NexusFi: Find Your Edge


Home Menu

 





What are the reasons for using a separate data feed instead of using your broker's?


Discussion in Brokers

Updated
      Top Posters
    1. looks_one Fat Tails with 5 posts (3 thanks)
    2. looks_two jagui with 2 posts (2 thanks)
    3. looks_3 Arpad with 2 posts (2 thanks)
    4. looks_4 redratsal with 2 posts (4 thanks)
      Best Posters
    1. looks_one Big Mike with 7 thanks per post
    2. looks_two redratsal with 2 thanks per post
    3. looks_3 jagui with 1 thanks per post
    4. looks_4 Fat Tails with 0.6 thanks per post
    1. trending_up 8,578 views
    2. thumb_up 18 thanks given
    3. group 3 followers
    1. forum 12 posts
    2. attach_file 0 attachments




 
Search this Thread

What are the reasons for using a separate data feed instead of using your broker's?

  #1 (permalink)
 
Arpad's Avatar
 Arpad 
Hungary
 
Experience: Beginner
Platform: N/A
Trading: Forex
Posts: 34 since Dec 2010
Thanks Given: 145
Thanks Received: 9

Dear Fellow Members,

What are the reasons for using a data vendor for (“accurate”, “unfiltered”, “fast”) price data?
What do you gain compared to using the data feed of the brokerage firm where you have your trading account?

I can imagine some reasons if one is scalping 1-2-3-5 pips, holds positions for seconds… but even in this case it is not straightforward for me, so please elaborate also in this case why is better to have a separate data feed, if you get your fills based on the prices of the broker not on the data vendor prices…

Please share with us your experiences and real facts about this topic.


Many thanks.
Good trades to everyone.
Arpad

Started this thread Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
ZombieSqueeze
Platforms and Indicators
Online prop firm The Funded Trader (TFT) going under?
Traders Hideout
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
Deepmoney LLM
Elite Quantitative GenAI/LLM
Are there any eval firms that allow you to sink to your …
Traders Hideout
 
  #3 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102



Arpad View Post
Dear Fellow Members,

What are the reasons for using a data vendor for (“accurate”, “unfiltered”, “fast”) price data?
What do you gain compared to using the data feed of the brokerage firm where you have your trading account?

I can imagine some reasons if one is scalping 1-2-3-5 pips, holds positions for seconds… but even in this case it is not straightforward for me, so please elaborate also in this case why is better to have a separate data feed, if you get your fills based on the prices of the broker not on the data vendor prices…

Please share with us your experiences and real facts about this topic.


Many thanks.
Good trades to everyone.
Arpad

This obviously depends on your broker feed. Let us take the example of Interactive Brokers

-> no historical tick data, this mean you cannot load tick, range or volume charts, also means that your backtests will be inaccurate if you allow for intrabar entries
-> real-time tick data is condensed, this is an advantage (as it reduces CPU load) and an inconvenient (as you cannot monitor order flow correctly
-> real-time volume data is only estimated, that means it is basically false

If you subscribe for a decent data feed such as DTN/IQ you get

-> historical tick data to display tick, range and volume charts and to perform backtests
-> real-time tick data which is not condensed allowing to monitor order flow
-> correct volume information

If you are swing trader, the broker feed is probably good enough.

Reply With Quote
Thanked by:
  #4 (permalink)
 
redratsal's Avatar
 redratsal 
Milan (I)
 
Experience: Advanced
Platform: Ninjatrader
Broker: Kinetick
Trading: FDAX,6E,CL,YM,NQ,ES
Posts: 1,648 since Oct 2010
Thanks Given: 1,215
Thanks Received: 2,090


Fat Tails View Post
This obviously depends on your broker feed. Let us take the example of Interactive Brokers

-> no historical tick data, this mean you cannot load tick, range or volume charts, also means that your backtests will be inaccurate if you allow for intrabar entries
-> real-time tick data is condensed, this is an advantage (as it reduces CPU load) and an inconvenient (as you cannot monitor order flow correctly
-> real-time volume data is only estimated, that means it is basically false

If you subscribe for a decent data feed such as DTN/IQ you get

-> historical tick data to display tick, range and volume charts and to perform backtests
-> real-time tick data which is not condensed allowing to monitor order flow
-> correct volume information

If you are swing trader, the broker feed is probably good enough.

Also, slippage can be an issue if you're a day trader/scalper slippage can represent a big amount(this goes with your internet connection as well but having FT spoken about IB I can confirm that their slippage is terrible)

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #5 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


redratsal View Post
Also, slippage can be an issue if you're a day trader/scalper slippage can represent a big amount(this goes with your internet connection as well but having FT spoken about IB I can confirm that their slippage is terrible)

But then slippage is not linked to the data feed, but to execution. And as you cannot execute through a data feed, you need a broker, don't you?

Reply With Quote
Thanked by:
  #6 (permalink)
 
redratsal's Avatar
 redratsal 
Milan (I)
 
Experience: Advanced
Platform: Ninjatrader
Broker: Kinetick
Trading: FDAX,6E,CL,YM,NQ,ES
Posts: 1,648 since Oct 2010
Thanks Given: 1,215
Thanks Received: 2,090


Fat Tails View Post
But then slippage is not linked to the data feed, but to execution. And as you cannot execute through a data feed, you need a broker, don't you?

Wheter you use separate or same data feed/broker slippage is also linked to latency FOREX VPS Latency - A listing of latency to FOREX brokers from VPS providers

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #7 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,399 since Jun 2009
Thanks Given: 33,175
Thanks Received: 101,541

It simply depends on your needs.

If you need market breadth like TICK, TRIN, VIX etc etc, then Zen Fire or similar broker-level feed won't work, you'll need a full service feed like IQfeed.

If you need accurate bid/ask or need historical bid/ask then you probably need IQfeed.

If you need a large amount of historical data, then some broker feeds won't work - you'll need something like IQfeed.

But there are many users who don't need any of this and/or are plenty happy with their broker feed. It just comes down to your needs. If you don't know you need it, you probably don't.

You should also read this thread, a lot of comparisons between data feeds:


Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
  #8 (permalink)
 
Arpad's Avatar
 Arpad 
Hungary
 
Experience: Beginner
Platform: N/A
Trading: Forex
Posts: 34 since Dec 2010
Thanks Given: 145
Thanks Received: 9

Thanks for the answers.

They clear up some things for me. What is still not clear enough for me follows:




Fat Tails View Post
-> real-time volume data is only estimated, that means it is basically false


How is it estimated? How is this estimation differs from the volume data of a data feed provider?





Big Mike View Post
If you need accurate real-time bid/ask then you probably need IQfeed.


Isn't the broker's real-time bid/ask data the most accurate? My orders are executed at the broker's bid/ask prices, so whatever accurate we consider the data feed provider's data, actually it would make sense if I would consider my broker's data the most accurate, wouldn’t it?

Started this thread Reply With Quote
Thanked by:
  #9 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


How is it estimated? How is this estimation differs from the volume data of a data feed provider?

If you want to know, where the real-time volume data of Interactive Brokers comes from, you have to ask Interactive Brokers. I have no clue how they produce it.

However, it is obvious that it is not the correct exchange volume data, because volume changes in a significant way, if you reload the chart. Reloading the chart means replacing real-time with historical data, as I do not store real-time data in my historical data-base (option is unselected).

The historical data is close to correct, which means that the real-time volume data is definitely false.

Reply With Quote
  #10 (permalink)
 
jagui's Avatar
 jagui 
Italy - Roma
 
Experience: Intermediate
Platform: Ninja + proprietary
Broker: IB
Trading: Index futures, Forex, Stocks
Posts: 205 since Jul 2010
Thanks Given: 298
Thanks Received: 313



Fat Tails View Post
How is it estimated? How is this estimation differs from the volume data of a data feed provider?

If you want to know, where the real-time volume data of Interactive Brokers comes from, you have to ask Interactive Brokers. I have no clue how they produce it.

However, it is obvious that it is not the correct exchange volume data, because volume changes in a significant way, if you reload the chart. Reloading the chart means replacing real-time with historical data, as I do not store real-time data in my historical data-base (option is unselected).

The historical data is close to correct, which means that the real-time volume data is definitely false.


Are you experiencing this in NT or directly in TWS?

Reply With Quote




Last Updated on February 6, 2011


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts