IQFeed customer service is very good, but it is a very expensive product. It offers full depth of market and MBO, so could be used for live and historical data with MotiveWave for a Rithmic execution-only feed. However, at $205 per month, it is cheaper to pay Rithmic professional fees.