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

  #1 (permalink)
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Consolidated Order Book Feed - Suggestions?

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

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  #3 (permalink)
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How fast do you need delivery? Budget? (I'm guessing thereabouts 2K/month since you considered Nanex?)

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  #4 (permalink)
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artemiso,

Thanks for responding.

Delivery: I'm willing to take the time to shop around for a good price, obviously.

Price: $2k/ is what I'm trying to avoid. If the two largest exchanges, Nasdaq and ARCA, go for $25/
I expect to pay the same or less to include two smaller ones.

Anyway, what are you selling?

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  #5 (permalink)
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@NoCanDefend

I see, this is interesting, I'd like to hear what you eventually find in this space as well.

I know one or two firms that might do $2,000/month for upstream delivery, but not $25/month for downstream. Wish I could help.

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  #6 (permalink)
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artemiso,

Right, that's the rub. I can find "upstream" providers at BD/institutional prices.
But, which of these providers also offers something "downstream" for individual subscribers?

I get the impression that HFT outfits are paying top dollar for this kind of data - $2-2.5k per month.
Therefore data providers, who don't want to undercut themselves, aren't willing to offer it to individuals for less.
There is no professional vs. non-professional rate breakdown from what I can see, even though the exchanges structure their order book pricing that way.

TotalView distributors ought to have the ability to offer UltraFeed (which is advertised as a la carte) at downstream prices. But none of these guys will quote a price. I get the sense that the service is so new that they have no idea what the market will bear, and don't even want to tip their hand to a potential customer, since it'll get out to their competition. Although, I have to imagine it's pretty hard to sell something if you don't put a price on it. I sent an e-mail to one of these outfits just asking for a price and they wanted to set up a conference call with their whole team before they'd quote me anything ... wtf?

I'm currently paying $25/ for roughly 60% of the lit market for Nasdaq symbols. So, why would I ever pay $2k/
for the remaining 40%? That said, it looks like some of the Nasdaq feed distributors also include dark pool liquidity for their consolidated books. That might be worth a premium to some, but I don't need to move large blocks. I just want to see how order flow might be/is impacting the NBBO.

I'll keep you posted.

Mark

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  #7 (permalink)
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Sorry to hear your experience.


NoCanDefend View Post
I get the impression that HFT outfits are paying top dollar for this kind of data - $2-2.5k per month.
Therefore data providers, who don't want to undercut themselves, aren't willing to offer it to individuals for less.
There is no professional vs. non-professional rate breakdown from what I can see, even though the exchanges structure their order book pricing that way.

Hm, I can sympathize with your view but I actually think $2-$2.5k is rather cheap. I'll like to share it from my perspective since I have the infrastructure to distribute the direct feeds if I wanted to. I even have space in my cabinets for you to get it from me. But would you?

I could pay for the licenses, target larger traders who are in the same facility, maybe 20 customers at $2,000/month each, which is already rather challenging: There are not many firms who want this service out there - and there are about 15+ software vendors who are competing for the same, small customer base.

Or I could package that data downstream, target retail investors, maybe 200 customers at $200/month each - but I wouldn't - because the litigation and credit risks go up significantly, and I'll need to hire people to take care of bookkeeping, compliance, parental guarantees, CRM, marketing, technical documents, ensure uptime etc.

So really, not many people are interested to do this. I read a story that London's sewage cleaners get paid a lot of money (because no one is interested to do their job).



NoCanDefend View Post
TotalView distributors ought to have the ability to offer UltraFeed (which is advertised as a la carte) at downstream prices. But none of these guys will quote a price. I get the sense that the service is so new that they have no idea what the market will bear, and don't even want to tip their hand to a potential customer, since it'll get out to their competition. Although, I have to imagine it's pretty hard to sell something if you don't put a price on it. I sent an e-mail to one of these outfits just asking for a price and they wanted to set up a conference call with their whole team before they'd quote me anything ... wtf?

This is a great filter to pre-qualify potential clients. As mentioned above, because of the nature of the capex and downpayments to get into this business, you prefer to have 1 customer who is probably going to pay $2,000 for 12 months rather than 12 customers who might pay $2,000 for 3 months.

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  #8 (permalink)
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artemiso,

Sorry, but you lost me at "space in my cabinets".
If you think $2-2.5k/ is cheap, well good luck with that. I'm not interested.

Brokers and data providers sell book data at $10 - $15 regularly, so I don't follow the downstream costs argument.

As for pre-qualifying hoops, great for whom? Not the customers. There's an easier way to pre-qualify customers: put out a rate sheet.

From a data provider's standpoint, why not package for both up and downstream? Low latency feeds could be priced for the institutional user and standard feeds could be offered to the retail end. And, like I said, most of these consolidated feeds offer a la carte data, so prices could be tailored to fit the user easily by limiting the quantity of data, e.g. number of symbols, and number of exchanges.

Finally, if you could make money selling to just one high-end customer as you suggest, then why couldn't that customer just buy from the exchanges directly and pay less?

Mark

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NoCanDefend View Post
artemiso,

Sorry, but you lost me at "space in my cabinets".
If you think $2-2.5k/ is cheap, well good luck with that. I'm not interested.

Finally, if you could make money selling to just one high-end customer as you suggest, then why couldn't that customer just buy from the exchanges directly and pay less?

Mark

The problem with this is that the hardware and software complexity of processing that data from the exchange is actually nontrivial. You have to write decoders for each location, lease a few private lines between your servers etc. The colocation costs are low in comparison. The kind of feed that you want would cost 6-7 digits in annual fees to create and maintain by yourself, and it is the same of any data provider. Most customers can't afford these upfront costs and so have to rely on a data provider. But actually, most customers who are willing to pay $2k/month are also customers who are willing to pay $85k/month, so you're right and wrong at the same time - that's why there are very few potential customers in this space.

A rate sheet isn't helpful most of the time because each trader's needs are very specific. The CME publishes rate sheets. Do you know how much it would cost to trade out of their facility? Not really.

Well, a few data providers do what you're suggesting - offering a 'high-end' feed and a 'standard feed'. There's only a handful of them and so just like there's only a handful of broadband providers, expect both the 'standard broadband' and 'high-end broadband' to cost a lot.

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  #10 (permalink)
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artemiso,

Well ok, to a certain extent I see what you mean. If you are buying your own direct feeds and building a system to consolidate and display all of the order flow from multiple exchanges, I'm sure it's not easy or cheap. Ditto for someone like you who builds a system that can also distribute a consolidated feed to customers.

However, I'm mostly talking about firms who are basically reselling Nasdaq's Ultrafeed. Nasdaq already has the infrastructure and the system in place to compile and distribute a consolidated order book feed. The 3rd party firms don't have to generate their own consolidated feed, they just need to distribute what they get from Nasdaq.

Also, don't brokers already have systems that receive order flow from all of the lit exchanges in order to comply with Reg. NMS? Why couldn't they just distribute those quotes to clients at a retail rate? In fact, they already do this with Nasdaq TotalView/ITCH and ARCA. I suppose BATS and EDGE don't allow it, or at least they don't at retail rates.

As for $85k/month for a complete book, please explain why you think anybody would pay that much? Is the data providing insights which are that profitable? And is it really that expensive? I thought the entire ITCH system was originally run on a single PC.

Anyway, thanks for the insights.

Mark

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