Any suggestions for a low latency tick by tick feed that publishes USA Option and Equities that is $1,500 or less per month. This is for an option automated trading system. The Feed will be used to generate continually updated/changed limit orders inside the current Bid/Ask spread at specific options Exchanges. This means it needs to be fast enough so that the limit orders generated from the price feed and sent to the exchange are inside the current bid/ask. I am looking for close to an institutional level feed without paying $10,000 per month. If you have any experience working with the feeds you are suggesting, please include your thoughts. Thank you for your ideas and responses.
Try this: DTN NxCore is extremely efficient in bandwidth utilization and will save you thousands of dollars in monthly communications costs. In a single T-1 (1.5mbps), it will fit 40,000 quote and trade updates per second; In 6.0 mbps, it will fit 160,000 updates/sec. Other OPRA feed providers now require a T-3 (30 T-1 lines) and yet provide less information per update than DTN NxCore. Plus, DTN NxCore offers an optional BBO only stream for OPRA data that is 40% smaller than the full OPRA stream. http://www.dtnmarketaccess.com/ Not in my class (far, far above) but I've been told they are excellent. Jack
If you dont mind me asking, which broker are you using? IB has a order cancellation fee structure and do be a market maker, you orders will need to be acknowledged in less than 50ms ... Thanks
I would also highly recommend looking into DTN's NxCore (a direct connect with DTN tick plant). Full broadcast, "very" low bandwidth. My partner and I were quite pleased with it last yr when using it to feed a resource-heavy equity n.net for about 7 months. It should be well within your $1500/month price point as it starts at ~$550/month base. You may want to first test drive DTN's more basic IQFeed to see if that stands up to your criteria before scaling up to Nx.
Pandabear: If you dont mind me asking, which broker are you using? IB has a order cancellation fee structure and do be a market maker, you orders will need to be acknowledged in less than 50ms ... Answer: Pandabear...currently evaluating brokers, but Lime is at the top of the list: Purely Agency Setup to handle fast/low latency trading Good pricing IB is not on the list...they are focused on their "Smart Routing" which is no good for us, as we need pure DMA and determine our own routing depending upon Maker-Taker fees, urgency of opening/closing order, time of day, etc. IB wants to charge $1.75 per contract for DMA !!!!
AFAIK, they don't have a data center in NY/NJ, and the number of covered market centers is quite limited.
Is Lime really "pure agency"? I thought they operated one or more high-frequency hedge funds, which to me would disqualify them as such. The only ones I regard as truly agency are Genesis, Newedge, ITG/RedSky, and Neonet (ordered roughly by minimum client AUM). (Maybe Assent, too?) Additions/corrections appreciated...
speculatus, Based on your experience, what vendors would you recommend? FYI, here is an older thread that lists a lot of vendors (but they may not fit all of the OP's criteria): http://www.elitetrader.com/vb/showthread.php?threadid=137396
I use ACTIV Financial and quite happy with them - rock solid API (my ATS is Unix based), extremely accurate data, datacenters in Chicago and NY (Rector street), and very good market coverage. They are one of the best in this field.
Speculatus: Activ is a very good and institutional strength low latency feed which we would like to use, BUT when we talked to them earlier this year we were given pricing of $10,000 per month for US Equities and US Options using ActivFeed Direct. May I ask what you are paying (or a close approximation) and what data does it include (Eg. US Equities, US Options, Futures, etc). ? We are also looking into Spryware which is a new ( approx 4 years old ) low latency provider...do you know anything about them ? Thanks.