Among the ones that caome free once you open avvount both ZenFie and Trading Technologies data feed are clean. You can utilize them to code your strategy. Both can used used with NinjaTrader for develop ATS. You can also talk to X-Trader TT guys to see if they can cover what they have in store for ATS. I know that CQG feed is also clean, but it is not cheap. Also, a lot of poeple use trade station. Regards, redduke
Good post. But people here seem to think in terms of the bargain basement feeds that NO PRO would use. Pros use enterprise class products from Thomson, Reuters, or Bloomberg... At several hundred $$ per terminal/month. There are zillions of these installed at every serious trading firm. So the NBBO that I get from Thomson... Is a professional grade quote... And better than anything I could piece together. I just watch the NYSE + Thomson NBBO ... And make 500 trades/day very efficiently.
I wrestled with the data feed and filtering problem for awhile. I concluded that a good strat can run with a lot of bad ticks and the best way to filter them is right in the strategy, not pre- filtering ahead of the strategy. If you are worried about getting an entry due to a bad tick put in the requirement that you see two ticks at that level before the strat can fire off something. That slows things by an imperceptible amount, the time it takes to check for a second tick. If you are concerned about bad ticks affecting an indicator, build psudo bars in arrays in your strategy with the same two tick requirement for a tick to go into the array. Generate your indicators from those if it won't eat up too many cpu cycles, and with modern computers it is hard to use up the cpu available cycles in a lot of instances imo... indicators that use high and low values are way more likely to be affected by a bad tick than those using closes simply due to the fact that the chances of a bad tick on the close are small compared to anytime during the bar. Good luck with all that stuff, automation development drove me to manual trading!! Max
Thompson sucks. http://www.activfinancial.com I would use Activ. In my experience, if your ATS doesn't mostly ignore the differences between exchanges, and you are not arbing those differences, then you are already in trouble. What I am saying is that stuff is noise if your business isn't to arb it. If you are using limit orders, worrying about NX, ARCA and NSDQ is fine imo. You may miss a penny or two by not worrying about every conceivable ECN, but who cares? nitro
That is really interesting. Thanks for the tip. Just as interesting as the software are the Voltaire switches... nitro
We also Wombatfs for market data they are if not one of the best IMO but they are also very very expensive. Wombat has a magnitude of feed handlers to support all data feeds which we require.