US equities daily (+ adjustments)

Discussion in 'Data Sets and Feeds' started by laplacian, Aug 28, 2019.

  1. Yes that makes sense - own model for trading and a risk vendor for validation. I am surprised you say it is "cheap" though - isn't Barra like 80k/yr?
     
    #11     Sep 1, 2019
  2. #12     Sep 1, 2019
    djames likes this.
  3. dinn13

    dinn13

    Paying $40k and a top line expense. Consume quite a few different different data feeds/colocated/cloud compute/etc so yeah just a drop in the bucket
     
    #13     Sep 1, 2019
  4. Out of curiosity, what are your costs for data feeds? For a decent price feed (daily standard fields and corporate actions and intraday price with 15mins delay - not high frequency) I expect $50k.
     
    #14     Sep 1, 2019
  5. Robert Morse

    Robert Morse Sponsor

    Are you and automated trader with non-display feeds? If you are, $50k is way too low. If not, $50k is way too high.
     
    #15     Sep 1, 2019
  6. Automated but keep in mind that I aim for trading once a day at the same time for all securities, at or near the close. If by "non-display" feed you mean API, then yes.
     
    #16     Sep 1, 2019
  7. Robert Morse

    Robert Morse Sponsor

    You don’t need an api for that. And if you want to use an api, you can get your MD from another source and just send orders to avoid non-display fees.

    If you pay for a Bloomberg that is about $24k/year but MD for your software should not be much more than $120/month for equities.
     
    #17     Sep 1, 2019
  8. I'm not aware of a price data feed at $120/month for the use case in my first post (decade history for 1000s stocks, adjustments for corporate actions,...). Well, I may have seen cheap feeds but not from big companies so wouldn't know the quality.

    Re non-display fees: I would have used intraday broker feed ("non-display fees") to get the price just before the close to compute order quantities, while using a daily price data vendor for research and backtesting. However, I believe Refinitiv gives both daily and (low frequency) intraday in the same basic package, so I may have a choice to use either the broker or a separate vendor.
     
    #18     Sep 1, 2019
  9. dinn13

    dinn13

    For refinitiv might be looking at ~100k per year for daily pricing/corp actions. But my pricing is part of a larger package so might be rather different for you. I subscribe to direct feeds from the exchanges which gets pretty expensive and have been doing that for over a decade so can't speak to other solutions.
     
    #19     Sep 1, 2019
  10. Thanks a lot for new idea. However looking at the pricing for daily frequency data - it is comparable to daily data from Refinitiv, which also includes loads of other data point and all the support of a large company. So I think it is way too expensive.
     
    #20     Apr 27, 2020