some brokers filter the data, or just provide you a snapshot of the data if you want pure data look into tick by tick data and unfiltered
To put it clearer: Brokers are in the broking game. They need to ensure that orders are filled in an accurate and timely manner in accordance with their customers' absolute instructions. To expect them to cover data in any meaningful sense, incorporating multiple exchange feeds across multiple order books, multiple trade feeds, notification of cancelled trades etc. is not to be expected. Most don't even tell you a stock split or dividend entitlement has occurred! Ed/Liquidips has already outlined periodic snapshot/filtering issues.
We take a different approach. We want to offer the most competitive rates we can, then pass through the cost of MD, Exchange and Regulatory fees to the client as an expense of trading. They the client chooses what they pay for. If we have to anticipate the needs of every client and what that would cost to cover that, we would be back to the days of charging 5% on transaction. In the end, this cuts the cost of trading for our clients. For those that don't like to pay monthly fees or worry about what route they use etc, we offer our Web Trader. No DMA, no MD fees (for individual accounts) and still a great platfrom. https://www.lightspeed.com/trading-platforms/lightspeed-web-trader/
Robert Morse/LightSpeed Trading - I'm not experienced with your equities feed covering corporate actions, tick data, cancelled trades etc. What do you offer? Do you have documentation available online (I could only find https://www.lightspeed.com/trading-api/ in my brief search) To be fair - it's not a problem if you don't offer it. I am not a HFT trader but I don't want redacted/condensed/trade-condition-ignored data. PS - I don't mind if you don't cover this - it's a very specific field. My concern is that a feed which is exact-as-traded is not available to "broker data" services. To this end, I subscribe to NxCore for hundreds of dollars a month because I can't find any retail-level service (broker or retail data vendor) that offers this.
We don't offer a "feed" for corporate actions and not sure what you mean by a feed for cancelled trades? The order window shows your cancelled trades. With regard to tick data, we don't offer tick data for back testing if that is what you are referring to.
Some still do at firms like MS/ML. Before 1975, there were fixed commission rates and you were not allowed to give discounts!. In the 80's and 90's, 3% to 5% was common. "May 1, 1975, when the brokerage industry deregulated commissions, acting on a Securities and Exchange Commission mandate. For the first time in more than 180 years, trading fees were set by market competition."