I've been a somewhat long time user of IQFeed, and I suppose I use it in a fashion that it probably wasn't designed for. The problem I'm running up against in a new trading model I've developed is that it doesn't show the inside quote for all of the exchanges individually. So, while the tape will actually show trades at other exchanges, it's not telling me when liquidity exhaustion has happened at paid-to-remove exchanges like Nasdaq Boston -- there's no inside quote that can be derived from the exchange. What they (IQFeed) do show me is when the liquidity is vaporizing at Nasdaq. The problem, however, is that when Nasdaq is vaporizing, there is little to no chance for the retail trader to get an execution in at the price Nasdaq is trading at -- and slippage hurts my model.
What I need is a retail feed that gives me the inside quotes for every major exchange, so I can see where the market is trading long before the market decides to remove a place like NASDAQ.
I'm currently evaluating ActiveTick's API, but am not hopeful (although I have not evaluated the feed quality just yet.) I'm thinking that if ActiveTick doesn't deliver, then maybe to just go ahead and use Sterling. Does anyone have opinions on either? Does Sterling give a decent view of the exchanges in a timely fashion? What about ActiveTick -- Has anyone tried it for serious usage?
Sterling might be my best bet, since technically I'm paying for it already. My gripe with Sterling has been that their API is not particularly quick, there is no cross-platform functionality, and they outright say that their system is somewhat slow if you use .NET instead of their old VB6 COM API.