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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

  #1 (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: 29,355 given, 83,237 received

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:

 
Code
MariaDB [meta]> select * from ListedMarkets;
+---------------+------------+--------------------------------------------------------+
| ListedMarkets | Name       | Description                                            |
+---------------+------------+--------------------------------------------------------+
|             1 | NGM        | Nasdaq Global Market                                   |
|             2 | NCM        | National Capital Market                                |
|             3 | OTC        | Nasdaq other OTC                                       |
|             4 | OTCBB      | Nasdaq OTC Bulletin Board                              |
|             5 | NASDAQ     | Nasdaq                                                 |
|             6 | NYSEMKT    | NYSE MKT (Equities and Bonds)                          |
|             7 | NYSE       | New York Stock Exchange                                |
|             8 | CHX        | Chicago Stock Exchange                                 |
|             9 | PHLX       | Philadelphia Stock Exchange                            |
|            10 | NSX        | National Stock Exchange                                |
|            11 | NYSEARCA   | NYSE Archipelago                                       |
|            12 | BX         | Boston Stock Exchange                                  |
|            13 | CBOE       | Chicago Board Options Exchange                         |
|            14 | OPRA       | OPRA System                                            |
|            15 | NASDADF    | Nasdaq Alternate Display facility                      |
|            16 | ISE        | International Stock Exchange                           |
|            17 | BOX        | Boston Options Exchange                                |
|            18 | BATS       | Better Alternative Trading System                      |
|            19 | NTRF       | Nasdaq Trade Reporting Facility                        |
|            20 | PBOT       | Philadelphia Board Of Trade                            |
|            21 | NGSM       | Nasdaq Global Select Market                            |
|            22 | CANTOR     | Cantor Fitzgerald Exchange Treasury Funds              |
|            23 | C2         | CBOE C2 Options Exchange                               |
|            24 | NYSETRF    | NYSE Trade Reporting Facility                          |
|            25 | EDGA       | Direct Edge A                                          |
|            26 | EDGX       | Direct Edge X                                          |
|            27 | DTN        | DTN                                                    |
|            28 | BYX        | BATS Y Exchange                                        |
|            29 | RUSSELLFL  | Russell Investments (FeeLiable)                        |
|            30 | CBOT       | Chicago Board Of Trade                                 |
|            31 | DJ         | Dow Jones (CBOT)                                       |
|            32 | CFE        | CBOE Futures Exchange                                  |
|            33 | KCBOT      | Kansas City Board Of Trade                             |
|            34 | CME        | Chicago Mercantile Exchange                            |
|            35 | MGE        | Minneapolis Grain Exchange                             |
|            36 | NYMEX      | New York Mercantile Exchange                           |
|            37 | COMEX      | Commodities Exchange Center                            |
|            38 | ICEFU      | International Commodities Exchange Futures US          |
|            39 | NYLUS      | NYSE LIFFE US                                          |
|            40 | CMEFL      | CME Indexes (Fee Liable)                               |
|            42 | CBOTMINI   | Chicago Board Of Trade Mini Sized Contracts            |
|            43 | CMEMINI    | Chicago Mercantile Exchange Mini Sized Contracts       |
|            44 | USFE       | US Futures Exchange                                    |
|            45 | NYMEXMINI  | Commodities Exchange Center Mini Sized Contracts       |
|            46 | GREENX     | The Green Exchange                                     |
|            47 | CLEARPORT  | New York Mercantile Exchange                           |
|            48 | COMEXMINI  | New York Mercantile Exchange Mini Sized Contracts      |
|            50 | TSE        | Toronto Stock Exchange                                 |
|            51 | MSE        | Montreal Stock Exchange                                |
|            52 | CVE        | Canadian Venture Exchange                              |
|            53 | WSE        | Winnipeg Stock Exchange                                |
|            54 | ICEFC      | International Commodities Exchange Futures Canada      |
|            55 | MX         | Montreal Exchange                                      |
|            60 | MDEX       | Bursa Malaysia Derivatives                             |
|            61 | ICEFI      | International Commodities Exchange Futures Derivatives |
|            62 | LME        | London Metals Exchange                                 |
|            63 | ICEFE      | International Commodities Exchange Futures Europe      |
|            64 | ASXCM      | ASX24 Commodities Exchange                             |
|            65 | DME        | Dubai Mercantile Exchange                              |
|            66 | BMF        | Brazilian Mercantile  Future Exchange                  |
|            67 | SGX        | Singapore International Monetary Exchange              |
|            68 | EUREX      | European Exchange                                      |
|            69 | ENID       | Euronext Index Derivatives                             |
|            70 | ICELD      | ICE LIFFE Derivatives                                  |
|            71 | ENCOM      | Euronext Commodities                                   |
|            72 | TULLETT    | Tullett Liberty (Forex)                                |
|            73 | BARCLAYS   | Barclays Bank (Forex)                                  |
|            74 | FXCM       | Forex Capital Markets                                  |
|            75 | WTB        | Warenterminborse Hannover                              |
|            76 | MGKB       | MGEKCBOT (InterCommodity Spreads)                      |
|            77 | MGCB       | MGECBOT (InterCommodity Spreads)                       |
|            78 | TENFORE    | Tenfore Systems                                        |
|            79 | NYDME      | NYMEXDME (InterCommodity Spreads)                      |
|            80 | PSX        | Philadelphia Stock Exchange                            |
|            81 | TGE        | Tokyo Grain Exchange                                   |
|            82 | TOCOM      | Tokyo Commodities Exchange                             |
|            83 | SAFEX      | South African Futures Exchange                         |
|            84 | EEXP       | European Energy Exchange  Power                        |
|            85 | EEXN       | European Energy Exchange  Natural Gas                  |
|            86 | EEXE       | European Energy Exchange  Emission Rights              |
|            87 | EEXC       | European Energy Exchange  Coal                         |
|            88 | MIAX       | Miami International Securities Exchange                |
|            89 | KBCB       | KCBOTCBOT (InterCommodity Spreads)                     |
|            90 | PKSHEETS   | Pink Sheets  No Tier                                   |
|            91 | PKQXPREM   | Pink Sheets  OTCQX  PremierQX Tier                     |
|            92 | PKQXPRIME  | Pink Sheets  OTCQX  PrimeQX Tier                       |
|            93 | PKIQXPREM  | Pink Sheets  OTCQX  International PremierQX Tier       |
|            94 | PKIQXPRIME | Pink Sheets  OTCQX  International PrimeQX Tier         |
|            95 | PKOTCQB    | Pink Sheets  OTCBB Pink Sheets dually Quoted Tier      |
|            96 | PKBBONLY   | Pink Sheets  OTCBB Only Tier                           |
|            97 | PKCURRENT  | Pink Sheets  Current Tier                              |
|            98 | PKLIMITED  | Pink Sheets  Limited Tier                              |
|            99 | PKNOINFO   | Pink Sheets  No Information Tier                       |
|           100 | PKGREY     | Pink Sheets  Grey Market Tier                          |
|           101 | PKYLSHEETS | Yellow Sheets                                          |
|           102 | PKPRSHEETS | Partner Sheets                                         |
|           103 | PKGLSHEETS | Global Sheets                                          |
|           104 | PKNYSE     | Pink Sheets  NYSE Listed                               |
|           105 | PKNASDAQ   | Pink Sheets  NASDAQ Listed                             |
|           106 | PKNYSEAMEX | Pink Sheets  NYSE AMEX Listed                          |
|           107 | PKARCA     | Pink Sheets  ARCA Listed                               |
|           108 | NYSEAMEX   | NYSE AMEX Options Exchange                             |
|           109 | GLOBEXRT   | CME GLOBEX Group Authorization                         |
|           110 | CMEGBX     | Chicago Mercantile Exchange (GLOBEX)                   |
|           111 | CBOTGBX    | Chicago Board Of Trade (GLOBEX)                        |
|           112 | NYMEXGBX   | New York Mercantile Exchange (GLOBEX)                  |
|           113 | COMEXGBX   | Commodities Exchange Center (GLOBEX)                   |
|           114 | DMEGBX     | Dubai Mercantile Exchange (GLOBEX)                     |
|           115 | RUSSELL    | Russell Investments                                    |
|           116 | BZX        | BATS Z Exchange                                        |
|           117 | CFTC       | US Commodity Futures Trading Commission                |
|           118 | USDA       | US Department of Agriculture                           |
|           119 | WASDE      | World Supply and Demand Estimates Report               |
|           120 | GRNST      | Grain Stock Report                                     |
|           121 | GEMINI     | ISE Gemini Options Exchange                            |
|           122 | ARGUS      | Argus Energy                                           |
|           123 | RACKS      | Racks Energy                                           |
|           124 | SNL        | SNL Energy                                             |
|           125 | RFSPOT     | Refined Fuels Spots Exchange                           |
|           126 | EOXNGF     | EOX Live Natural Gas Forward Curve                     |
|           127 | EOXPWF     | EOX Live Power Forward Curve                           |
|           128 | EOXCOR     | EOX Live Correlations                                  |
|           129 | ICEENDEX   | ICE Energy Derivatives Exchange                        |
|           130 | KCBOTGBX   | Kansas City Board of Trade (GLOBEX)                    |
|           131 | MGEGBX     | Minneapolis Grain Exchange (GLOBEX)                    |
|           132 | BLOOMBERG  | Bloomberg Indices                                      |
+---------------+------------+--------------------------------------------------------+
126 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)
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  #2 (permalink)
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  #3 (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: 29,355 given, 83,237 received


@artemiso I'm looking at you...

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
 
  #4 (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: 29,355 given, 83,237 received

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.

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
 
  #5 (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: 29,355 given, 83,237 received

Thanks @artemiso as always.

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.

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:
 
  #6 (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

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.

Reply With Quote
 
  #7 (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
Thanks @artemiso as always.

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.

Thanks and you're welcome.

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").

Reply With Quote
 
  #8 (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

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.

Reply With Quote
The following user says Thank You to artemiso for this post:
 
  #9 (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: 29,355 given, 83,237 received


artemiso View Post
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.

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

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
 
  #10 (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: 29,355 given, 83,237 received



artemiso View Post
Also, about the simultaneous tickers,

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.

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

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