Cost of Tick Data for backtesting

Discussion in 'Automated Trading' started by nemesis45, Jul 11, 2018.

  1. Could someone please provide me of an estimate of the cost of historical tick data (Level 1 quotes), for commodities and stock futures, as well as a live feed.

    Which venue should I choose?

    I've looked up IB and esignal.
    IB doesn't provide historical tick data, and their live feed is like 500$(initial) + 100$ monthly. ( But don't know how good)

    esignal seems to be too cheap, I am not sure of the quality of the feed which I can get.
     
    Last edited: Jul 11, 2018
  2. SumZero

    SumZero

    Have a look into IQFeed. Free trial won't go much further in the past for tick and 5m data (I think it's only a week or so) but if you subscribe for a month you will get all and will be able to download and keep it if you have some compatible software.

    Cost depends, obviously, on what you want. Make a simulation in their site and see how much it will cost. Not cheap and they also have some sort of Startup Fee, probably to keep one month testers away.
     
    nemesis45 likes this.
  3. Thanks. How is their data quality?
     
  4. SumZero

    SumZero

    I don't know if there are any independent tests over data feed data for retail. The only feedback I have on it is very limited.

    It is my own past experience. I never saw anything strange (for strange I mean spikes that didn't exist, wrong OHLC different from exchange, etc.). I'm not any longer their customer (the main reason it's because they don't have back adjusted quotes for stocks so the dividends show a "false" gap - this is the eternal discussion about adjusted or not adjusted quotes). For what I need IB is enough and the rest I get from Yahoo with Python. I don't work with tick data, though.

    The other feedback is through a friend who used to be a scalper on ES and now scalps the treasuries and he is quite happy with their tick data, which is crucial for him. Says it's quite reliable on what he sees in the jigsaw platform with IQFeed vs what he see in the broker.

    That's the only thing I can say about them.
     
  5. Thank you.
     
  6. Metamega

    Metamega

    Iqfeed tick data goes back 180 days. Their intraday is 10 years or more.

    It gets pricey if your not using a compatible trading software as the exchanges fees add up.

    Iqfeed is like 85$ a month plus exchange fees.

    CME is 30$ or so if your using it to trade, if your just extracting data through their API or with a non compliant software listed, they charge 130$ for real-time. That’s just the CME. You start throwing NYMEX and ICE and it adds up fast.

    I use to use IQFeed with amibroker for stocks but paid an extra 2$ a month for delayed NYMEX and CME data.

    Great product but just didn’t need it anymore. Was working more and didn’t need a real-time data feed like that.
     
  7. dozu888

    dozu888

    why do you want to buy noise.
     
  8. For historical data, I suggest either purchasing directly from the exchanges (best quality, usually) or Reuters (slightly worse, but OK and consistent across symbols). A budget version is https://www.algoseek.com/, not as clean as the above, but reasonable quality at an attractive price.

    If you are trading something that consumes tick-level data, you want to get the feeds directly from the exchange - otherwise, the latency will add up quickly.
     
  9. dozu888

    dozu888

    I hear you... but 3 points -

    - AlphaZero can blow him out of the water if google chooses to engage in trading;
    - retail guys with limited resource don't have much chance to replicate this guy's success...
    - and who knows how long he can sustain... funds blow up all the time after some success.
     
    #10     Jul 15, 2018