Your best deal for a "true tick level data feed" for futures is to open a small account with a FCM that offers an unfiltered data feed.
but they will charge exchange fees. won't they? Can you please name some FCMs which will offer unfiltered data feed at low cost. Thanks
Does IB charge you exchange fees for Globex data? Go to the Rithmic website and look at their FCM/IB network. http://www3.rithmic.com/?page_id=11 You will have to ask each FCM/IB if they provide an unfiltered Rithmic data feed and what their fees are.
IB charges exchange fees but it is very small for retail clients. If you trade via a LLC however, it is around 85$ a month for CME. I am quite happy with IB's data the only problem is IB doesn't provide tick data and now I am looking to gain access to tick data.
Hi gmst, one thing I know of could be a very good cheap option for you is to have an account open with AMP futures with CQG data feed fed to NT (I am not sure you use Ninja). This would allow you to use NT script events to get tick by tick data from CQG which is about as good as IQFeed's (I did test this on >= million ticks across 15 liquid futures). As far as I know this would cost you 'nothing' other than having a live account open with them and having a license with NT (which does have a cost but you can do the math that it's still cheap compared to having to pay for data monthly).
If you are a MultiChart user you can get the Rithmic data directly integrated into the platform at no cost. It would require an account with a Rithmic supported broker, and you would have to pay the $5 CME data fee. You can also examine your execution over Rithmic to determine its quality in that regard as well. Matt
Here is the CME Group schedule. Looks like you can get CME real time e-mini for $40/month if you are non-pro.
Achilles: It's not tick-by-tick, it's sampled between 3 and 10 times per second. So in a very fast moving market you may miss some moves. But what you see is the current bid/ask at the time of transmission. Sampled data has the advantage of being less expensive to provide as IB needs fewer and smaller server farms and less internet connectivity to pump the info out to its 262,000+ customers. Depending on how you trade and what you trade this can be a "who cares" factor or one that renders your carefully back-tested automated system a total loser. Jack
Thanks for the reply. I trade ym, es and cl off the tick chart using last data. This would have an impact. By how much, I wonder.