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Market Data feeds - SIP, Direct Edge, etc vs Nanex/IQFeed
I am looking into obtaining a direct market feed. I could use some education in this area on SIP, consolidated, Direct Edge, etc.
I am not latency sensitive but do want to receive all tickers in real-time. I would also like to know options regarding historical data (daily, minute, tick) with these subscriptions.
Current markets I receive are below for reference:
I currently am using IQFeed and am exploring options for something more robust. I know that IQFeed is sourcing from Nanex, so that is one consideration. But I also wanted to compare that to a direct feed from the exchanges.
I have a two fold problem, historical and real-time. On the historical side I am facing problems with consistency, for example IQFeed does not provide dividend adjusted or consistent split adjusted data. On the real-time side, I am up against IQFeed limits for simultaneous tickers.
Perhaps there is a better solution somewhere in the middle, without going to the Exchanges directly? I've not explored alternatives like Barchart or CQG. I'm only aware of NxCore and the reason I listed it was because I know they provide a very flexible API (important to me, as you mentioned I am a one man shop). I am not sure beyond that.
I think IQFeed cannot be beat for typical retail, but I am starting to move beyond the typical scope. I'm not sure if Eric from @nanex will chime in here or not, but I'll shout out to him and see if he can shed some more light on the features and limitations of NxCore from a historical and real-time perspective.
By the way Mike, another common way around this is to enter a trading arrangement with a prop shop and post your trading capital as first loss capital. Because a prop shop is a single entity, you won't need to pay exchange license fees for receiving the direct feeds because it's generally considered "internal distribution" if you receive it, and the per user/terminal fee for most market data vendors is trivial. Of course, the prop shop may treat it as a billable or cost allocation, but it's usually cheap.
They may take a cut of your PnL, but if you do the cost-benefit analysis: perhaps the improved data + cost savings exceed the PnL share + counterparty risk.
By the way, by "prop shop" I don't mean those trading arcades that call themselves a "prop shop" but charge ridiculous amounts for "training" and put you with a whole bunch of part-time, daytrading click traders. A good firm that I know in this area has a $250,000 account minimum balance and they allow you to use SR Labs's market data and order execution product - which is excellent.
A few of those vendors I mentioned store a rolling 1~ week archive for you to "recover" any missing data. I honestly think it's better to capture everything live, though.
Those vendors I've mentioned will also provide you with split factors, dividends etc. on a programmatic basis, as a market data field (in a traditional row-oriented database format, it would be alongside "price" and "volume").
Also, about the simultaneous tickers, I share your compulsive hoarding - but you know, you don't *really* have to capture everything. That said, Activ doesn't have a ticker limit - they price by exchange/venue.
To clarify, there is no limit on the historical side. I grab everything each night and backfill. But I am limited to real-time capture of 1800 symbols by IQFeed.
You never know when you may need it.