Hi Order Execution Wizards! I subscribe to all Level 2 data feeds via Interactive Brokers. I am aware that some people pay for data feeds direct from the exchange. In my understanding, some benefits of exchange direct data feeds are delivery speed, true tick data (vs. timed snapshots as IB does it), data integrity (RAW vs. filtered), and required to purchase b/c they're importing into bridge software (NinjaTrader, Multi-Charts, etc). What else am I missing? What other benefits to purchasing data direct from exchanges are there? When I pay IB for data from multiple exchanges (Nasdaq, NYSE, BYX, etc) - are there any differences (besides speed, true tick quality) between that IB data vs. buying the data individually from each and every exchange? When I research online I get textbook examples of data differences but not real-world trading application differences. I'm looking for "well direct exchange data is good for executing limit orders in extended hours sessions b/c..." or "direct data from exchange X allows you to discover hidden liquidity better b/c..." Thanks for any personal experience you can share, and have a great weekend everyone!
This may help: https://www.sierrachart.com/index.php?page=doc/InteractiveBrokers.php#TrueRealTimeData If you care about analysing order flow data - the impact of volume traded at the bid or ask at each price level, then you will need accurate tick by tick data, not snapshots.
There is really way too much here to effective discuss in a single thread. You should forget about contracting, delivering and receiving raw data from the exchanges. It is more typical for a hosted solution and still often needs a broker to deliver the feed. It is only faster if you can normalize it faster than a data providers and will likely incur non-display fees that can exceed $12K/month. It is often best to feed your trading platform from your broker unless you use a trading server to execute with an API. Then you can choose which works better for you. Your ping test to the market data provider or execution server is only one metric. The delivery of the market data from the provider can still be delayed by the process they use to normalize the raw data and deliver that to you. I suggest for retail accounts, you focus on the data your broker can offer. At IB, that would be from them and with us, using our software.
http://www.nanex.net/2019/ Is the best you can get without getting datafeeds from each exchange. I think it is about $500 a month.
You need to subscribe to both. Exchange data feed is for the charting software. Broker data feed is for trading platform.
You need to be more specific ... Exchanges offer different direct feeds. Most people who pay for direct feeds get full depth of books like Nasdaq Total View. Thanks to NYSE/SEC collusion, these feeds are now reserved to selected few. If you have to ask, you are not one of them
There are also 3rd party data providers such as DTN and eSignal that provide market data. https://www.dtn.com/wp-content/uploads/2019/05/IQFeed_FAQs.pdf It seems that they subscribe to the exchange feeds as they claim to provide unfiltered raw tick data and then just rebroadcast the feeds. They also serve historical data for some period of time. It seems that they charge a lot less than a direct exchange feed since their feed is a rebroadcast and therefore not as fast as receiving data directly. As Robert pointed out above, it comes down to what you plan to do with the data and how fast you can process it.
When I discuss data feeds with customers, I always separate data feeds for execution and data feeds for quotes, charts, DOM, and historical data. First, not all data providers are providing raw data, either because they do not have the technology to deliver such data or cannot develop the deliverability of each transaction. Not all data providers need to provide raw data because the majority of their users do not need it. Second, when it comes to data feeds that execute, not all focus on low latency execution because, again, their users may focus on time frames or implementation that milliseconds do not make a difference. You need to decide what type of execution and data you need for your trading, the more refined the data and the more ticks you are seeking for your trade, the more specific you need to be as far as your needs. I hope this helps.
@emojitrading - Thanks for this link. It was exactly the type of clarification on the real-world application benefit of direct data (even if rebroadcast) I was looking for! @Robert Morse - Thanks for all the details on the costs / limitations of exchange direct data, you saved me hours narrowing down realistic choices based on costs / needs! @ZBZB - Thanks for the link and the info! Would you personally consider this "mid-tier" (above CQG, eSignal, IQ Feed, Kinetic) but below (Vela Trading / Rival Systems)? Or is this really the best "retail" version available and anything else is overkill for all but HFTs? Want to ensure I'm conceptualizing the software selection correctly b/c the other ET threads I read on this had peeps debating back and forth about so many minute points my head started spinning. @maxinger - Thanks for point this out, I completely didn't even think of this! I want to ensure I'm understanding you correctly. Pretend I have NinjaTrader / Sierra-Charts for charting / automation and Interactive Brokers for trade execution. So I have to get a data feed (Kinetic, IQ Feed, etc) for the NT/SC platform AND subscribe to IB's L2 market data to execute the trades? - If I just get the data feed for the NT/SC platform, wouldn't that be sufficient since IB will execute the trade regardless of whether or not a customer has market data (and I can rely on those trades being at my desired price points b/c they're based off my data via NT/SC which is accurate right)? @MattZ - Thanks for expanding on what Maxinger said, and for the lengthy clarification on execution vs. quote data! It helped me understand this on a deeper level. What would be your thoughts on the follow-up q's I asked Maxinger above? @qlai - Thanks for the explanation! So I take it the Nasdaq Total View subscription I have w/ IB is nowhere near that same named subscription direct from Nasdaq lol? @ET180 - Thanks for explaining the process of "rebroadcasting" to me! That clarified so much! Now I actually understand how this whole "tiered" process works: Exchange direct DF > 3rd party rebroadcast DF > broker data feed.
@maxinger - Thanks for point this out, I completely didn't even think of this! I want to ensure I'm understanding you correctly. Pretend I have NinjaTrader / Sierra-Charts for charting / automation and Interactive Brokers for trade execution. So I have to get a data feed (Kinetic, IQ Feed, etc) for the NT/SC platform AND subscribe to IB's L2 market data to execute the trades? response : correct - If I just get the data feed for the NT/SC platform, wouldn't that be sufficient since IB will execute the trade regardless of whether or not a customer has market data (and I can rely on those trades being at my desired price points b/c they're based off my data via NT/SC which is accurate right)? response : IB provides delayed data when you don't subscribe to IB data feed. I haven't try this before (ie without subscribing to IB data feed) but I believe you can still execute the trade. another question is Can yon channel data from IB to your charting software? I tried before. It wouldn't work.