Can anyone recommend a good real time data feed?

techer

New Member
My budget is $500-1000/mo.

Basically, I need to be able to scan entire NYSE/NASDAQ with around 2 second max latency.

The only data I need is most recent bid/ask/trade. Bandwidth should not be an issue on my end (100Mbit connection).

Data aggregated from all market centers would be nice (i.e. best bid/best ask), but not entirely crucial.

The only option I have investigated so far is NxCore, but their libraries are Windows only and I develop on Linux.

The only other option I know of right now is Nasdaq Basic (http://www.nasdaqtrader.com/Trader.aspx?id=NASDAQBasic) but I wasn't able to find any pricing information or reviews online.

Does anybody know of a live feed that can meet my specifications?
 

Tsotne

Well-Known Member
There has been 2 threads (as I remember) about this with 1 hour latency. Search for them there should be some useful links. (not sure for the latency accuracy though)
 

techer

New Member
One hour latency is trivial. One minute latency is also trivial. It only become difficult when you get down to sub 5 seconds. I was hoping some people on this board would have professional insight on how this is usually done and which providers they use.
 

Joy Pathak

Swaptionz
One hour latency is trivial. One minute latency is also trivial. It only become difficult when you get down to sub 5 seconds. I was hoping some people on this board would have professional insight on how this is usually done and which providers they use.
I went to a Low Latency conference yesterday. Check out the firms in this conference brochure. http://www.a-teamgroup.com/insightevents/2011/nyc-btll/ . They might be of use to you.

Check these out too.
http://www.xignite.com/
http://www.exegy.com/index.htm
http://www.quanthouse.com/?q=low-latency-market-data
http://www.solacesystems.com/solutions/financial-services/market-data-distribution?gclid=CN_K_tO8wqgCFUF95QodVz54rA
http://www.fixnetix.com/services/market-data.html

You might find someone who can meet your requirement. 2 second latency is not bad at all. Most of the people at the conference were talking in nano-seconds now and I even heard mentions of pico.

Also.. I have used IB data feed for some algo stuff for a fund. They used the IB platform to execute so it worked out well. I think they have a restriction on # of quotes per second though.

I don't know which one would fit your budget. Most of the links I provided can be expensive. Maybe some other people can give more options.
 

techer

New Member
Thanks for the info, that was really useful, it could be a good place to start making some calls.

Does anybody have some actual experience with a low latency data provider and can provide more specific feedback? There seem to be a plethora of firms out there that all claim to offer services that meet my specifications, but there's lots of fine print (like, only x number of simultaneous symbols, y quotes per second, etc). Also, pricing information is very vague and I prefer not to have to call each one up to find out and compare...
 

Tsotne

Well-Known Member
I was once in need to construct an algorithm recognizing data changing each second (for programming skills) and calculating some characters of the data given. I couldn't find such source online and did it on an hourly (daily before) basis. When I found it on this forum, I was no longer in need. But interesting to build software manipulating such data. Deviated from the topic though...
 

StaceyL

New Member
Can I also do a real-time data feed with value at risk software based on OLAP technology? Not sure if var would be related, but I've already used a tool for real time analysis. I wonder if value at risk type software could impact the latency? Sorry, very new to this field... Stacey
 

babinu

XYZ
My budget is $500-1000/mo.

Basically, I need to be able to scan entire NYSE/NASDAQ with around 2 second max latency.

The only data I need is most recent bid/ask/trade. Bandwidth should not be an issue on my end (100Mbit connection).

Data aggregated from all market centers would be nice (i.e. best bid/best ask), but not entirely crucial.

The only option I have investigated so far is NxCore, but their libraries are Windows only and I develop on Linux.

The only other option I know of right now is Nasdaq Basic (http://www.nasdaqtrader.com/Trader.aspx?id=NASDAQBasic) but I wasn't able to find any pricing information or reviews online.

Does anybody know of a live feed that can meet my specifications?
Hi , I actually work in feeds and can help you here. I do not remember the exact latency numbers for these ,but they are all in milliseconds.

These are the feeds for NYSE

1. CTA/CQS (http://www.nyxdata.com/CTA)

Provides top bid/asks for a symbol

2. NYSE TRADES (http://www.nyxdata.com/Data-Products/NYSE-Trades)

Provides the trades from NYSE

3. NYSE BEST QUOTES (http://www.nyxdata.com/Data-Products/NYSE-BBO)

Provides the best quotes (bid/asks) from NYSE.

4. NYSE OPEN BOOK ULTRA (http://www.nyxdata.com/Data-Products/NYSE-OpenBook)

Provides ten level depth data from NYSE.

The ones from NASDAQ

1. UTP feed(www.nasdaqtrader.com/content/.../utp/utdfspecification.pdf, www.nasdaqtrader.com/content/.../utp/uqdfspecification.pdf)

Provides top bid/asks for a symbol.

2. ITCH feed (www.nasdaqomxtrader.com/content/technicalSupport/.../tvitch-v3.pdf )

Provides order data for nasdaq symbols.

Let me know if you need any other help here.

Thanks
Babinu
 

Steve

New Member
Take a look at activetick (www.activetick.com). They cover all of US equities with streaming feed, as well as real-time data point snapshots and historical data. I get entire unfiltered CTS/CQS feeds with all regionals, as well as UTDF/UQDF for NASDAQ with about 2ms latency. Their API supports windows/linux/mac, and covers c/c++, java, .net and http GETs. I've been using them for about a year, and am pretty satisfied with the service.
 

techer

New Member
Just an update. For some time, I got live data via my broker where I was colocated (Lightspeed Trading for those interested), but after 4 months (coincidentally right after the 3 months trial period), they pulled a bait and switch and started assessing steep monthly minimums. It was very enticing at first because they claimed to not charge for data, only passing through the exchange fees. But then tack on the monthly minimums for transaction costs that was suddenly mandatory, and before you know it they are more expensive than most data providers.

The most infuriating part is they give no warning that a minimum is coming, but let you go ahead and spend time setting your system up to be compatible with theirs before throwing the minimum at you. The idea being that since you have already invested time and effort, you are unlikely to balk at the fee now. This is what happened to me and I paid up.

Anyways, just a quick word of warning for people considering getting live data from their broker. Be aware, some brokers (Lightspeed Trading), WILL do bait and switch and trap you. About a month ago, I moved my colocated server over to QuantQuote (funny thing was that it was in the same datacentre in NJ, I didn't even need to actually ship my server). Here's the product I am using now: https://quantquote.com/live-data-feeds
It is the most comprehensive data feed I have found that is priced reasonably (a couple hundred a month). 12 exchanges plus FINRA ARF so you can see dark pool trades.

Colo fees are still steep (but less than Lightspeed) and since my strategy is not very speed dependent, I might pull my server out next year and use the online version of QuantQuote's feed.
 

nms

New Member
techer, can you tell us how much colo fees were you paying to host one server in the datacenter?
 

tfors

Active Member
esignal is mostly retail oriented it seems, i used them to get rt data in excel and it was solid
 

vman

New Member
Before, Google finance has API from Google Finance giving free live data feed from NASDAQ, NYSE, and AMEX. It, however, is not available now
 

qrpike

New Member
I went to a Low Latency conference yesterday. Check out the firms in this conference brochure. http://www.a-teamgroup.com/insightevents/2011/nyc-btll/ . They might be of use to you.

Check these out too.
Market Data Feed and API
http://www.exegy.com/index.htm
Ultra-low Latency Market Data Solutions | QuantHouse
High-Speed Market Data Distribution
http://www.fixnetix.com/services/market-data.html

You might find someone who can meet your requirement. 2 second latency is not bad at all. Most of the people at the conference were talking in nano-seconds now and I even heard mentions of pico.

Also.. I have used IB data feed for some algo stuff for a fund. They used the IB platform to execute so it worked out well. I think they have a restriction on # of quotes per second though.

I don't know which one would fit your budget. Most of the links I provided can be expensive. Maybe some other people can give more options.
15min delayed data is usually free since it no longer requires exchange real-time redistribution fees. Most "real-time" providers will be under 2seconds latency. This is usually achieved through a SDK provided by the data vendor. ( most of the time Java or C++ )

I've used several end-user focused ( affordable ) providers:
ActiveTick is usually ~250ms.
iqFeed is usually ~330ms.
Polygon.io is usually ~98ms.
 
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