data feed t&s discrepancies

Discussion in 'Data Sets and Feeds' started by dividend, May 16, 2006.

  1. i recently signed up for a new datastream...

    is it normal to see discrepancies between two data feeds? im seeing more prints from my broker's official stream than my other subscription's. my guess is that my broker's t&s shows in-house marketmaker prints that are not sent to the exchanges.

    does anyone know what would cause this issue? thanks.
  2. Agyar


    Don't know what feed you are using, but I found ESignal to drop 5-10% of the prints on ES during fast market times. Most people won't care about this, but I have a system that is very sensitive to this so ESignal got shown the door. I use IQFeed currently and don't have any trouble with dropped data as far as I know. I ran them side by side for a few days and it was quite noticeable (using tick charts).
  3. As far as I know, all prints are shown to the market.
  4. Get yourself nightly t&s data as published by the exchange. Check for missing ticks.

    If you want to check timing accuracy of your real-time feeds, for each tick you will have to append time data from a precision local clock for subsequent postmortem comparison with the exchange nightly data.
  5. thanks for the response...

    i have two streams side by side that show the same prints with the same exact time stamped on the t&s, except one shows considerably more prints than the other.

    what is stranger is i see the bid/ask change on stream 1 to reflect the print on stream 2, it is just not shown as a sale... only a quote change.

    any ideas??

    im starting to see why people will pay up for a better feed.
  6. alanm


    Check with the vendor to be sure the feed is supposed to show every tick. IB, for example, intentionally uses a "snapshot" scheme that greatly reduces the amount of bandwidth required. Some (including me) find this desirable.