Filtered Equities Data Feed( no out of sequence trades)

Discussion in 'Data Sets and Feeds' started by apex82, Apr 14, 2010.

  1. Hi, I am in the market for a filtered intraday equities data feed. The reason I need filtered is to eliminate all the out of sequence trades( Wide range bars) real time which effect pattern signals that are created by my system. The data filtering technology at Tradestation works beautifully and is exactly what I need. However, my engine will not work with TS and therefore I need a different feed.

    Anyone know any filtered data feeds like Tradestation? If you have coded similar filtering technology I would be interested in purchasing as well.
  2. why doesn't tradestation work for you?
  3. They do not have the capability to run my system.
  4. be more specific (eg what are you looking for)
  5. Check with DTN, ask for their NXCore technology.
  6. Their data is unfiltered and allows for inaccurate large bars ( out of sequence trades) that will muck up a chart. I need a filtered data feed for intraday equities that filters out these odd prints.
  7. thejam


    All feeds have bad ticks (period)

    Learn to adapt to them and filter them yourself.

    Otherwise when your system is live, it will just blow-up on its first encounter.
  8. Apex,

    NXCore has fields on each trade that you can tell if it is out of sequence, cross, or cancels. You just need to discard those ticks.

    The other way around is to use a feed allowing you to get exchange specific data, that works too if you are interested in NYSE stocks.
  9. Tradestation is almost flawless in terms of filtering these out of sequence trades. Been using it for over 5 years with hardly any issues. Like I said if TS is the only feed that filters like this(which I doubt) then I am looking for code someone has created to tackle these instances real time.
  10. Thanks, I will look into NXCore further to see if it is right for me. In terms of a exchange specific data feed.... can you lead me in some sort of direction? I am trading mainly amex and nasdaq.
    #10     Apr 14, 2010