Blow-by-Blow Implied/Derived Data

Discussion in 'Data Sets and Feeds' started by Random.Capital, Nov 1, 2011.

  1. If the Feed Handler Fairy could wave its magic wand and insert data "instantaneously" derived from the tick by tick raw data feed, what would you like to see?

    - instantaeous price/volume "averages" recalculated on every single tick?
    - entire covariance matrices recalculated every tick?
    - ETF/ETN vs Components correlations?
    - etc

    To carry this information, would you prefer the derived data be added to the original FIX message, or encapsulated in a separate one, leaving the original message untouched?

    This could quickly become an unbounded exercise - lets bound this by saying no more than 100 symbols at a time for any given calculation, and no history longer than, say, 2 minutes, since anything that slow doesn't need bump-in-the-wire speed anyway.

    And assume this is for simple asset classes like equities or futures - the universe of possibilities for something like options is just...massive. Can discuss that another time. :)