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there is an open source MDP 3.0 handler available. i am not sure if it is CME Pre-approved. that could be a barrier, but if it works, its actually almost affordable. you can then connect via Beeks or theomne direct to their exchange facing routers. you just need to pay CME professional no-display fees, and then the service fee to use the company's Exchange facing router.
So you get the speed without paying directly for a GLink. its still 10-20x more expensive than retail offerings, but its not 100x.
the other barrier is an FCM that will allow you to manage your own risk. and it is possible if you can prove you have a risk module. but who knows if they will talk to a retail guy
The better play for you would be to find a business that already dabbles in the data space but doesn't have this offering, and license it to them for whatever markup you want. They would then go out and handle the marketing and manage the retail customers, etc. If they already had hundreds or thousands of retail relationships then they can cross sell this easily.
I really do think there is under-served market segment here and solid demand, so it would be a good business model. But it would be more appropriate for an existing data supplier to add this to their service line.
So hey, if you are ever looking to diversify your portfolio even more, and you want some risk free additional revenue, there you go.
Ian
In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
CME certification only matters to your FCM at the end of the day. They have holes in their test cases too so it's by no means a guarantee that your feed handler does what you want semantically.
The approach you described will cost closer to 45-50x of IQFeed and net you about 1 ms over receiving a well-designed third party feed over WAN.
Interesting project that you're attempting. As for pricing, CME does let private persons connect directly, it's only an issue of cost and not an issue of qualification.
If you're distributing the data real-time, it's mainly the $96k/year license fee plus the 10G handoff which is $12k/month but you can share it under a vendor for maybe 10-30% of that. For this pricing most vendors I know choose not to act as the distributor and instead they license the feed handler.
Yes I have direct access. I might work on a project to provide the data on a historical basis first in case people want that, but I think live distribution is just too much work right now.
The project is something I have to do and I believe most people getting into algorithmic trading have to struggle with something similar. So hopefully the work I share can be useful and initiate some interesting cooperation.
Thanks for sharing this!
$96k/year + connectivity fees is pretty steep.
You mean most vendors are getting a "sub-license" from the feed operator who has the expensive distribution license from CME? So they interface with whatever API the feed operator provides and then provide that data via their own API.