Thanks for the post GoldStandard ... I can talk a lot about eSignal since I've been using them as my main data feed since 2003, and I've been using their API since 2005: #1 problem with eSignal market depth: They don't offer it through the API. #2 problem with eSignal market depth: The quality of the data is uneven at best and sometimes quite bad ... in any event it shouldn't be considered to be reliable. #3 problem with eSignal market depth: They only offer NASDAQ, ARCA and NYSE depth ... TWS gives a lot more. #4 problem with eSignal market depth: There's no option to consolidate it into one depth window ... you have to look at 3 depth windows simultaneously to trade from it.
Thanks trader422, I had been wondering about the quality of their market depth data. I've noticed from comparing futures charts built with Esignal data to DTN data that Esignal does not seem to be as accurate or consistent with their bid/ask data as DTN is so I'm not surprised to hear that Esignal's market depth data is not the greatest either. And lack of market depth data via API is quite disappointing. What do you think of Realtick's data?
Thanks for mentioning RealTick, GoldStandard ... I have zero experience with them, but I have definitely considered them recently and crossed them off my list for reasons I don't remember, probably something said on elitetrader ... but looking at their web site I can tell I've never been on it before, and they sound pretty good, maybe, except it appears their depth data is lmited to NASDAQ/ARCA/NYSE ... anyway I'm going to call them next week and see what they have to say about market depth through their API.
I'd be interested to hear what you find out. I'm working on a trading system backtester that supports level 2 futures data and I want to try it out on equities at some point. Essex Radez/Exigy is another provider with a level 2 equities feed, though I'm not sure if it is as complete as you need. Some links: http://www.essexradez.com/ http://www.exegy.com/datatone.htm http://www.a-teamgroup.com/article/essex-radez-launches-high-speed-consolidated-order-book-feed/
Thanks again GoldStandard - it looks like Essex Radex has the so-called "top 5" = NYSE, ARCA, NADAQ, BATS and DIRECTEDGE, which is as good as all but a few of the possibilities I've been researching after all the help you elitetraders have given me ... I will post after talking to my new list of 9 possibilities I had not fully considered before.
My final post to this thread, information circa September 2011 for the benefit of future elitetrader keyword searches... Please note: The focus is (1) U.S. listed equities, (2) good or better market depth coverage, plus (3) good or better API for market depth. Existence or quality of a front end is secondary. Extreme low-latency, co-location capabilities and extreme reliability are secondary. For the present purposes, I don't care at all about options, futures or foreign markets. Please note: this information starts getting old immediately on posting. Exchanges and ECNs are always being created, merging or getting bought out. Data providers are frequently improving their offerings, less frequently making them worse. I will be happy to post retractions or emendations that are easily verifiable and reasonably current with this post; otherwise, updated information will be the responsibility of future posters, if any. The goal: a solid API bringing in a full menu of market depth for U.S. equities. Realistically and roughly, and circa September 2011, this means: Top 5 market depth: NYSE OpenBook, ArcaBook, Nasdaq Totalview, BATS depth (BZX + maybe BYX) and DirectEdge depth (EDGEX + EDGEA) OTC Level 2 (and Level 1) (including OTCQX, OTCQB, OTC Pink, OTCBB) ... if you trade the Pinks, gotta have it ... fortunately it's widely offered. Note: there's news out there of Amex equities depth finally becoming available. When and if it does, I will consider it to be pretty important to have. Market depth for "regionals" (or at least Level 1 - maybe you don't want to be picky about data that truthfully is not that important): NSX, CBSX, CHX, BEX = Nasdaq OMX BX, PHLX = Nasdaq OMX PSX. Bonuses: TrackECN (are they out of business?), LavaFlow, BTrade ... (Level 1 at least, or depth as available). Other: Don't know of anything else I consider relevant ... Any Level 1 or better data from algos or dark pools would be a bonus, but doesn't seem to be widely offered by data vendors (unlike brokers, who should have at least some of this stuff). Note: Prop shops were not investigated for this project, about them I have no information. Software hooking to multiple data providers: Sterling Trader Pro (Cyborg Trading; EchoPro) Trading Technologies / X-Trader Rithmic SierraCharts jbooktrader, jsystemtrader, ninjatrader, tradelink, marketcetera Comments: all these are either totally inadequate for serious market depth, or not really applicable to the subject at hand because their data feeds are better considered independently ... except, just maybe a decent data provider might give a special deal through one of them (like maybe Spryware through Sterling Trader Pro?). Data providers, low-end and middle-end: DTN = NxCore = IQFeed (pathetic ... don't even offer OpenBook as of this writing, but they say they will be rolling it out soon) CQG RealTick eSignal (only depth is OpenBook, ArcaBook, Totalview and Pink; no consolidated depth view and no depth API)) Kinetick Comments: all these are currently totally inadequate for serious market depth. Data providers, high-end: Activ Financial Exegy Spryware Quanthouse Interactive Data Essex Radez Infodyne, FlumeData, Thomson/Reuters, SunGard, XData, FitNetix, SS&C Evare Comments: The only data feeds I've actually tested are Activ and Spryware... These are all $1000/month and up, $2000/month and up for all but Exegy and maybe Spryware, $3000 - $5000/month seems to be the target range ... the high price is mostly justified by super-high-reliability, super-low-latency, co-location and so on ... stuff I don't care about at all, so these are stiff prices to pay just for the side benefit of good market depth coverage. Essex Radez is a wholesaler that provides to Exegy and Spryware - so Essex Radez direct is probably unnecessarily expensive for individual traders. The last line "Infodyne, etc..." consists of providers that I rejected for various reasons after just a quick look - could be missing something, but I doubt it. Interactive Data is promising for the future, but they currently don't have DirectEdge, plus I think they are one of the more expensive (~$5000/month). Quanthouse is a little less expensive but currently they only have Level 1, "maybe", for the regional exchanges. Activ, Exegy and Spryware are all worth a serious look for anyone who is considering paying the toll. Note that none of the salespeople really know what their full range of data is - you'll have to demo the systems to really find out what they've got. Exegy is probably the lowest cost, Spryware next lowest, then Activ. I dedicated 1 month of my life to Exegy and 2 months to Spryware before finally signing with Activ. Any readers might have better luck with Exegy or Spryware than I did, unless you have needs that are very close to mine. Activ and Spryware (and, as I have learned over time, probably everyone else unless you want to pay a lot more money for very little additional data) basically just have top 5 depth, Level2 Pinks, and Level1 regionals. Brokers: Lime Genesis Lightspeed MB Trading Interactive Brokers Tradestation (seems to suck for market depth) Comments: I never got to the point of actually testing any of these data feeds... As usual, IB is the low-cost, low-drag winner for cheapskates ... but as discussed at the top of this post, their API is currently non-functional for serious application - you'll have to screen-scrape to get full market depth into your trading app. Their depth is ok for a freebie: OpenBook, ArcaBook, Totalview (but note well, as of this writing they limit the number of depth levels from each provider, I think to 20 - can present a very misleading depth view in select cases); maybe (?) some depth for NSX and I think maybe CBSX and CHX, I think Level 1 only for BATS, DirectEdge, and I think the rest. They don't currently offer Pink Level 2. Could get a lot better very quickly if they ever prioritize it. Lime looks like a possible dream come true - but they're so stuck up it's hard to imagine opening an account with them. At the very least I would have to throw 100% of my business their way (1-2 million shares/month), but frankly I'm not confident my full trading capital would be safe there. Genesis may be a sweet spot as long as they remain in business: looks like their data may be good enough, $0 - $200/month for Laser w/API, API looks professional and full-featured at first blush, wouldn't mind maintaining a $500,000 SIPC insured account and throwing a chunk of my business their way. I would try this option first if Activ, Exegy or Spryware was deemed too expensive. Lightspeed, MB Trading: I know there are a lot of elitetraders out there who swear by one of these two, but my tentative conclusion is that they are probably both poor alternatives to Genesis ... however, I would give one or both of them a serious try if Genesis didn't make the cut.
I stumbled upon this thread yesterday, and I wanted to mention that last year IB updated their TWS API, it now allows users to make a single request to access all feeds for an instrument. You can make 1 reqMktDepth request with isSmartDepth == true, to get the level 2 feed from NYSE, ARCA & Nasdaq in a single stream. The response feed was changed a bit but adapting to the new API won't be too difficult. You can read the changelog here, search for "smart depth": https://www.interactivebrokers.com/en/index.php?f=24356