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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

  #11 (permalink)
Site Administrator
Manta, Ecuador
 
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Big Mike's Avatar
 
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@artemiso, any experience with QuantQuote TickView? I like that it's native Linux.

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

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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6)
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  #12 (permalink)
Site Administrator
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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)
Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

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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.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #14 (permalink)
Elite Member
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Futures Experience: Beginner
Platform: thinkorswim
Broker/Data: TD Ameritrade
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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)
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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.

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.


Last edited by artemiso; July 19th, 2014 at 08:49 PM.
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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

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #17 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,352 given, 83,232 received


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.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #18 (permalink)
Elite Member
Manchester, NH
 
Futures Experience: Beginner
Platform: thinkorswim
Broker/Data: TD Ameritrade
Favorite Futures: Stocks
 
Posts: 902 since Jul 2012
Thanks: 603 given, 1,785 received


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.


Last edited by artemiso; July 20th, 2014 at 02:24 AM.
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  #19 (permalink)
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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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