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Consolidated Order Book Feed - Suggestions?
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Consolidated Order Book Feed - Suggestions?

  #11 (permalink)
Elite Member
Christchurch, New Zealand
 
Futures Experience: Beginner
Platform: SC
Broker/Data: IB, BC, Dx Feed
Favorite Futures: US Equities
 
Neo1's Avatar
 
Posts: 422 since Jul 2014
Thanks: 470 given, 470 received


NoCanDefend View Post
Can anyone suggest a consolidated order book feed provider for equities?

I'm looking for deep book data from Nasdaq (TotalView), ARCA, Bats (PITCH) and Direct Edge exchanges consolidated onto one display. Ideally, the display would include filters and analytics so I can adjust how the data is represented. And, I'd like the ability to export the feed into Excel so I can generate my own analysis - e.g. bid/ask ratios, volume by exchange, quote/sec data, etc..

These feeds exist but so far it seems that they are only available to institutions.

Nasdaq now has UltraFeed:

NASDAQ OMX UltraFeed

Interactive Data has a Consolidated Order Book:

http://www.interactivedata.com/uploads/File/2012-Q4/trading/InteractiveDataOrderBookConsolidator.pdf

and IBM's Websphere Front Office has a Consolidated Book solution:

WebSphere Front Office for Financial Markets, Version 3.0.4

Nasdaq Data and their 3rd party distributors won't even quote a price. ID only has prices for institutions,
and it looks like IBM's platform is only sold to data providers for resale.

At the retail level, IB offers TotalView and ARCA for $25/month ($15 and $10), but there's no ability to add other exchanges. IQFeed only has OpenView (basic Nasdaq level II) and their Nanex partner doesn't have an a la carte option for their full market data feed, I asked.

Getting the data directly from the exchanges doesn't look feasible either - BATS and EDGE are priced for institutions only and I don't have the software to aggregate the book data from multiple exchanges anyway.

So, if anybody knows where to get this data at a reasonable price I'd love to hear about it.

As for order book's data usefulness, please feel free to comment on that as well. But, I'm convinced that it is useful for my purposes. Algo traders seem to think so too, since it looks like they are incorporating these high-end book feeds into their trading systems.

Thanks for any input.

Mark

So what was your solution? Did you end up getting Bats & Edge?

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  #12 (permalink)
Elite Member
Washington
 
Futures Experience: Advanced
Platform: IB
Favorite Futures: Options
 
Posts: 33 since Jan 2012
Thanks: 5 given, 11 received


Neo1 View Post
So what was your solution? Did you end up getting Bats & Edge?

Hi,

My solution was to do nothing and wait. BATS and EDGE have merged and subsequently IB has changed its basic data feed over to EDGE. The other exchanges jacked their rates so IB switched to the EDGE feed. NASDAQ Total View and ARCA book data are still available on IB for $25. So, I am now getting NASDAQ, ARCA, EDGE and BATS level 2 book data for the same $25/month.

I fear that IB's time and sales data isn't what it used to be though. I don't think they show all of the trades for all exchanges, but not sure. And IB still isn't tick data but snapshot data (consolidated every .2 secs - I think). Still, for the money, it's a good deal.


Another thought, IB has added trade conditions data into the time and sales feed -

https://www.interactivebrokers.com/en/?f=%2Fen%2Ftrading%2FtradeConditions.php%3Fcode%3DUTDF

which IQFeed also offers. However, this IB data doesn't appear on the t&S window unless you drag the cursor over the trade - not too practical when it's updating 5x a second. I'd like to know if a large trade was entered through the NTRF or made directly on an exchange, but have yet to devise an indicator for that. Basically, I'm hoping IB will offer more features in its TWS updates.

Finally, if cost was no object, I'd go with Nanex data. The JTools software support for it looks awesome.

Mark

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  #13 (permalink)
Elite Member
Christchurch, New Zealand
 
Futures Experience: Beginner
Platform: SC
Broker/Data: IB, BC, Dx Feed
Favorite Futures: US Equities
 
Neo1's Avatar
 
Posts: 422 since Jul 2014
Thanks: 470 given, 470 received



NoCanDefend View Post
Hi,

My solution was to do nothing and wait. BATS and EDGE have merged and subsequently IB has changed its basic data feed over to EDGE. The other exchanges jacked their rates so IB switched to the EDGE feed. NASDAQ Total View and ARCA book data are still available on IB for $25. So, I am now getting NASDAQ, ARCA, EDGE and BATS level 2 book data for the same $25/month.

I fear that IB's time and sales data isn't what it used to be though. I don't think they show all of the trades for all exchanges, but not sure. And IB still isn't tick data but snapshot data (consolidated every .2 secs - I think). Still, for the money, it's a good deal.


Another thought, IB has added trade conditions data into the time and sales feed -

https://www.interactivebrokers.com/en/?f=%2Fen%2Ftrading%2FtradeConditions.php%3Fcode%3DUTDF

which IQFeed also offers. However, this IB data doesn't appear on the t&S window unless you drag the cursor over the trade - not too practical when it's updating 5x a second. I'd like to know if a large trade was entered through the NTRF or made directly on an exchange, but have yet to devise an indicator for that. Basically, I'm hoping IB will offer more features in its TWS updates.

Finally, if cost was no object, I'd go with Nanex data. The JTools software support for it looks awesome.

Mark

I guess at the end of the day you can't beat IB for their retail pricing/ coverage. Nanex are on another level, the way they visually present data is incredible. The stuff Eric Scott Hunsader posts on his Twitter is unreal.

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