Best Streaming Data Provider for Aggressor-classified Trades

Discussion in Platforms and Indicators

Updated March 3, 2019

2,067 views
0 thanks given
1 followers

Search this Thread

Best Streaming Data Provider for Aggressor-classified Trades

Begbie00 · 2019-03-03T09:31:59-05:00

Hi everyone, I've settled on the following infrastructure/platform components for my algorithmic trading: - Platform: Interactive Brokers (due to Python API and Linux IB Gateway / Trader Workstration). - Historical Data: AlgoSeek Trade and Quote (as they seem to be derived from MBO, not BBO). - Instruments: CME micro/mini futures (starting with M6E and YC ... to expand as capital allows). For a few of my signals, I am using AlgoSeek's "tagged" trades, grouped into volume (not time) bars. I believe AlgoSeek uses CME's Trade Summary Trade Aggressor field (tag 5797) to do this. Question: how would I set up a live streaming data provider that would best align with my AlgoSeek historical data (i.e. with information needed to replicated AlgoSeek's trade aggressor) so I can be sure that my live stream is apples-to-apples with all of my backtesting? I don't think Interactive Brokers really has this (or, if they do, it's not the best way for me to do this). Thanks in advance.

March 3rd, 2019, 10:31 AM	#1 (permalink)
Begbie00 New York, NY Elite Member Experience: Beginner Platform: TWS Broker: InteractiveBrokers Trading: Gold GC Posts: 7 since Jun 2018 Thanks Given: 3 Thanks Received: 3	Hi everyone, I've settled on the following infrastructure/platform components for my algorithmic trading: - Platform: Interactive Brokers (due to Python API and Linux IB Gateway / Trader Workstration). - Historical Data: AlgoSeek Trade and Quote (as they seem to be derived from MBO, not BBO). - Instruments: CME micro/mini futures (starting with M6E and YC ... to expand as capital allows). For a few of my signals, I am using AlgoSeek's "tagged" trades, grouped into volume (not time) bars. I believe AlgoSeek uses CME's Trade Summary Trade Aggressor field (tag 5797) to do this. Question: how would I set up a live streaming data provider that would best align with my AlgoSeek historical data (i.e. with information needed to replicated AlgoSeek's trade aggressor) so I can be sure that my live stream is apples-to-apples with all of my backtesting? I don't think Interactive Brokers really has this (or, if they do, it's not the best way for me to do this). Thanks in advance.