I have two very basic spot FX data questions. I trade FX futures and have never spot FX before. Question 1: How do I know that my data provider's quotes are the same as my broker's quotes? Or, at least that they're nearly the same? For example, I've done backtesting using both Barclays and Tullet spot FX "tick" data and I like both feeds but I'd like to keep my account at a multi-asset broker such as Interactive Brokers. Can I do this w/o getting killed on execution or is my idea foolish? Do smaller traders get their live FX spot data from one source but trade w/a separate broker? Question 2: Does anyone know where I can get Barclays or Tullet historical data? Is there a reseller out there or will these companies sell their historical data to non-brokerage customers? The Barclays and Tullet historical data that I've collected so far has been gathered in real-time through IQFeed which is a real-time data provider only.
most data providers (all ?) who provide spot prices are actually getting the feeds from another source (broker) since only other brokers can supply the quotes. For example, the spot feed from eSignal I believe is coming from Hotspot which is why you can only trade a hotspot account thru eSignal services. No one is going to honor the prices of a feed if they are not participating, i.e. IB will not honor eSignal spot fx prices if this is true. Unlike equities, options and futures, spot does not have that central clearing exchange for prices so no one can guarantee the accuracy of the quote whereas these other instruments they can. Quote vendors are just competing on the speed and cost of delivering the same quotes whether from eSignal, Real Tick, etc. Now, most of the spot prices you get quoted will be close to where it should be but they can't be verified as being the actual market quote at that second because Hotspot's market is similar but different from Baxters which is different from Lava or EBS or IB, etc.
cstfx, I understand that there isn't central clearing which really goes to the heart of the problem for me. My true question should probably be: Which data providers and/or brokers offer 3-5 years of spot FX tick data and offer the same feed on a real-time basis? Is there a broker out there who offers this? If so, can I auto-trade through NinjaTrader with them? Even more background if you're interested: I'd like to have 3-5 years of "tick" data for each FX pair for backtesting. I'm assuming the Barclays and Tullet data I've been looking at is some sort of bid-ask interpolation, not a true Time & Sales tick, which is okay, as long as I stick with the same data provider for both historical and real-time data. I've spoken to HotSpot. Their institutional feed has real T&S ticks (from their platform only, of course) but I'd have to write my program to their API to get access to their institutional feed on a live basis (I'm using Ninja currently). Thanks in advance for any suggestions.
fyshy, Yes, you're correct about IQFeed and I like the product. But their tick data only goes back 30 days max. They're not in the historical data business. I need 3 years of tick data at a minimum. Again, bid-ask interpolation rather than true T&S tick data is okay as long as I have the same historical and real-time data source. -bluelou
You can purchase data for example at Tenfore (see http://www.quotespeed.com/uk_content_pi.htm for their different sources - price is EUR 20 per instrument per month for top-of-the-book tick and bid/ask quote data).
Pippi436, Thx for the Tenfore info. I see they offer both Tullett and Barclays historical spot FX tick data. Hopefully this will work. Does anyone have any experience using Tullet or Barclays for real-time quotes but executing trades through IB or another broker that offers both futures and spot FX? Or, is there a broker out there that offers both futures and spot FX trading that is using the Tullet or Barclays data feeds?