I autotrade US equities, mainly ETFs, intraday. I use eSignalâs real-time data feed (NYSE + AMEX + NASDAQ, Level 1) to generate entry/exit signals (I essentially ignore my brokerâs data feed from the perspective of signal generation). I backtest/optimize systems using historical data also from eSignal. (As I wrote previously in another post) Iâve observed that historical eSignal data available after the fact does not equal real-time eSignal data; OHLC and volume can be substantially different (e.g. 15% volume difference in a 1-min bar between real-time and historical), to the extent that I can get different trading signals generated in real-time compared to playback using historical data. As I âtrainâ my systems on historical data, I want to use historical data thatâs as close as practical to what the systems will work with in real-time. I have had several helpful responses to my prior post, one in particular suggesting that some of the differences might relate to real-time delays occurring when eSignal consolidates data across different exchanges. Before looking at alternatives to eSignal, I wondered therefore if I could perhaps improve the situation by simplifying my eSignal data feed to just one exchange and ignoring data from the others. Madness? If not madness, which exchange should I focus on? NYSE, AMEX or NASDAQ? Thanks.