I am using Sierra Chart with Rithmic to view cumulative delta. I heard IQfeed provides the most accurate cumulative delta data. Is this worth subscribing IQfeed for this purpose? Is Rithmic still close enough to IQfeed? Thanks,
My understanding is IQfeed has no better edge in my strategy: https://futures.io/reviews-brokers-data-feeds/34815-iqfeed-really-needed-when-having-rithmic.html
This part isn't quite right. No broker provides this data. Its the platform that puts this together. Now I might be wrong on the intricate details, but as far as I know, all the data coming in is simply an entry which contains the time stamp, the price, the volume, and whether this trade happened on the BID or ASK. Its this last piece that is most critical for the CD study. If it happened on the BID, that means an aggressive seller was willing to sell into the standing limit order waiting to buy. Likewise, if the order happened on the ASK, then an aggressive buyer was willing to pay the ASK price in order to get in. I can't comment on which is better, Rithmic or IQfeed, but I know the Sierra data is very good. What you can easily do it just wait 10 minutes, and when you refresh the data, you should get it from the server which I assume has the most accurate data. The live data coming in might sometimes miss a tick here and there, but I have hardly ever seen this with the Sierra data. So by doing this refresh, you can see how accurate your live feed is against whats on the server. But for your original question, as long as the data source support BID/ASK volume, then your CD should be accurate regardless of your data source.