Hi all, I was just wondering whether anyone is using or have had success running HFT strategies (not UHFT, or sub-second) using the Interactive Brokers datafeed? If not, which ones would you recommend from a cost/benefit point of view?
I do not totally understand your needs totally but you should look at DTN IQFeed or Tradier. DTN is good and cheap and Tradier is free and they compete with IB.
The IB feed is not a real feed but uses snapshots from 1/10 second (every 100 ms). For an HFT strategy you should get every tick...try a direct feed from Activ or Nanex.
I normally hate pessimistic answers on here, but I think there's not possibility of this being viable. IB data isn't suitable for real HFT and really isn't that good overall. Any of the retail feeds really aren't for HFT either because they aggregate and have delays that will make the information you receive less and less relevant at lower and lower frequencies. You simply can't chase the same opportunities that businesses (read: very few individuals) who have 15 or lower microsecond wire to wire latencies chase if your datafeed has to travel over the Internet; I don't really think HFT is possible without colocation. I realize you aren't interested in UHFT, but if prop trading firms could find good opportunities at the sub 1 second level, why would they bother paying 5-6 figure monthly bills to CME? My point is that as retail traders, we should be aware of the fact that being highly sensitive to latency exposes us to competition that has a major economy of scale. I'm not the best person here to speak on what HFT is or isn't, but I can tell you that Interactive Brokers data and exchange access really isn't going to be sufficient. I'm not sure what you're trading, but IB definitely will not be optimal for options, futures, or equities in terms of latency, data, or commissions.
While IQFeed will give you every tick, their latency is likely worse than IB since they route their data through Omaha, NE before disseminating to clients. I've never used Tradier, but if I recall correctly from some discussions on the board a few months back, they are likely to be slower than IQFeed. NxCore is faster but has a similar problem to IQFeed if you're trading equities - they route the data through Chicago. They've been claiming a NY server is in the works for about 100 years. Colo w/Activ will be fast but that will come at a cost. Expect it to be way more expensive than the other options above. If going this route, you may want to consider getting the SIP feed directly; not sure, but may be both cheaper/faster.