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Best Streaming Data Provider for Aggressor-classified Trades
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Best Streaming Data Provider for Aggressor-classified Trades

  #1 (permalink)
Elite Member
New York, NY
Trading Experience: Beginner
Platform: TWS
Broker/Data: InteractiveBrokers
Favorite Futures: Gold GC
Posts: 7 since Jun 2018
Thanks: 3 given, 3 received

Best Streaming Data Provider for Aggressor-classified Trades

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.

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