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


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

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  #1 (permalink)
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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

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Market Wizard
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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.

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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)

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Market Wizard
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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?

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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

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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:


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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?

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Market Wizard
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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.

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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?

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Market Wizard
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jagui View Post
Are you experiencing this in NT or directly in TWS?

I am experiencing this with NinjaTrader, which is connected to the API of TWS, but I remember I had similar problems with other software. Also I think it is not related to the fact that IB does not time-stamp the data, as the lag of a delayed time-stamp would cancel out on global volume, which is not what I observed.

I never watch the TWS charts.

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Fat Tails View Post
I am experiencing this with NinjaTrader, which is connected to the API of TWS, but I remember I had similar problems with other software. Also I think it is not related to the fact that IB does not time-stamp the data, as the lag of a delayed time-stamp would cancel out on global volume, which is not what I observed.

I never watch the TWS charts.


I remember a bug in NT7 beta when connected to MBTrading: real time forex volume was completely different than historical volume on the same chart (after refreshing the chart).
I gave up with NT (somebody wants a lifetime licence at $349?), but I'll test it in TWS on monday.

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Market Wizard
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jagui View Post
I remember a bug in NT7 beta when connected to MBTrading: real time forex volume was completely different than historical volume on the same chart (after refreshing the chart).
I gave up with NT (somebody wants a lifetime licence at $349?), but I'll test it in TWS on monday.

I was not talking about FOREX, as Interactive Brokers does not supply volume for IDEALPRO. I was talking about futures contracts, the volume of which can be easily tracked, as they are only traded on one exchange.

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