any low cost real-time market data source??

Discussion in 'Data Sets and Feeds' started by adamchubb, Jun 13, 2019.

  1. Just wonder is there any low cost real-time market data source for global markets, including major exchanges in US, Europe and Asia??? IB force me to pay professional fee for market data which is too too too expensive.
  2. kmiklas


  3. tommcginnis


    This is where that popcorn-eating emoji pops up, as adamchubb recognizes that IB's pass-through costs really are cheaper than snot...

    antiseptic likes this.
  4. wrbtrader


    You a professional trader via their guidelines or did you check the wrong box in the subscription registration ?

    NQurious and tommcginnis like this.
  5. wrbtrader


    Also, I understand not to use your broker as your charting source but does your broker classify you as a non-pro or pro ?

    In addition, did you file your tax documents as an individual or business ?

    My guess is that you setup your account with IB under a business name (corp/LLC) and that tells anyone to charge you a professional fee.

    Edit: Ignore my initial question.

    Last edited: Jun 13, 2019
  6. kmiklas


    IB price quotes are 4 per second--one every 250ms--each a volume-weighted average.

    Take INTC on the Nasdaq for example, which runs at 1 tick per millisecond. IB will apply a volume weight coefficient to each price, average all 250 of them, and voila! You've got your quote.

    What do you expect for $10/month?
    Last edited: Jun 13, 2019
    blueraincap and jl1575 like this.
  7. wrbtrader


    If someone was a professional daytrader...why would he/she use IB if they are doing that to their data ?

    MarkBrown likes this.
  8. qlai


    What does it mean? You mean the more often quotes come in, the more pulsed they will be? Are you talking about both quotes and trades?
  9. kmiklas


    Example based on a number of discussions I had with IB. If I am wrong, please prove me so.

    Imagine 3 price quotes with trading volume at each:

    Time    Price     Volume     Total
    1ms     17.45     1000       17450
    2ms     17.46     50         873
    3ms     17.47     25         437
    TOTAL             1075        18760
    3 time point volume weighted average price = 18780/1075 = $17.451

    For comparison/contrast, here is what they do NOT do: a simple average: (17.45 + 17.46 + 17.47) / 3 = $17.46. This would ignore the volume.

    Now, just do that every quarter second each set of 250 price and volume points, and you've happily got your volume weighted price quote.

    imo this does make sense for a $10/month data feed. If you want the raw data at 1ms, you'd better get your checkbook out. You'll need a high-speed low-latency data connection (probably a private line), monthly data fees starting at about $300 last time I checked, along with a higher-end NIC card.
    Last edited: Jun 13, 2019
    blueraincap likes this.
  10. qlai


    I haven't looked into the quality of data much, but I doubt that they alter the price. Most likely, they don't send the tick when the price is same only more shares have traded. So in your table above, the price for all three would be 17.46 for example and they would only send once in 250ms interval. If the price ticks up or down, they may send it prior to 250ms expires. That would make more sense, but hey it's IB. The volume that comes with the tick is not the cumulative volume for that period but the volume of the last processed tick it seems, so pretty much useless (but most people don't care about volume anyway). You get what you get, and you don't get upset :) The biggest advantage is that you can get the data on the cheap via API.
    #10     Jun 13, 2019