Help me to choose the right data provider Hi there, I am a programmer with background in math and stat. I have started to build an automated trading system. I already have sorted out the communication between servers and database and the next step is to choose the right data feed provider so that I can start having the live feed. I would like to be able to monitor up to 1000 share / store / equity. I would like to know which provider will be best in terms of: Execution speed, Data coverage, Ease of usage, and Commission charge. At the moment I am looking at Interactive broker, e-signal and open e cry. Of which I find IB has an entry barrier as it mentioned that registered account need to put down some money (about 3k USD) into the account on the spot. Your opinion is welcome.
Have a look at http://www.opentick.com You can't beat the price and there is quite a bit of free historical data available. Quality is a little questionable, but has improved substantially.
I would think that broker would provide the data, so by that I am talking about broker (that provide data). do people actually have different data provider and broker? how can they assure their profit when / if there is differences in the info between data provider and broker (either due to latency or other reasons)?
In spite of the "barrier" you speak of, IB is what you're looking for in my opinion. There is backfill data and realtime quote data. The realtime data isn't tick data, just so you know, but it does come several times/second. Like you I'm a programmer which is part of what drew me to IB. The API is well understood with lots of good examples. As far as the minimum deposit is concerned, well you're gonna have to pony up sooner or later anyway. Their minimum deposit is barely enough to trade 1 futures contract. Some people trade with IB and use another data provider for charting such as QCharts and ESignal.
While they are an excellent broker, IB's data feed is neither accurate nor reliable. DTN/IQFeed is a great real-time data provider. With eSignal I don't think you can get the data feed without paying for the charting software too (also, I don't think they're as reliable as IQFeed). I've used opentick for historical data, but I haven't tried their real-time. If you're only getting equities data, then your monthly fees will be pretty reasonable no matter when you go. Data gets a lot pricier with futures. Good luck.
IB is not going to give you 1000 symbols. Tradestation will, others will if you pay them enough. Qcharts used to have unlimited symbols but they got bought by Esignal, maybe they still do.