Welcome to NexusFi: the best trading community on the planet, with over 200,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- discounts are available after registering.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
I am looking into obtaining a direct market feed. I could use some education in this area on SIP, consolidated, Direct Edge, etc.
I am not latency sensitive but do want to receive all tickers in real-time. I would also like to know options regarding historical data (daily, minute, tick) with these subscriptions.
Current markets I receive are below for reference:
I currently am using IQFeed and am exploring options for something more robust. I know that IQFeed is sourcing from Nanex, so that is one consideration. But I also wanted to compare that to a direct feed from the exchanges.
I have a two fold problem, historical and real-time. On the historical side I am facing problems with consistency, for example IQFeed does not provide dividend adjusted or consistent split adjusted data. On the real-time side, I am up against IQFeed limits for simultaneous tickers.
Perhaps there is a better solution somewhere in the middle, without going to the Exchanges directly? I've not explored alternatives like Barchart or CQG. I'm only aware of NxCore and the reason I listed it was because I know they provide a very flexible API (important to me, as you mentioned I am a one man shop). I am not sure beyond that.
I think IQFeed cannot be beat for typical retail, but I am starting to move beyond the typical scope. I'm not sure if Eric from @nanex will chime in here or not, but I'll shout out to him and see if he can shed some more light on the features and limitations of NxCore from a historical and real-time perspective.
By the way Mike, another common way around this is to enter a trading arrangement with a prop shop and post your trading capital as first loss capital. Because a prop shop is a single entity, you won't need to pay exchange license fees for receiving the direct feeds because it's generally considered "internal distribution" if you receive it, and the per user/terminal fee for most market data vendors is trivial. Of course, the prop shop may treat it as a billable or cost allocation, but it's usually cheap.
They may take a cut of your PnL, but if you do the cost-benefit analysis: perhaps the improved data + cost savings exceed the PnL share + counterparty risk.
By the way, by "prop shop" I don't mean those trading arcades that call themselves a "prop shop" but charge ridiculous amounts for "training" and put you with a whole bunch of part-time, daytrading click traders. A good firm that I know in this area has a $250,000 account minimum balance and they allow you to use SR Labs's market data and order execution product - which is excellent.
A few of those vendors I mentioned store a rolling 1~ week archive for you to "recover" any missing data. I honestly think it's better to capture everything live, though.
Those vendors I've mentioned will also provide you with split factors, dividends etc. on a programmatic basis, as a market data field (in a traditional row-oriented database format, it would be alongside "price" and "volume").
Also, about the simultaneous tickers, I share your compulsive hoarding - but you know, you don't *really* have to capture everything. That said, Activ doesn't have a ticker limit - they price by exchange/venue.
To clarify, there is no limit on the historical side. I grab everything each night and backfill. But I am limited to real-time capture of 1800 symbols by IQFeed.
You never know when you may need it.