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Market Data feeds - SIP, Direct Edge, etc vs Nanex/IQFeed


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Market Data feeds - SIP, Direct Edge, etc vs Nanex/IQFeed

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  #11 (permalink)
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@artemiso, any experience with QuantQuote TickView? I like that it's native Linux.

https://quantquote.com/live-data-feeds

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  #12 (permalink)
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For reference, last six months in SPY and AAPL (as examples) by market center:

 
Code
MariaDB [ticks]> select `TradeMarketCenter`, SUM(`LastSize`) AS `Volume` from `SPY` group by `TradeMarketCenter` order by `Volume` desc limit 10;
+-------------------+------------+
| TradeMarketCenter | Volume     |
+-------------------+------------+
|                11 | 3236266249 |
|                19 | 3142951065 |
|                 5 | 2548746271 |
|                18 | 1646868282 |
|                26 |  706759502 |
|                28 |  380944154 |
|                25 |  376350853 |
|                12 |  324606275 |
|                24 |  316692655 |
|                 8 |  246940378 |
+-------------------+------------+
10 rows in set (40.31 sec)

MariaDB [ticks]> select `TradeMarketCenter`, SUM(`LastSize`) AS `Volume` from `AAPL` group by `TradeMarketCenter` order by `Volume` desc limit 10;
+-------------------+-----------+
| TradeMarketCenter | Volume    |
+-------------------+-----------+
|                19 | 777953516 |
|                 5 | 613087521 |
|                11 | 275470780 |
|                26 | 220962634 |
|                18 | 166693859 |
|                24 | 125034652 |
|                12 |  61140041 |
|                 8 |  55905926 |
|                28 |  51714050 |
|                25 |  40491254 |
+-------------------+-----------+
10 rows in set (11.55 sec)
 
Code
MariaDB [ticks]> use meta;

Database changed
MariaDB [meta]> select * from ListedMarkets where `ListedMarkets` IN (11,19,5,18,26,28,25,12,24,8);
+---------------+----------+-----------------------------------+
| ListedMarkets | Name     | Description                       |
+---------------+----------+-----------------------------------+
|             5 | NASDAQ   | Nasdaq                            |
|             8 | CHX      | Chicago Stock Exchange            |
|            11 | NYSEARCA | NYSE Archipelago                  |
|            12 | BX       | Boston Stock Exchange             |
|            18 | BATS     | Better Alternative Trading System |
|            19 | NTRF     | Nasdaq Trade Reporting Facility   |
|            24 | NYSETRF  | NYSE Trade Reporting Facility     |
|            25 | EDGA     | Direct Edge A                     |
|            26 | EDGX     | Direct Edge X                     |
|            28 | BYX      | BATS Y Exchange                   |
+---------------+----------+-----------------------------------+
10 rows in set (0.01 sec)
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  #13 (permalink)
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Big Mike View Post
@artemiso, any experience with QuantQuote TickView? I like that it's native Linux.

https://quantquote.com/live-data-feeds

Mike

TickView does seem to show the market center, but does not seem to indicate the trade conditions (like IQFeed).

I plan to contact them for a trial once I have some time to dedicate to this.

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  #14 (permalink)
Market Wizard
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Big Mike View Post
@artemiso, any experience with QuantQuote TickView? I like that it's native Linux.

https://quantquote.com/live-data-feeds

Mike

I wouldn't recommend QuantQuote for your purposes. They only provide the historical/live consolidated feed and IQFeed is better priced for those features.

It's not a seasoned group. I happen to know one of the main persons (a 25 year old physics major out of Caltech) behind QuantQuote through the CERN network and he is currently focused on crowdfunding a secure email product rather than QQ. From what I know of their credentials, they don't have a strong development team. Also, If I'm not wrong, QuantQuote is associated with Sam Barnett's (Sam Barnett SBB Research Group - Business Insider) group - I don't know for sure but I'm guessing that they are just selling a capture of SBB Research's live data.

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  #15 (permalink)
Market Wizard
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Part of the fun is the implementation of the storage system to store everything You never know when you may need it.

Trading fulfills many things for me, not just a paycheck.

Mike

Yes of course.

Speaking of which, I need to thank you for the tips designing my storage system a long way back.

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  #16 (permalink)
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Not to stray off-topic, but also look at implementing performance/failover from a software standpoint and not just hardware. Hardware RAID active/active is great and you can build cheap SAN's that do that, but you can also significantly increase performance by using a MySQL cluster.

MariaDB is from the author of MySQL, and they have their Galera cluster product with multi-master active/active support. Combine that with TokuDB engine and you can dramatically improve INSERTs over a typical InnoDB config.

I am considering converting from InnoDB to TokuDB.

Mike

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  #17 (permalink)
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artemiso View Post
I wouldn't recommend QuantQuote for your purposes. They only provide the historical/live consolidated feed and IQFeed is better priced for those features.

OK well that's a shame. I really liked the native Linux client. It seems NxCore is Windows based, like the IQconnect handler.

Any other suggestions where I can get 5000 tickers or so in real-time, and pick-up historical data for any missed ticks or maintenance at the end of the day?

Also really want splits and dividend adjusted data, right now I am handling it all myself using multiple data sources (ie Yahoo) and back adjusting the data, and I would like to eliminate this step.

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Big Mike View Post
OK well that's a shame. I really liked the native Linux client. It seems NxCore is Windows based, like the IQconnect handler.

Yes, from what I see of NxCore's API documentation, it is Windows-based.

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Big Mike View Post
Trading fulfills many things for me, not just a paycheck.

Paycheck must be No1. priority; or suffer the consequences


Big Mike View Post
Part of the fun is the implementation of the storage system to store everything You never know when you may need it.

Do want to sell it back to the exhanges if they get hacked by the chinese?

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